CALX Options History — November 2013

In November 2013, CALX traded between $9.86 and $10.42. ATM implied volatility averaged 46.5%, placing in the 26.0% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded below realized volatility by 42.3% (HV 20d: 88.8%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 1.48.

Notable Days

2013-11-11: Highest Volume — 322 contracts
2013-11-14: Largest IV spike — 59.4% change
2013-11-11: Highest IV Rank — 33.8%
2013-11-04: Largest Expected Move — 13.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.16	$9.86	$10.42	$9.86	$10.24
Max Pain	$10.00	$10.00	$10.00	$10.00	$10.00
ATM IV	46.5%	28.6%	55.3%	47.8%	45.7%
Expected Move	13.1%	12.4%	13.8%	13.7%	13.1%
HV 20d	88.8%	29.7%	98.1%	96.2%	29.7%
HV 60d	61.0%	60.4%	61.6%	60.8%	60.6%
IV Rank	26.0%	0.0%	33.8%	23.5%	29.0%
IV Percentile	33.9%	0.0%	69.4%	36.5%	30.6%
Term Structure	-0.7%	-2.5%	0.9%	-1.9%	-1.1%
VWIV	45.2%	41.0%	46.8%	41.0%	43.8%
Skew 25d	11.9%	-1.1%	64.7%	18.3%	64.7%
Skew 10d	20.9%	-1.6%	125.4%	28.8%	125.4%
Call IV 25d	39.6%	30.1%	47.4%	43.4%	38.1%
Put IV 25d	51.4%	44.6%	102.8%	61.8%	102.8%
Bid-Ask Spread %	68.76	9.97	83.98	73.93	13.50
Gamma HHI	0.55	0.44	0.80	0.55	0.47
Net GEX	-5.4K	-22.6K	-842	-3.2K	-929
Net DEX	69.1K	-92.5K	255.4K	255.4K	-39.3K
Net VEX	-2.2K	-2.6K	-1.8K	-2.4K	-2.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.48	0.00	13.64	1.15	0.16
Total Volume	70.7	0	322	209	0
Total OI	2,074.15	1,490	2,595	2,215	1,878

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
2013-11-01	$9.86	$10.00	47.8%	13.7%	96.2%	23.5%	0.0%	18.3%	-1.9%	-3.2K	255.4K	-2.4K	1.15	73.93	97	112	1,221	994
2013-11-04	$10.30	$10.00	51.9%	13.8%	98.1%	29.1%	41.0%	-0.2%	-2.1%	-1.8K	82.0K	-2.6K	0.03	72.54	75	2	1,311	1,021
2013-11-05	$10.37	$10.00	49.0%	13.1%	96.9%	25.2%	45.8%	-0.9%	-0.1%	-842	28.7K	-2.6K	0.29	71.84	56	16	1,346	1,023
2013-11-06	$10.37	$10.00	52.8%	13.5%	96.9%	30.4%	46.8%	0.1%	-0.1%	-2.1K	41.0K	-2.6K	0.65	72.42	23	15	1,334	1,039
2013-11-07	$10.29	$10.00	51.6%	13.6%	96.8%	28.7%	0.0%	1.3%	-0.4%	-2.2K	70.8K	-2.5K	1.07	77.20	15	16	1,327	1,039
2013-11-08	$10.05	$10.00	46.3%	13.0%	96.7%	21.5%	46.6%	-1.1%	-1.7%	-2.8K	182.4K	-2.4K	1.39	74.48	18	25	1,323	1,045
2013-11-11	$10.10	$10.00	55.3%	13.5%	95.1%	33.8%	0.0%	14.9%	-0.6%	-3.0K	180.2K	-2.3K	13.64	83.98	22	300	1,315	1,055
2013-11-12	$10.22	$10.00	51.7%	13.4%	95.3%	28.8%	0.0%	16.6%	-1.5%	-22.6K	182.8K	-2.4K	0.00	75.18	10	0	1,293	1,302
2013-11-13	$10.42	$10.00	28.6%	13.4%	95.8%	0.0%	0.0%	1.8%	-1.6%	-15.6K	-52.9K	-2.2K	0.40	74.94	55	22	1,290	1,302
2013-11-14	$10.31	$10.00	45.6%	13.1%	95.7%	22.6%	46.2%	3.0%	-0.1%	-18.3K	-47.9K	-2.0K	0.00	66.11	37	0	1,266	1,151
2013-11-15	$10.40	$10.00	45.2%	13.0%	93.7%	28.2%	0.0%	17.6%	0.8%	-9.6K	-92.5K	-1.9K	1.07	76.06	28	30	1,273	1,151
2013-11-18	$10.02	$10.00	46.9%	13.4%	94.1%	30.9%	46.8%	12.9%	-1.6%	-3.8K	98.1K	-1.8K	0.12	74.46	130	16	822	668
2013-11-19	$10.06	$10.00	44.3%	12.7%	94.3%	26.5%	44.3%	12.6%	0.4%	-2.8K	66.9K	-2.0K	5.00	76.46	2	10	936	684
2013-11-20	$10.02	$10.00	46.2%	13.2%	94.2%	29.8%	0.0%	14.6%	-2.5%	-3.1K	81.4K	-1.9K	0.00	76.72	0	0	938	689
2013-11-21	$10.15	$10.00	45.3%	13.0%	94.4%	28.2%	0.0%	14.2%	-0.1%	-2.6K	39.5K	-2.0K	0.00	76.98	1	0	938	689
2013-11-22	$10.02	$10.00	44.4%	12.7%	94.2%	26.8%	0.0%	12.1%	-0.0%	-3.3K	84.4K	-1.9K	0.14	75.21	7	1	938	689
2013-11-25	$9.99	$10.00	44.5%	12.8%	94.2%	27.0%	0.0%	8.6%	-0.5%	-3.8K	96.7K	-1.8K	0.00	76.58	50	0	945	690
2013-11-26	$9.90	$10.00	43.1%	12.4%	91.3%	24.6%	0.0%	14.4%	-0.3%	-3.7K	104.4K	-1.8K	0.16	76.69	191	31	989	690
2013-11-27	$10.05	$10.00	43.8%	12.6%	31.6%	25.7%	43.8%	11.9%	0.9%	-1.5K	19.7K	-2.3K	0.00	9.97	0	1	1,158	721
2013-11-29	$10.24	$10.00	45.7%	13.1%	29.7%	29.0%	0.0%	64.7%	-1.1%	-929	-39.3K	-2.3K	0.00	13.50	0	0	1,158	720