CALX Options History — December 2013

In December 2013, CALX traded between $9.45 and $9.78. ATM implied volatility averaged 43.1%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 17.7% (HV 20d: 25.3%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.19.

Notable Days

2013-12-19: Highest Volume — 350 contracts
2013-12-11: Largest IV spike — 14.1% change
2013-12-11: Highest IV Rank — 33.8%
2013-12-02: Largest Expected Move — 13.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.63	$9.45	$9.78	$9.77	$9.64
Max Pain	$10.00	$10.00	$10.00	$10.00	$10.00
ATM IV	43.1%	38.1%	48.5%	47.6%	40.7%
Expected Move	12.3%	10.9%	13.6%	13.6%	11.7%
HV 20d	25.3%	16.7%	32.4%	32.4%	16.7%
HV 60d	59.4%	59.0%	61.2%	61.2%	59.1%
IV Rank	24.5%	16.1%	33.8%	32.1%	20.4%
IV Percentile	19.0%	7.1%	44.8%	40.5%	11.1%
Term Structure	5.1%	-3.4%	11.9%	-3.0%	10.5%
VWIV	41.6%	38.9%	44.6%	44.6%	40.6%
Skew 25d	9.2%	0.5%	93.0%	14.8%	93.0%
Skew 10d	12.1%	-0.1%	126.5%	23.6%	126.5%
Call IV 25d	43.6%	38.1%	49.2%	42.2%	42.0%
Put IV 25d	52.8%	41.8%	135.0%	57.0%	135.0%
Bid-Ask Spread %	87.30	23.83	99.93	74.04	23.83
Gamma HHI	0.58	0.50	0.69	0.50	0.68
Net GEX	-5.7K	-10.3K	-2.5K	-2.5K	-10.3K
Net DEX	227.7K	82.9K	442.7K	105.4K	338.3K
Net VEX	-1.8K	-2.1K	-1.4K	-2.0K	-2.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.19	0.00	1.25	1.25	0.00
Total Volume	27.429	0	350	45	19
Total OI	1,938.238	1,878	2,229	1,878	2,014

Daily Data (21 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
2013-12-02	$9.77	$10.00	47.6%	13.6%	32.4%	32.1%	0.0%	14.8%	-3.0%	-2.5K	105.4K	-2.0K	1.25	74.04	20	25	1,158	720
2013-12-03	$9.75	$10.00	42.9%	12.3%	27.9%	24.3%	0.0%	7.2%	-0.6%	-3.0K	114.8K	-2.0K	0.00	92.43	0	0	1,174	720
2013-12-04	$9.70	$10.00	44.9%	12.9%	27.7%	27.6%	0.0%	10.7%	-3.4%	-3.3K	140.1K	-1.9K	0.00	76.34	0	0	1,174	720
2013-12-05	$9.77	$10.00	44.2%	12.7%	27.9%	26.4%	0.0%	6.7%	-1.8%	-3.1K	108.7K	-1.9K	0.00	91.91	0	0	1,174	720
2013-12-06	$9.76	$10.00	42.5%	12.6%	27.9%	23.5%	0.0%	3.8%	5.8%	-2.9K	82.9K	-1.9K	0.00	78.25	0	0	1,174	720
2013-12-09	$9.78	$10.00	43.8%	12.5%	26.8%	25.8%	0.0%	3.0%	6.0%	-3.5K	110.7K	-1.8K	0.00	94.82	2	0	1,174	720
2013-12-10	$9.72	$10.00	42.6%	12.3%	26.7%	23.6%	0.0%	0.5%	6.4%	-3.9K	140.5K	-1.8K	0.00	94.21	0	0	1,174	720
2013-12-11	$9.65	$10.00	48.5%	12.9%	26.3%	33.8%	0.0%	1.1%	4.5%	-3.6K	162.7K	-1.7K	0.00	96.00	7	0	1,174	720
2013-12-12	$9.59	$10.00	43.0%	12.3%	24.9%	24.5%	0.0%	0.9%	6.5%	-4.2K	197.1K	-1.6K	0.00	94.22	0	0	1,181	720
2013-12-13	$9.51	$10.00	42.3%	12.1%	24.9%	23.3%	0.0%	0.9%	8.0%	-4.3K	199.0K	-1.6K	0.00	95.38	0	0	1,181	720
2013-12-16	$9.74	$10.00	42.3%	12.1%	26.4%	23.1%	0.0%	5.1%	7.9%	-5.5K	158.4K	-1.6K	0.00	95.29	0	0	1,181	720
2013-12-17	$9.69	$10.00	42.6%	12.2%	23.2%	23.7%	0.0%	2.7%	7.5%	-5.5K	191.1K	-1.6K	0.00	94.89	0	0	1,181	720
2013-12-18	$9.45	$10.00	44.8%	12.8%	24.5%	27.4%	44.6%	0.6%	3.2%	-4.1K	248.3K	-1.4K	0.00	99.93	0	27	1,181	720
2013-12-19	$9.45	$10.00	44.2%	12.7%	24.6%	26.4%	0.0%	0.9%	4.7%	-4.9K	252.0K	-1.4K	0.00	96.55	0	350	1,164	715
2013-12-20	$9.45	$10.00	44.9%	12.9%	23.9%	27.6%	0.0%	0.9%	4.8%	-8.3K	442.7K	-2.1K	0.00	88.33	0	0	1,164	1,065
2013-12-23	$9.60	$10.00	42.7%	12.3%	24.6%	23.9%	42.7%	6.2%	4.8%	-9.3K	355.1K	-2.1K	0.00	67.48	16	0	983	973
2013-12-24	$9.61	$10.00	42.9%	12.3%	24.6%	24.2%	43.0%	6.6%	6.7%	-9.0K	331.5K	-2.1K	0.00	97.95	38	0	999	973
2013-12-26	$9.62	$10.00	38.9%	11.2%	24.4%	17.5%	38.9%	8.9%	9.3%	-10.0K	354.1K	-2.1K	0.02	96.38	62	1	1,018	973
2013-12-27	$9.55	$10.00	39.8%	11.4%	23.7%	19.0%	39.8%	10.2%	8.3%	-9.6K	364.6K	-2.0K	0.29	95.77	7	2	1,042	965
2013-12-30	$9.49	$10.00	38.1%	10.9%	22.4%	16.1%	0.0%	9.6%	11.9%	-9.9K	384.3K	-2.0K	0.00	89.34	0	0	1,049	965
2013-12-31	$9.64	$10.00	40.7%	11.7%	16.7%	20.4%	40.6%	93.0%	10.5%	-10.3K	338.3K	-2.0K	0.00	23.83	19	0	1,049	965