CALX Options History — December 2012

In December 2012, CALX traded between $6.99 and $7.69. ATM implied volatility averaged 49.9%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded above realized volatility by 4.5% (HV 20d: 45.4%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.25.

Notable Days

2012-12-03: Highest Volume — 123 contracts
2012-12-06: Largest IV drop — 28.3% change
2012-12-05: Highest IV Rank — 25.8%
2012-12-10: Largest Expected Move — 15.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.35	$6.99	$7.69	$7.00	$7.69
Max Pain	$7.00	$5.00	$7.50	$5.00	$7.50
ATM IV	49.9%	39.3%	54.8%	48.5%	49.3%
Expected Move	14.6%	11.3%	15.9%	13.9%	14.1%
HV 20d	45.4%	33.0%	65.9%	65.9%	34.6%
HV 60d	59.2%	56.0%	65.6%	65.6%	56.1%
IV Rank	18.4%	2.3%	25.8%	16.3%	17.4%
IV Percentile	10.7%	1.2%	15.5%	8.7%	9.9%
Term Structure	10.1%	-0.7%	28.5%	7.7%	14.7%
VWIV	52.5%	48.7%	65.2%	48.7%	49.3%
Skew 25d	35.3%	0.3%	90.9%	90.9%	0.3%
Skew 10d	52.6%	5.6%	114.3%	106.8%	6.6%
Call IV 25d	49.9%	42.6%	58.5%	50.9%	57.8%
Put IV 25d	85.2%	50.7%	144.6%	141.8%	58.0%
Bid-Ask Spread %	84.59	71.67	104.02	75.11	71.67
Gamma HHI	0.87	0.55	0.98	0.55	0.81
Net GEX	8.5K	1.3K	21.3K	1.3K	2.6K
Net DEX	-111.9K	-279.0K	-49.8K	-59.7K	-86.0K
Net VEX	-971	-1.1K	-729	-729	-918
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.25	0.00	1.00	0.00	0.01
Total Volume	29.7	0	123	123	81
Total OI	1,080	840	1,238	840	917

Daily Data (20 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
2012-12-03	$7.00	$5.00	48.5%	13.9%	65.9%	16.3%	48.7%	90.9%	7.7%	1.3K	-59.7K	-729	0.00	75.11	123	0	447	393
2012-12-04	$7.05	$5.00	51.6%	14.8%	65.0%	20.9%	0.0%	88.8%	2.2%	4.1K	-90.8K	-797	0.58	80.31	26	15	570	393
2012-12-05	$6.99	$5.00	54.8%	15.7%	65.1%	25.8%	0.0%	14.8%	-0.7%	4.1K	-87.6K	-867	0.00	90.68	0	80	594	408
2012-12-06	$7.18	$5.00	39.3%	11.3%	52.6%	2.3%	65.2%	8.5%	28.5%	4.3K	-73.9K	-1.0K	0.00	104.02	25	0	594	488
2012-12-07	$7.17	$7.50	47.4%	15.3%	51.5%	14.6%	0.0%	9.5%	7.9%	4.8K	-75.3K	-1.0K	0.00	81.82	100	0	594	488
2012-12-10	$7.20	$7.50	51.3%	15.9%	50.3%	20.6%	0.0%	7.8%	5.7%	7.8K	-101.8K	-1.1K	0.00	91.77	0	0	694	488
2012-12-11	$7.35	$7.50	48.8%	15.4%	49.1%	16.7%	53.6%	47.3%	8.7%	9.3K	-126.9K	-1.1K	0.00	92.75	0	5	694	488
2012-12-12	$7.38	$7.50	43.9%	14.9%	47.0%	9.3%	0.0%	13.2%	9.4%	10.7K	-135.7K	-1.1K	0.00	90.03	12	0	694	488
2012-12-13	$7.19	$7.50	53.1%	15.2%	48.8%	23.3%	53.1%	5.0%	7.8%	9.8K	-87.9K	-1.0K	0.40	90.33	25	10	706	488
2012-12-14	$7.35	$7.50	51.9%	14.9%	46.5%	21.4%	0.0%	49.5%	10.1%	11.8K	-131.9K	-1.1K	0.00	90.27	9	0	731	498
2012-12-17	$7.38	$7.50	52.8%	15.1%	46.3%	22.8%	0.0%	59.6%	9.2%	13.2K	-142.5K	-1.0K	0.00	79.45	0	0	740	498
2012-12-18	$7.50	$7.50	50.8%	14.6%	39.2%	19.8%	0.0%	9.7%	10.0%	15.8K	-180.0K	-1.1K	0.00	90.35	1	0	740	498
2012-12-19	$7.66	$7.50	51.9%	14.9%	34.5%	21.4%	51.9%	16.9%	8.5%	19.3K	-256.1K	-1.0K	0.00	79.38	2	0	739	498
2012-12-20	$7.68	$7.50	52.6%	15.1%	33.6%	22.6%	0.0%	17.1%	7.7%	20.6K	-279.0K	-1.0K	0.00	81.63	0	0	739	498
2012-12-21	$7.37	$7.50	50.3%	14.4%	35.7%	19.0%	50.3%	58.3%	9.6%	21.3K	-116.0K	-959	0.00	80.32	0	40	739	498
2012-12-24	$7.52	$7.50	50.0%	14.3%	36.2%	18.5%	0.0%	65.9%	12.1%	2.1K	-56.8K	-936	0.00	83.00	0	0	435	445
2012-12-26	$7.45	$7.50	48.9%	14.0%	36.5%	16.9%	48.9%	3.5%	15.6%	2.2K	-51.2K	-920	1.00	71.78	10	10	435	445
2012-12-27	$7.47	$7.50	49.9%	14.3%	36.4%	18.4%	0.0%	69.4%	14.0%	2.2K	-49.8K	-925	0.00	82.57	0	0	444	455
2012-12-28	$7.46	$7.50	51.1%	14.6%	33.0%	20.2%	51.1%	71.0%	12.4%	2.2K	-49.9K	-916	1.00	84.55	10	10	444	455
2012-12-31	$7.69	$7.50	49.3%	14.1%	34.6%	17.4%	49.3%	0.3%	14.7%	2.6K	-86.0K	-918	0.01	71.67	80	1	452	465