CALX Options History — September 2013

In September 2013, CALX traded between $12.65 and $13.90. ATM implied volatility averaged 47.4%, placing in the 23.0% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded above realized volatility by 12.7% (HV 20d: 34.7%). Max pain ranged from $7.50 to $12.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.79.

Notable Days

2013-09-10: Highest Volume — 1,848 contracts
2013-09-11: Largest IV drop — 13.2% change
2013-09-03: Highest IV Rank — 37.4%
2013-09-03: Largest Expected Move — 16.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.03	$12.65	$13.90	$13.09	$12.73
Max Pain	$8.75	$7.50	$12.50	$12.50	$10.00
ATM IV	47.4%	43.3%	57.9%	57.9%	47.3%
Expected Move	13.7%	12.5%	16.6%	16.6%	13.6%
HV 20d	34.7%	28.9%	38.2%	34.6%	34.3%
HV 60d	35.2%	33.3%	36.3%	33.3%	35.6%
IV Rank	23.0%	17.3%	37.4%	37.4%	22.9%
IV Percentile	30.6%	15.1%	67.5%	67.5%	32.1%
Term Structure	4.1%	-7.3%	8.6%	-7.3%	8.2%
VWIV	49.2%	29.0%	86.9%	57.9%	43.9%
Skew 25d	3.2%	-7.5%	11.6%	3.2%	11.6%
Skew 10d	4.0%	-13.7%	27.9%	5.8%	15.8%
Call IV 25d	43.8%	31.4%	53.0%	53.0%	33.1%
Put IV 25d	47.0%	38.0%	58.4%	56.2%	44.7%
Bid-Ask Spread %	18.84	10.36	52.90	17.51	12.77
Gamma HHI	0.55	0.41	0.69	0.69	0.43
Net GEX	58.8K	26.1K	98.8K	88.4K	27.3K
Net DEX	-2.8M	-4.8M	-1.7M	-3.4M	-1.7M
Net VEX	-3.5K	-4.9K	-2.5K	-4.9K	-2.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.79	0.00	10.00	0.59	0.94
Total Volume	226.5	3	1,848	148	10
Total OI	3,843	2,597	4,843	4,293	2,868

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
2013-09-03	$13.09	$12.50	57.9%	16.6%	34.6%	37.4%	57.9%	3.2%	-7.3%	88.4K	-3.4M	-4.9K	0.59	17.51	93	55	3,907	386
2013-09-04	$13.46	$12.50	55.5%	15.9%	34.5%	34.0%	55.1%	2.1%	-3.4%	86.2K	-3.9M	-4.6K	0.15	16.36	192	28	3,926	430
2013-09-05	$13.38	$12.50	55.6%	15.9%	28.9%	34.2%	0.0%	3.0%	-4.7%	91.7K	-3.9M	-4.7K	0.00	12.71	6	0	4,108	455
2013-09-06	$13.39	$7.50	50.1%	14.2%	28.9%	26.7%	46.7%	-0.4%	2.0%	98.8K	-3.9M	-4.5K	0.03	14.76	1,049	32	4,108	455
2013-09-09	$13.90	$7.50	44.6%	13.8%	31.1%	19.2%	0.0%	4.3%	4.1%	96.6K	-4.8M	-4.0K	0.00	52.90	18	0	4,374	469
2013-09-10	$13.12	$7.50	49.8%	14.2%	38.1%	26.3%	50.0%	-2.2%	2.3%	89.0K	-3.2M	-4.0K	0.28	15.68	1,446	402	3,663	469
2013-09-11	$13.04	$7.50	43.3%	13.7%	38.2%	17.3%	0.0%	5.3%	2.0%	69.6K	-3.0M	-4.4K	0.00	14.05	75	0	3,675	856
2013-09-12	$12.73	$7.50	46.5%	13.3%	37.6%	21.8%	0.0%	8.4%	5.2%	62.6K	-2.3M	-3.8K	0.00	17.14	3	0	3,300	856
2013-09-13	$12.65	$7.50	44.8%	12.9%	35.2%	19.5%	29.0%	-7.5%	5.0%	66.5K	-2.2M	-3.6K	0.00	13.55	5	0	3,297	856
2013-09-16	$12.86	$7.50	46.0%	13.2%	35.5%	21.1%	45.7%	-3.1%	7.5%	73.3K	-2.5M	-3.2K	0.15	21.88	174	26	3,292	856
2013-09-17	$13.04	$7.50	46.1%	13.2%	35.7%	21.2%	46.1%	-4.2%	5.3%	67.1K	-2.9M	-3.6K	10.00	18.29	1	10	3,462	872
2013-09-18	$13.30	$7.50	45.8%	13.1%	34.7%	20.7%	46.0%	4.9%	6.6%	43.9K	-3.4M	-3.1K	0.00	19.20	5	0	3,463	873
2013-09-19	$13.16	$7.50	46.0%	13.2%	35.0%	21.0%	45.9%	-1.5%	5.9%	39.0K	-3.2M	-3.0K	0.16	17.21	161	25	3,335	847
2013-09-20	$13.09	$7.50	45.5%	13.0%	34.8%	20.4%	45.9%	-2.1%	6.6%	42.2K	-3.2M	-3.1K	2.25	33.58	16	36	3,376	872
2013-09-23	$12.67	$7.50	44.4%	12.7%	36.0%	18.8%	44.3%	8.4%	7.9%	29.0K	-1.8M	-2.9K	0.12	34.34	173	20	2,335	365
2013-09-24	$12.67	$7.50	45.2%	13.0%	36.0%	20.0%	45.4%	10.5%	5.8%	27.0K	-1.7M	-2.6K	0.40	11.55	50	20	2,230	385
2013-09-25	$12.85	$10.00	43.8%	12.5%	35.1%	18.0%	86.9%	4.9%	8.6%	26.3K	-1.8M	-2.5K	0.00	11.97	100	0	2,235	405
2013-09-26	$12.83	$10.00	43.9%	12.6%	35.0%	18.3%	43.9%	10.6%	7.0%	26.4K	-1.8M	-2.5K	0.00	10.36	6	0	2,192	405
2013-09-27	$12.73	$10.00	45.8%	13.1%	34.4%	20.8%	0.0%	7.9%	7.6%	26.1K	-1.7M	-2.5K	0.94	10.98	151	142	2,197	405
2013-09-30	$12.73	$10.00	47.3%	13.6%	34.3%	22.9%	0.0%	11.6%	8.2%	27.3K	-1.7M	-2.9K	0.00	12.77	0	10	2,345	523