CALX Options History — October 2012

In October 2012, CALX traded between $5.90 and $6.85. ATM implied volatility averaged 68.6%, placing in the 47.3% IV rank vs the trailing year. The 30-day expected move averaged 19.8%. IV traded above realized volatility by 15.8% (HV 20d: 52.8%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.05.

Notable Days

2012-10-26: Highest Volume — 566 contracts
2012-10-10: Largest IV spike — 45.4% change
2012-10-24: Highest IV Rank — 81.1%
2012-10-24: Largest Expected Move — 26.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$6.19	$5.90	$6.85	$6.44	$6.65
Max Pain	$5.00	$5.00	$5.00	$5.00	$5.00
ATM IV	68.6%	44.8%	90.5%	65.5%	71.2%
Expected Move	19.8%	12.8%	26.0%	18.8%	20.4%
HV 20d	52.8%	35.4%	67.1%	66.7%	65.7%
HV 60d	69.2%	58.1%	90.6%	90.6%	64.4%
IV Rank	47.3%	10.8%	81.1%	42.6%	51.3%
IV Percentile	53.1%	3.6%	99.2%	38.9%	66.7%
Term Structure	-1.1%	-16.4%	23.4%	0.5%	-6.9%
VWIV	63.5%	39.3%	76.6%	39.3%	71.1%
Skew 25d	8.1%	-40.6%	59.5%	1.9%	16.3%
Skew 10d	21.3%	-20.2%	91.0%	5.8%	32.1%
Call IV 25d	65.6%	49.7%	88.2%	73.9%	56.8%
Put IV 25d	73.7%	43.7%	142.2%	75.8%	73.1%
Bid-Ask Spread %	91.28	30.18	108.00	99.61	90.76
Gamma HHI	0.62	0.41	0.94	0.69	0.48
Net GEX	533	-938	3.5K	3.5K	1.5K
Net DEX	-15.4K	-298.4K	26.8K	-53.1K	-298.4K
Net VEX	-562	-877	-445	-687	-877
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.05	0.00	0.25	0.00	0.00
Total Volume	51.381	0	566	8	10
Total OI	1,346.905	543	1,620	1,581	1,208

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2012-10-01	$6.44	$5.00	65.5%	18.8%	66.7%	42.6%	0.0%	1.9%	0.5%	3.5K	-53.1K	-687	0.00	99.61	8	0	1,261	320
2012-10-02	$6.34	$5.00	67.3%	19.3%	66.2%	45.4%	0.0%	-10.2%	-1.2%	2.8K	-35.2K	-658	0.00	94.47	0	0	1,269	320
2012-10-03	$6.21	$5.00	64.8%	18.6%	65.9%	41.5%	0.0%	11.1%	-15.1%	1.6K	-8.4K	-565	0.00	93.87	0	0	1,269	320
2012-10-04	$6.05	$5.00	66.6%	19.1%	67.1%	44.4%	0.0%	9.8%	-4.8%	1.0K	4.8K	-520	0.00	30.18	0	0	1,269	320
2012-10-05	$6.31	$0.00	70.0%	18.3%	59.2%	49.5%	0.0%	9.2%	2.2%	-871	9.3K	-464	0.00	98.30	0	0	1,269	320
2012-10-08	$6.35	$0.00	60.9%	19.1%	57.7%	35.6%	0.0%	4.7%	1.9%	2.0K	-13.7K	-545	0.00	91.28	0	0	1,269	320
2012-10-09	$6.28	$0.00	57.3%	20.9%	53.2%	30.0%	0.0%	21.7%	-2.1%	2.0K	-17.4K	-550	0.00	88.74	0	0	1,269	320
2012-10-10	$6.07	$0.00	83.3%	23.4%	53.4%	69.9%	0.0%	10.9%	-5.3%	1.0K	3.6K	-495	0.00	82.71	20	0	1,269	320
2012-10-11	$6.14	$0.00	80.4%	23.1%	52.0%	65.6%	0.0%	8.0%	-8.7%	1.3K	-4.5K	-531	0.00	83.34	0	0	1,289	320
2012-10-12	$6.01	$0.00	60.3%	17.3%	47.9%	34.6%	0.0%	-5.7%	19.9%	404	9.2K	-484	0.00	95.76	0	0	1,289	320
2012-10-15	$5.99	$0.00	50.4%	14.4%	46.7%	19.4%	0.0%	9.0%	23.4%	-785	14.0K	-451	0.00	108.00	0	0	1,289	320
2012-10-16	$6.04	$0.00	44.8%	12.8%	45.9%	10.8%	39.3%	-8.4%	21.2%	-784	13.0K	-448	0.00	86.88	0	7	1,289	320
2012-10-17	$6.30	$5.00	49.9%	14.3%	48.4%	18.6%	0.0%	26.8%	14.9%	-878	8.7K	-458	0.00	94.79	0	0	1,289	327
2012-10-18	$6.11	$5.00	54.2%	15.6%	49.0%	25.3%	0.0%	-40.6%	6.8%	-879	9.9K	-445	0.00	105.38	0	20	1,283	327
2012-10-19	$5.94	$5.00	76.6%	22.0%	42.5%	59.8%	76.6%	10.3%	-7.8%	-938	21.2K	-457	0.14	101.49	145	20	1,283	337
2012-10-22	$6.04	$5.00	81.5%	23.4%	43.3%	67.1%	0.0%	10.7%	-12.0%	-174	18.8K	-568	0.00	102.04	30	0	249	294
2012-10-23	$6.04	$5.00	86.1%	24.7%	38.2%	74.2%	0.0%	19.6%	-13.6%	-93	14.5K	-593	0.00	100.78	5	0	269	294
2012-10-24	$5.90	$5.00	90.5%	26.0%	38.9%	81.1%	0.0%	20.2%	-16.4%	-98	22.5K	-578	0.00	98.13	0	100	265	294
2012-10-25	$5.90	$5.00	89.3%	25.6%	35.4%	79.2%	0.0%	59.5%	-15.8%	-656	26.8K	-634	0.25	85.03	118	30	265	374
2012-10-26	$6.85	$5.00	69.0%	19.8%	64.7%	48.0%	66.8%	-15.0%	-3.4%	186	-69.8K	-794	0.02	85.26	554	12	383	404
2012-10-31	$6.65	$5.00	71.2%	20.4%	65.7%	51.3%	71.1%	16.3%	-6.9%	1.5K	-298.4K	-877	0.00	90.76	10	0	792	416