CALX Options History — June 2013

In June 2013, CALX traded between $10.10 and $10.85. ATM implied volatility averaged 47.7%, placing in the 23.4% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded above realized volatility by 5.8% (HV 20d: 41.9%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.26.

Notable Days

2013-06-28: Highest Volume — 313 contracts
2013-06-04: Largest IV drop — 11.5% change
2013-06-18: Highest IV Rank — 29.9%
2013-06-12: Largest Expected Move — 15.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.35	$10.10	$10.85	$10.40	$10.10
Max Pain	$9.50	$7.50	$10.00	$7.50	$10.00
ATM IV	47.7%	43.7%	52.4%	52.0%	43.7%
Expected Move	13.9%	12.5%	15.4%	14.9%	12.5%
HV 20d	41.9%	24.4%	47.5%	46.1%	24.6%
HV 60d	43.6%	43.2%	44.1%	43.4%	44.1%
IV Rank	23.4%	18.0%	29.9%	29.3%	18.0%
IV Percentile	18.7%	9.9%	35.7%	30.6%	9.9%
Term Structure	4.1%	-1.2%	11.5%	-0.4%	11.5%
VWIV	48.3%	44.7%	52.4%	52.0%	44.8%
Skew 25d	14.4%	-4.8%	53.2%	-4.8%	8.1%
Skew 10d	24.9%	-4.3%	97.5%	-2.0%	11.3%
Call IV 25d	37.9%	27.9%	49.5%	49.5%	34.6%
Put IV 25d	52.2%	41.3%	87.1%	44.7%	42.7%
Bid-Ask Spread %	13.43	8.48	22.53	14.72	10.81
Gamma HHI	0.53	0.46	0.60	0.53	0.48
Net GEX	21.1K	17.7K	26.8K	18.4K	18.8K
Net DEX	-970.9K	-1.3M	-821.5K	-942.6K	-842.1K
Net VEX	-2.9K	-3.1K	-2.8K	-3.1K	-3.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.26	0.00	1.67	1.67	0.00
Total Volume	48.8	0	313	8	313
Total OI	2,158.9	2,098	2,249	2,098	2,177

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
2013-06-03	$10.40	$7.50	52.0%	14.9%	46.1%	29.3%	52.0%	-4.8%	-0.4%	18.4K	-942.6K	-3.1K	1.67	14.72	3	5	1,626	472
2013-06-04	$10.25	$7.50	46.0%	13.2%	46.8%	21.1%	46.0%	2.9%	1.9%	19.7K	-908.6K	-3.1K	0.00	17.03	50	0	1,629	474
2013-06-05	$10.12	$7.50	48.5%	13.9%	47.3%	24.5%	48.5%	4.8%	0.1%	21.4K	-893.0K	-3.1K	0.00	13.66	25	0	1,677	474
2013-06-06	$10.30	$7.50	44.9%	12.9%	47.2%	19.6%	0.0%	5.2%	5.7%	22.0K	-960.9K	-3.0K	0.00	15.85	0	0	1,677	474
2013-06-07	$10.31	$10.00	46.3%	13.9%	46.7%	21.5%	0.0%	-2.7%	3.9%	22.5K	-961.0K	-3.0K	0.00	19.48	0	0	1,677	474
2013-06-10	$10.35	$10.00	47.0%	14.3%	45.9%	22.5%	0.0%	13.8%	3.4%	23.2K	-971.2K	-2.9K	0.00	10.41	18	0	1,677	474
2013-06-11	$10.27	$10.00	46.6%	14.6%	46.1%	22.0%	0.0%	-2.6%	1.5%	23.8K	-959.6K	-2.9K	0.00	21.54	0	0	1,687	474
2013-06-12	$10.29	$10.00	48.9%	15.4%	46.0%	25.1%	0.0%	0.7%	-1.2%	23.4K	-958.6K	-2.9K	0.00	13.16	0	0	1,687	474
2013-06-13	$10.45	$10.00	50.9%	14.6%	46.2%	27.7%	0.0%	16.1%	2.3%	23.6K	-1.0M	-2.9K	0.03	10.95	106	3	1,687	474
2013-06-14	$10.28	$10.00	50.3%	14.4%	46.8%	27.0%	0.0%	11.5%	2.1%	24.3K	-945.9K	-2.8K	0.00	11.21	10	0	1,664	477
2013-06-17	$10.51	$10.00	51.0%	14.6%	47.2%	28.0%	51.1%	14.5%	2.1%	23.5K	-1.0M	-2.8K	0.13	10.74	105	14	1,674	477
2013-06-18	$10.85	$10.00	52.4%	15.0%	47.5%	29.9%	52.4%	18.3%	2.1%	18.6K	-1.3M	-2.9K	0.10	22.53	60	6	1,773	476
2013-06-19	$10.82	$10.00	52.3%	15.0%	47.2%	29.7%	0.0%	24.7%	0.9%	18.9K	-1.2M	-2.9K	0.00	13.95	21	0	1,752	482
2013-06-20	$10.64	$10.00	48.5%	13.9%	43.3%	24.6%	0.0%	40.0%	4.4%	20.3K	-1.1M	-2.9K	0.00	14.76	6	0	1,722	480
2013-06-21	$10.30	$10.00	47.0%	13.5%	45.5%	22.5%	47.0%	13.4%	5.3%	26.8K	-1.0M	-2.8K	0.43	12.89	93	40	1,728	480
2013-06-24	$10.13	$10.00	44.0%	12.6%	35.1%	18.3%	0.0%	7.9%	9.4%	18.0K	-821.5K	-2.9K	0.00	9.01	0	0	1,621	499
2013-06-25	$10.17	$10.00	44.7%	12.8%	28.7%	19.3%	44.7%	53.2%	9.0%	18.4K	-831.5K	-2.9K	1.00	8.68	11	11	1,621	499
2013-06-26	$10.23	$10.00	44.8%	12.9%	28.4%	19.5%	44.8%	9.9%	9.2%	17.7K	-852.0K	-2.9K	0.25	8.69	61	15	1,601	510
2013-06-27	$10.21	$10.00	43.7%	12.5%	24.4%	18.0%	0.0%	52.4%	9.0%	19.0K	-865.9K	-3.0K	0.00	8.48	0	0	1,662	515
2013-06-28	$10.10	$10.00	43.7%	12.5%	24.6%	18.0%	0.0%	8.1%	11.5%	18.8K	-842.1K	-3.0K	0.00	10.81	313	0	1,662	515