CALX Options History — February 2013

In February 2013, CALX traded between $7.68 and $8.82. ATM implied volatility averaged 58.6%, placing in the 31.7% IV rank vs the trailing year. The 30-day expected move averaged 16.1%. IV traded above realized volatility by 11.4% (HV 20d: 47.1%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.88.

Notable Days

2013-02-08: Highest Volume — 529 contracts
2013-02-28: Largest IV drop — 40.9% change
2013-02-05: Highest IV Rank — 75.6%
2013-02-04: Largest Expected Move — 17.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.36	$7.68	$8.82	$8.16	$8.57
Max Pain	$6.45	$5.00	$7.50	$5.00	$7.50
ATM IV	58.6%	34.9%	87.7%	62.6%	34.9%
Expected Move	16.1%	10.0%	17.5%	16.9%	10.0%
HV 20d	47.1%	22.8%	55.1%	22.9%	54.2%
HV 60d	41.4%	37.5%	44.3%	43.0%	39.5%
IV Rank	31.7%	0.0%	75.6%	37.6%	0.0%
IV Percentile	32.2%	0.0%	97.2%	42.1%	0.0%
Term Structure	-0.1%	-4.3%	17.7%	-0.1%	17.7%
VWIV	59.2%	47.9%	82.8%	58.4%	53.7%
Skew 25d	12.0%	-1.2%	30.2%	0.9%	5.7%
Skew 10d	23.9%	6.4%	62.4%	6.9%	8.8%
Call IV 25d	45.7%	32.0%	60.4%	58.2%	55.1%
Put IV 25d	57.7%	53.3%	64.7%	59.1%	60.7%
Bid-Ask Spread %	28.84	6.04	78.40	53.48	6.04
Gamma HHI	0.44	0.37	0.76	0.49	0.37
Net GEX	2.1K	751	3.9K	1.5K	751
Net DEX	-459.8K	-664.5K	-120.3K	-140.2K	-619.7K
Net VEX	-1.3K	-1.6K	-949	-968	-1.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.88	0.00	5.00	0.07	0.00
Total Volume	75.737	0	529	0	5
Total OI	1,474.211	808	1,815	808	1,695

Daily Data (19 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
2013-02-01	$8.16	$5.00	62.6%	16.9%	22.9%	37.6%	0.0%	0.9%	-0.1%	1.5K	-140.2K	-968	0.00	53.48	0	0	475	333
2013-02-04	$8.19	$5.00	72.6%	17.5%	22.8%	52.8%	0.0%	1.8%	0.0%	1.6K	-144.2K	-949	0.00	77.64	0	0	475	333
2013-02-05	$8.51	$5.00	87.7%	17.4%	25.2%	75.6%	58.4%	2.3%	-0.8%	1.7K	-181.7K	-954	0.07	52.78	173	12	475	333
2013-02-06	$7.68	$5.00	60.6%	17.1%	46.1%	34.5%	59.8%	11.6%	-0.6%	3.9K	-120.3K	-995	1.47	66.68	89	131	630	345
2013-02-07	$7.75	$5.00	54.3%	15.6%	46.0%	25.1%	54.3%	19.2%	-1.3%	3.7K	-124.0K	-1.1K	2.25	78.40	77	173	656	406
2013-02-08	$8.14	$5.00	56.9%	16.3%	47.1%	29.0%	56.9%	30.2%	-0.6%	2.0K	-160.4K	-1.3K	0.03	9.87	512	17	650	518
2013-02-11	$7.95	$5.00	54.2%	15.5%	48.1%	24.9%	54.2%	15.3%	0.2%	2.7K	-502.8K	-1.5K	2.17	10.19	30	65	1,150	564
2013-02-12	$8.39	$7.50	57.1%	16.4%	51.3%	29.3%	66.3%	21.3%	-2.5%	2.1K	-593.6K	-1.6K	0.00	11.74	25	0	1,168	619
2013-02-13	$8.52	$5.00	57.9%	16.6%	51.4%	30.5%	58.0%	25.0%	-1.3%	2.1K	-642.9K	-1.6K	0.48	8.61	21	10	1,190	619
2013-02-14	$8.60	$7.50	57.4%	16.4%	51.4%	29.7%	0.0%	5.7%	-3.3%	1.9K	-663.0K	-1.5K	0.00	25.20	20	0	1,186	629
2013-02-15	$8.65	$7.50	55.0%	15.8%	51.1%	26.1%	0.0%	5.2%	0.4%	2.0K	-664.5K	-1.5K	0.00	20.90	0	0	1,174	629
2013-02-19	$8.82	$7.50	54.7%	15.7%	51.2%	25.6%	47.9%	5.2%	-4.3%	2.2K	-655.0K	-1.4K	5.00	25.24	2	10	1,104	559
2013-02-20	$8.44	$7.50	56.0%	16.1%	54.2%	27.6%	82.8%	-1.2%	-0.5%	1.8K	-572.8K	-1.5K	0.00	10.78	25	0	1,104	569
2013-02-21	$8.41	$7.50	58.6%	16.8%	54.3%	31.5%	58.5%	19.2%	-1.4%	1.7K	-559.6K	-1.5K	0.00	14.20	30	0	1,102	569
2013-02-22	$8.67	$7.50	56.2%	16.1%	54.7%	27.9%	53.7%	24.8%	0.7%	2.1K	-627.9K	-1.4K	0.00	17.67	2	0	1,117	569
2013-02-25	$8.50	$7.50	57.8%	16.6%	55.1%	30.3%	0.0%	4.4%	1.2%	1.9K	-595.1K	-1.4K	0.00	20.04	0	0	1,116	569
2013-02-26	$8.48	$7.50	59.3%	17.0%	54.1%	32.6%	0.0%	16.4%	-1.9%	1.9K	-589.3K	-1.4K	0.00	18.95	0	10	1,116	569
2013-02-27	$8.46	$7.50	59.0%	16.9%	54.1%	32.2%	0.0%	14.6%	-3.7%	1.7K	-578.4K	-1.4K	0.00	19.46	0	0	1,116	579
2013-02-28	$8.57	$7.50	34.9%	10.0%	54.2%	0.0%	0.0%	5.7%	17.7%	751	-619.7K	-1.3K	0.00	6.04	5	0	1,116	579