CALX Options History — November 2012

In November 2012, CALX traded between $5.68 and $7.40. ATM implied volatility averaged 63.0%, placing in the 38.5% IV rank vs the trailing year. The 30-day expected move averaged 18.1%. IV traded below realized volatility by 12.0% (HV 20d: 75.0%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.30.

Notable Days

2012-11-05: Highest Volume — 100 contracts
2012-11-07: Largest IV spike — 45.9% change
2012-11-14: Highest IV Rank — 100.0%
2012-11-14: Largest Expected Move — 21.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$6.51	$5.68	$7.40	$7.00	$7.38
Max Pain	$5.00	$5.00	$5.00	$5.00	$5.00
ATM IV	63.0%	43.9%	103.8%	53.7%	54.6%
Expected Move	18.1%	12.6%	21.9%	15.4%	15.6%
HV 20d	75.0%	63.2%	84.2%	67.7%	63.2%
HV 60d	66.1%	64.6%	68.5%	65.1%	64.8%
IV Rank	38.5%	9.2%	100.0%	24.5%	25.5%
IV Percentile	36.2%	2.4%	100.0%	12.7%	15.1%
Term Structure	-0.3%	-8.5%	9.6%	1.5%	2.1%
VWIV	53.6%	46.7%	59.8%	46.7%	54.6%
Skew 25d	11.6%	-17.1%	62.0%	-17.1%	-5.3%
Skew 10d	22.6%	-31.3%	79.3%	-31.3%	-8.6%
Call IV 25d	57.9%	43.5%	66.2%	64.0%	59.7%
Put IV 25d	69.5%	46.1%	117.3%	46.9%	54.4%
Bid-Ask Spread %	79.86	62.18	92.07	84.73	77.72
Gamma HHI	0.47	0.42	0.60	0.48	0.56
Net GEX	791	53	2.1K	852	1.5K
Net DEX	-170.9K	-350.0K	22.3K	-350.0K	-104.0K
Net VEX	-728	-855	-605	-855	-796
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.30	0.00	1.20	0.00	0.00
Total Volume	21.143	0	100	3	1
Total OI	1,030.333	750	1,239	1,218	839

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
2012-11-01	$7.00	$5.00	53.7%	15.4%	67.7%	24.5%	0.0%	-17.1%	1.5%	852	-350.0K	-855	0.00	84.73	3	0	802	416
2012-11-02	$6.89	$5.00	56.6%	16.2%	67.4%	28.9%	0.0%	-10.9%	-1.2%	869	-337.2K	-829	1.20	87.53	10	12	803	416
2012-11-05	$6.70	$5.00	50.6%	17.2%	67.6%	19.8%	0.0%	16.3%	1.3%	942	-311.2K	-819	0.00	72.09	0	100	813	426
2012-11-06	$6.69	$5.00	44.3%	18.2%	66.1%	10.1%	0.0%	19.2%	1.8%	855	-317.3K	-802	0.00	75.71	4	0	813	377
2012-11-07	$6.04	$5.00	64.7%	21.5%	75.9%	41.4%	0.0%	7.9%	-4.8%	1.7K	-236.4K	-738	0.00	62.18	0	0	817	377
2012-11-08	$5.91	$5.00	66.3%	21.0%	76.2%	43.9%	0.0%	6.1%	-6.7%	2.1K	-220.8K	-717	0.10	82.16	20	2	817	377
2012-11-09	$6.15	$5.00	64.1%	19.9%	76.7%	40.5%	0.0%	3.9%	3.4%	978	-249.1K	-721	0.00	77.30	15	0	832	379
2012-11-12	$6.01	$5.00	80.9%	21.8%	77.0%	66.3%	0.0%	6.5%	-3.1%	396	-242.5K	-696	0.00	76.50	0	0	847	379
2012-11-13	$5.84	$5.00	91.6%	21.3%	77.3%	82.7%	0.0%	30.6%	-5.4%	296	-224.0K	-667	0.00	75.94	0	0	847	379
2012-11-14	$5.86	$5.00	103.8%	21.9%	77.3%	100.0%	0.0%	33.0%	-8.5%	327	-227.7K	-669	0.00	80.54	0	0	847	379
2012-11-15	$5.68	$5.00	71.0%	20.4%	78.0%	50.3%	0.0%	13.7%	-2.3%	107	-200.9K	-635	0.48	89.72	25	12	832	379
2012-11-16	$5.68	$5.00	68.8%	19.7%	76.1%	47.0%	46.7%	22.9%	-2.0%	53	-188.5K	-605	1.00	79.63	5	5	817	391
2012-11-19	$6.15	$5.00	65.8%	18.9%	81.1%	42.5%	0.0%	6.8%	-0.6%	175	22.3K	-636	0.00	70.00	0	0	395	355
2012-11-20	$6.54	$5.00	58.5%	16.8%	83.2%	31.5%	51.2%	-12.3%	3.2%	658	-21.5K	-715	0.00	76.70	0	41	395	355
2012-11-21	$6.73	$5.00	43.9%	12.6%	83.5%	9.2%	0.0%	62.0%	9.6%	531	-31.7K	-728	0.00	89.59	30	0	395	376
2012-11-23	$6.98	$5.00	55.3%	15.9%	84.2%	26.6%	0.0%	53.4%	5.6%	782	-67.0K	-734	0.10	80.13	20	2	425	376
2012-11-26	$6.98	$5.00	60.4%	17.3%	83.5%	34.3%	59.8%	1.9%	0.9%	626	-65.2K	-722	0.00	91.61	35	0	405	378
2012-11-27	$7.01	$5.00	59.0%	16.9%	83.4%	32.2%	0.0%	3.4%	-0.6%	853	-61.2K	-718	0.33	92.07	30	10	404	378
2012-11-28	$7.08	$5.00	56.2%	16.1%	64.8%	27.9%	56.0%	2.0%	-0.9%	875	-59.8K	-714	1.00	77.59	10	10	404	388
2012-11-29	$7.40	$5.00	53.3%	15.3%	65.4%	23.6%	53.4%	0.1%	0.6%	1.1K	-95.4K	-764	0.00	77.71	42	0	414	393
2012-11-30	$7.38	$5.00	54.6%	15.6%	63.2%	25.5%	54.6%	-5.3%	2.1%	1.5K	-104.0K	-796	0.00	77.72	1	0	446	393