CALX Options History — January 2013

In January 2013, CALX traded between $7.39 and $8.14. ATM implied volatility averaged 59.1%, placing in the 32.4% IV rank vs the trailing year. The 30-day expected move averaged 17.7%. IV traded above realized volatility by 29.8% (HV 20d: 29.3%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.15.

Notable Days

2013-01-25: Highest Volume — 100 contracts
2013-01-10: Largest IV spike — 20.5% change
2013-01-31: Highest IV Rank — 45.3%
2013-01-31: Largest Expected Move — 19.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.68	$7.39	$8.14	$7.88	$8.14
Max Pain	$7.50	$7.50	$7.50	$7.50	$7.50
ATM IV	59.1%	48.8%	67.7%	48.8%	67.7%
Expected Move	17.7%	14.0%	19.4%	14.0%	19.4%
HV 20d	29.3%	25.3%	32.6%	28.7%	25.7%
HV 60d	53.0%	43.5%	56.1%	56.0%	43.5%
IV Rank	32.4%	16.8%	45.3%	16.8%	45.3%
IV Percentile	32.5%	9.1%	54.0%	9.1%	54.0%
Term Structure	-0.5%	-6.7%	13.8%	11.4%	-6.7%
VWIV	60.6%	51.4%	64.9%	51.4%	64.9%
Skew 25d	7.9%	-9.1%	21.3%	-9.1%	13.9%
Skew 10d	11.7%	-3.7%	26.9%	0.1%	18.0%
Call IV 25d	53.9%	42.6%	61.9%	58.8%	54.0%
Put IV 25d	61.8%	49.7%	67.9%	49.7%	67.8%
Bid-Ask Spread %	79.95	9.52	92.85	86.88	86.08
Gamma HHI	0.71	0.39	0.96	0.81	0.49
Net GEX	3.2K	-540	11.2K	2.4K	1.5K
Net DEX	-57.1K	-123.7K	10.2K	-118.0K	-123.7K
Net VEX	-832	-991	-735	-889	-991
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.15	0.00	0.89	0.00	0.00
Total Volume	21.286	0	100	3	15
Total OI	824.048	546	958	912	793

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
2013-01-02	$7.88	$7.50	48.8%	14.0%	28.7%	16.8%	51.4%	-9.1%	11.4%	2.4K	-118.0K	-889	0.00	86.88	3	0	446	466
2013-01-03	$7.65	$7.50	50.4%	14.5%	31.3%	19.2%	0.0%	-5.0%	13.8%	2.6K	-78.5K	-883	0.00	84.27	0	0	446	466
2013-01-04	$7.62	$7.50	50.4%	18.3%	31.1%	19.1%	0.0%	18.5%	-3.7%	2.7K	-73.9K	-873	0.00	77.09	12	0	446	466
2013-01-07	$7.54	$7.50	50.3%	18.1%	30.4%	19.1%	0.0%	18.8%	-2.5%	3.2K	-59.5K	-857	0.00	78.34	0	0	454	466
2013-01-08	$7.56	$7.50	52.5%	18.6%	30.3%	22.4%	0.0%	14.5%	-3.3%	3.2K	-60.1K	-850	0.00	88.28	2	0	454	466
2013-01-09	$7.67	$7.50	50.4%	18.3%	30.6%	19.1%	0.0%	21.3%	-3.0%	3.4K	-84.7K	-834	0.00	77.54	0	0	453	466
2013-01-10	$7.41	$7.50	60.7%	17.4%	32.6%	34.8%	0.0%	12.8%	0.3%	4.0K	-37.5K	-823	0.00	9.52	0	20	453	466
2013-01-11	$7.39	$7.50	61.5%	17.6%	32.6%	36.0%	0.0%	14.7%	-1.4%	4.5K	-26.2K	-798	0.00	77.03	0	0	453	466
2013-01-14	$7.40	$7.50	61.4%	17.6%	31.1%	35.8%	61.4%	14.7%	-1.1%	4.5K	-23.8K	-751	0.00	77.93	0	10	453	466
2013-01-15	$7.44	$7.50	62.3%	17.9%	30.2%	37.2%	0.0%	10.8%	-1.0%	6.5K	-18.5K	-760	0.00	92.85	23	0	453	476
2013-01-16	$7.47	$7.50	61.8%	17.7%	30.2%	36.4%	0.0%	13.6%	-1.2%	6.7K	-34.3K	-770	0.00	91.76	0	0	464	476
2013-01-17	$7.62	$7.50	61.9%	17.8%	30.5%	36.6%	0.0%	5.1%	0.1%	7.6K	-91.5K	-739	0.00	84.24	60	0	434	476
2013-01-18	$7.59	$7.50	60.3%	17.3%	29.6%	34.2%	60.3%	-0.5%	0.1%	11.2K	-101.4K	-766	0.25	81.95	32	8	482	476
2013-01-22	$7.71	$7.50	63.5%	18.2%	30.1%	39.1%	63.5%	2.7%	-3.3%	-540	10.2K	-735	0.89	82.59	18	16	240	306
2013-01-23	$7.70	$7.50	61.6%	17.7%	25.9%	36.1%	61.6%	1.7%	-0.8%	-265	3.9K	-760	0.00	81.87	5	0	258	311
2013-01-24	$7.62	$7.50	60.8%	17.4%	25.3%	34.8%	60.8%	-0.9%	-1.0%	-178	5.3K	-749	0.50	86.29	20	10	263	311
2013-01-25	$7.80	$7.50	62.7%	18.0%	26.3%	37.8%	0.0%	0.6%	-2.5%	-198	-6.1K	-785	0.00	82.12	100	0	279	321
2013-01-28	$8.06	$7.50	67.0%	19.2%	28.4%	44.3%	0.0%	8.2%	-4.9%	1.2K	-78.5K	-899	0.00	83.52	46	0	379	321
2013-01-29	$8.05	$7.50	62.8%	18.0%	28.4%	37.9%	64.9%	7.0%	-0.7%	1.6K	-91.3K	-982	0.40	84.08	30	12	425	321
2013-01-30	$8.03	$7.50	62.5%	17.9%	26.7%	37.5%	0.0%	3.2%	0.4%	1.3K	-110.2K	-978	0.00	84.74	5	0	455	333
2013-01-31	$8.14	$7.50	67.7%	19.4%	25.7%	45.3%	0.0%	13.9%	-6.7%	1.5K	-123.7K	-991	0.00	86.08	15	0	460	333