CALX Options History — January 2014

In January 2014, CALX traded between $7.93 and $9.58. ATM implied volatility averaged 51.6%, placing in the 38.9% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded above realized volatility by 12.5% (HV 20d: 39.1%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.05.

Notable Days

2014-01-09: Highest Volume — 846 contracts
2014-01-09: Largest IV spike — 57.5% change
2014-01-15: Highest IV Rank — 69.4%
2014-01-31: Largest Expected Move — 18.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.54	$7.93	$9.58	$9.36	$7.93
Max Pain	$7.74	$7.50	$10.00	$10.00	$7.50
ATM IV	51.6%	30.1%	69.6%	36.0%	65.0%
Expected Move	15.2%	10.3%	18.6%	10.3%	18.6%
HV 20d	39.1%	19.6%	45.4%	19.6%	44.2%
HV 60d	55.2%	32.0%	61.7%	59.1%	32.0%
IV Rank	38.9%	2.6%	69.4%	12.6%	61.6%
IV Percentile	59.6%	0.4%	98.8%	6.3%	96.4%
Term Structure	0.8%	-12.5%	15.7%	10.3%	-12.5%
VWIV	49.0%	35.5%	58.8%	40.3%	58.8%
Skew 25d	4.1%	-4.1%	20.2%	7.8%	15.6%
Skew 10d	20.6%	-11.7%	60.3%	4.1%	28.4%
Call IV 25d	52.6%	41.8%	65.4%	41.8%	52.6%
Put IV 25d	56.6%	40.3%	68.1%	49.6%	68.1%
Bid-Ask Spread %	73.25	29.59	94.06	94.06	39.53
Gamma HHI	0.48	0.39	0.69	0.69	0.45
Net GEX	-7.9K	-10.4K	-2.2K	-9.1K	-7.3K
Net DEX	508.4K	370.8K	759.9K	413.1K	436.3K
Net VEX	-2.6K	-3.1K	-1.1K	-1.9K	-2.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.05	0.00	9.19	2.00	0.00
Total Volume	79.238	0	846	30	11
Total OI	2,337.381	2,017	3,042	2,033	2,261

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
2014-01-02	$9.36	$10.00	36.0%	10.3%	19.6%	12.6%	0.0%	7.8%	10.3%	-9.1K	413.1K	-1.9K	2.00	94.06	10	20	1,068	965
2014-01-03	$9.58	$10.00	41.2%	11.8%	21.5%	21.3%	40.3%	-4.1%	9.1%	-10.3K	376.7K	-1.9K	0.14	90.58	7	1	1,078	965
2014-01-06	$9.54	$7.50	41.8%	14.7%	21.3%	22.4%	0.0%	-0.1%	0.2%	-10.4K	370.8K	-1.9K	0.00	82.57	0	0	1,085	958
2014-01-07	$9.29	$7.50	30.1%	14.9%	23.1%	2.6%	0.0%	7.9%	-1.8%	-7.5K	512.0K	-1.5K	4.40	88.34	10	44	1,085	958
2014-01-08	$9.24	$7.50	30.4%	14.9%	23.1%	3.1%	0.0%	7.0%	-2.6%	-6.7K	476.3K	-1.5K	0.00	89.06	3	0	1,095	930
2014-01-09	$8.29	$7.50	47.9%	15.0%	44.1%	32.7%	52.2%	3.1%	0.0%	-2.2K	541.1K	-1.1K	9.19	32.64	83	763	1,098	930
2014-01-10	$8.38	$7.50	47.2%	14.3%	44.6%	31.5%	50.7%	0.8%	2.0%	-7.8K	718.8K	-2.6K	2.69	31.57	78	210	1,160	1,618
2014-01-13	$8.24	$7.50	62.3%	15.9%	44.7%	57.0%	0.0%	3.4%	-4.8%	-8.6K	759.9K	-3.1K	0.00	29.59	10	0	1,224	1,818
2014-01-14	$8.30	$7.50	55.3%	13.2%	45.0%	45.2%	0.0%	6.0%	13.9%	-8.5K	686.8K	-3.1K	0.00	36.00	10	0	1,234	1,751
2014-01-15	$8.38	$7.50	69.6%	14.8%	44.0%	69.4%	35.5%	1.0%	1.7%	-8.5K	686.1K	-3.0K	0.40	93.08	25	10	1,234	1,740
2014-01-16	$8.41	$7.50	55.3%	15.9%	44.2%	45.2%	0.0%	2.2%	-4.4%	-8.5K	675.6K	-3.1K	0.00	92.34	7	0	1,259	1,745
2014-01-17	$8.32	$7.50	52.6%	15.1%	43.7%	40.6%	0.0%	2.5%	0.8%	-8.4K	672.2K	-3.0K	0.00	93.30	21	0	1,258	1,745
2014-01-21	$8.40	$7.50	60.5%	17.3%	44.0%	53.9%	0.0%	8.8%	-10.8%	-8.6K	428.6K	-2.9K	0.00	70.11	16	0	640	1,377
2014-01-22	$8.54	$7.50	56.5%	16.2%	44.7%	47.1%	50.9%	2.8%	-0.4%	-8.2K	373.7K	-3.1K	0.07	89.59	75	5	656	1,377
2014-01-23	$8.33	$7.50	56.7%	16.2%	44.5%	47.5%	54.7%	2.8%	-3.2%	-7.7K	406.8K	-3.0K	0.20	89.01	25	5	700	1,377
2014-01-24	$8.28	$7.50	56.4%	16.2%	44.4%	47.0%	0.0%	2.9%	1.0%	-7.8K	421.7K	-3.0K	0.00	91.30	0	0	715	1,374
2014-01-27	$8.07	$7.50	60.2%	17.3%	44.7%	53.6%	0.0%	20.2%	-7.8%	-7.7K	442.0K	-2.8K	0.00	87.63	22	0	715	1,374
2014-01-28	$8.18	$7.50	49.9%	14.3%	45.4%	36.0%	0.0%	-3.2%	11.7%	-7.5K	429.8K	-2.9K	0.00	93.95	70	0	737	1,374
2014-01-29	$8.11	$7.50	51.3%	14.7%	45.4%	38.4%	58.8%	0.9%	15.7%	-7.5K	430.6K	-2.9K	0.57	32.79	53	30	802	1,374
2014-01-30	$8.10	$7.50	57.4%	16.4%	44.6%	48.7%	0.0%	-2.5%	-1.7%	-7.5K	418.1K	-2.9K	0.33	91.29	30	10	827	1,404
2014-01-31	$7.93	$7.50	65.0%	18.6%	44.2%	61.6%	0.0%	15.6%	-12.5%	-7.3K	436.3K	-2.9K	0.00	39.53	11	0	857	1,404