CALX Options History — March 2013

In March 2013, CALX traded between $8.15 and $9.17. ATM implied volatility averaged 48.6%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded above realized volatility by 8.1% (HV 20d: 40.5%). 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 20 of 20 days. Put/call ratio averaged 0.36.

Notable Days

2013-03-15: Highest Volume — 496 contracts
2013-03-05: Largest IV drop — 34.0% change
2013-03-04: Highest IV Rank — 38.6%
2013-03-06: Largest Expected Move — 16.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.63	$8.15	$9.17	$8.38	$8.15
Max Pain	$7.25	$5.00	$7.50	$7.50	$7.50
ATM IV	48.6%	32.9%	61.5%	50.3%	51.3%
Expected Move	14.8%	13.9%	16.0%	14.4%	14.7%
HV 20d	40.5%	32.8%	55.6%	54.8%	33.2%
HV 60d	39.6%	38.2%	40.4%	38.2%	39.3%
IV Rank	21.7%	0.0%	38.6%	22.4%	26.0%
IV Percentile	14.0%	0.0%	38.9%	11.1%	17.1%
Term Structure	5.7%	2.1%	9.8%	9.8%	7.9%
VWIV	52.0%	48.4%	56.1%	56.1%	52.3%
Skew 25d	5.1%	-3.8%	17.0%	17.0%	-3.8%
Skew 10d	13.2%	0.6%	69.8%	36.7%	2.8%
Call IV 25d	51.0%	33.0%	59.3%	35.9%	59.3%
Put IV 25d	56.1%	39.0%	61.3%	53.0%	55.6%
Bid-Ask Spread %	21.74	5.26	33.29	5.26	23.17
Gamma HHI	0.35	0.29	0.45	0.36	0.30
Net GEX	2.5K	454	5.4K	1.4K	2.5K
Net DEX	-622.7K	-701.8K	-529.0K	-569.9K	-529.0K
Net VEX	-2.0K	-3.0K	-1.2K	-1.3K	-2.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.36	0.00	2.75	0.00	0.60
Total Volume	71.45	0	496	0	10
Total OI	1,993.8	1,695	2,266	1,700	2,266

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
2013-03-01	$8.38	$7.50	50.3%	14.4%	54.8%	22.4%	0.0%	17.0%	9.8%	1.4K	-569.9K	-1.3K	0.00	5.26	0	0	1,121	579
2013-03-04	$8.26	$5.00	61.5%	16.0%	55.1%	38.6%	0.0%	14.9%	2.1%	1.5K	-540.7K	-1.3K	0.00	19.06	9	0	1,121	579
2013-03-05	$8.45	$5.00	40.6%	16.0%	55.6%	8.3%	0.0%	0.6%	2.8%	584	-600.9K	-1.3K	0.00	20.10	12	0	1,128	579
2013-03-06	$8.43	$7.50	40.1%	16.0%	53.9%	7.6%	56.1%	5.3%	2.2%	454	-587.7K	-1.2K	2.75	19.72	20	55	1,116	579
2013-03-07	$9.02	$7.50	33.0%	14.3%	44.1%	0.0%	55.3%	9.7%	3.3%	1.1K	-701.8K	-1.3K	0.16	18.43	298	47	1,136	634
2013-03-08	$9.05	$7.50	32.9%	14.1%	44.1%	0.0%	0.0%	9.4%	3.8%	1.8K	-678.4K	-1.4K	0.00	15.04	25	0	1,143	663
2013-03-11	$9.17	$7.50	43.1%	14.6%	41.4%	14.5%	0.0%	4.7%	2.3%	2.1K	-687.1K	-1.4K	0.00	27.57	0	3	1,129	663
2013-03-12	$9.08	$7.50	43.5%	13.9%	40.4%	14.9%	48.4%	4.7%	4.5%	1.2K	-674.1K	-1.3K	0.00	28.27	2	0	1,129	666
2013-03-13	$8.87	$7.50	57.1%	14.2%	37.6%	34.2%	0.0%	4.3%	4.1%	830	-616.0K	-1.4K	0.00	19.37	0	20	1,111	666
2013-03-14	$8.86	$7.50	50.1%	14.4%	37.3%	24.3%	49.8%	4.2%	4.1%	682	-606.9K	-1.4K	0.04	30.48	334	13	1,111	686
2013-03-15	$8.80	$7.50	52.2%	15.0%	37.4%	27.2%	51.1%	2.1%	3.1%	2.8K	-664.8K	-2.1K	0.03	30.40	483	13	1,421	686
2013-03-18	$8.78	$7.50	52.2%	15.0%	37.3%	27.2%	0.0%	10.2%	6.7%	5.4K	-701.2K	-2.9K	0.00	25.84	0	10	1,608	614
2013-03-19	$8.61	$7.50	54.4%	15.6%	37.3%	30.3%	50.8%	7.1%	8.1%	4.5K	-638.1K	-2.9K	0.40	23.56	5	2	1,602	624
2013-03-20	$8.72	$7.50	50.4%	14.5%	34.0%	24.8%	0.0%	9.0%	8.9%	4.9K	-674.7K	-2.9K	0.00	33.29	22	0	1,607	624
2013-03-21	$8.53	$7.50	53.6%	15.4%	34.9%	29.2%	0.0%	3.8%	6.7%	4.3K	-635.1K	-3.0K	0.00	32.32	0	0	1,627	624
2013-03-22	$8.40	$7.50	52.2%	15.0%	33.5%	27.3%	0.0%	2.0%	9.2%	3.9K	-601.4K	-2.9K	0.00	18.88	0	0	1,627	624
2013-03-25	$8.42	$7.50	51.9%	14.9%	32.8%	26.8%	0.0%	0.6%	7.9%	3.8K	-600.7K	-2.8K	0.60	12.97	25	15	1,627	624
2013-03-26	$8.40	$7.50	51.7%	14.8%	32.8%	26.6%	52.3%	-0.7%	6.1%	3.5K	-579.5K	-2.7K	0.00	14.57	0	6	1,627	639
2013-03-27	$8.30	$7.50	49.8%	14.3%	33.1%	23.9%	0.0%	-2.6%	9.8%	3.0K	-566.0K	-2.6K	0.00	16.40	0	0	1,627	639
2013-03-28	$8.15	$7.50	51.3%	14.7%	33.2%	26.0%	0.0%	-3.8%	7.9%	2.5K	-529.0K	-2.6K	0.00	23.17	0	10	1,627	639