CALX Options History — February 2014

In February 2014, CALX traded between $7.48 and $8.29. ATM implied volatility averaged 52.7%, placing in the 46.5% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded above realized volatility by 16.7% (HV 20d: 36.0%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 1.47.

Notable Days

2014-02-12: Highest Volume — 465 contracts
2014-02-12: Largest IV drop — 46.3% change
2014-02-07: Highest IV Rank — 100.0%
2014-02-06: Largest Expected Move — 20.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.96	$7.48	$8.29	$7.88	$7.95
Max Pain	$7.50	$7.50	$7.50	$7.50	$7.50
ATM IV	52.7%	28.8%	79.7%	68.3%	28.8%
Expected Move	14.2%	8.3%	20.0%	19.6%	8.3%
HV 20d	36.0%	23.4%	44.8%	42.7%	39.6%
HV 60d	34.4%	31.9%	36.9%	31.9%	35.7%
IV Rank	46.5%	0.5%	100.0%	67.1%	0.5%
IV Percentile	51.9%	0.4%	100.0%	98.4%	0.4%
Term Structure	-1.6%	-15.0%	16.3%	-11.8%	7.8%
VWIV	55.8%	42.7%	88.7%	88.7%	45.3%
Skew 25d	9.6%	-14.9%	43.9%	-4.5%	-14.9%
Skew 10d	31.1%	-17.5%	103.7%	5.3%	-17.5%
Call IV 25d	46.8%	29.5%	82.3%	82.3%	38.4%
Put IV 25d	56.4%	23.5%	92.7%	77.8%	23.5%
Bid-Ask Spread %	80.79	20.16	97.45	89.56	92.08
Gamma HHI	0.60	0.47	0.74	0.47	0.71
Net GEX	-10.4K	-14.4K	-6.5K	-7.1K	-12.7K
Net DEX	507.4K	415.6K	636.5K	468.8K	574.9K
Net VEX	-3.0K	-3.1K	-2.5K	-2.8K	-2.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.47	0.00	15.00	0.60	0.00
Total Volume	57.158	0	465	133	0
Total OI	2,623.421	2,272	2,972	2,272	2,560

Daily Data (19 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
2014-02-03	$7.88	$7.50	68.3%	19.6%	42.7%	67.1%	88.7%	-4.5%	-11.8%	-7.1K	468.8K	-2.8K	0.60	89.56	83	50	868	1,404
2014-02-04	$8.02	$7.50	68.4%	19.6%	43.7%	67.4%	0.0%	38.1%	-14.7%	-7.3K	468.0K	-3.0K	15.00	20.16	2	30	951	1,454
2014-02-05	$7.96	$7.50	68.0%	19.5%	43.2%	66.7%	0.0%	20.3%	-9.9%	-7.7K	464.6K	-3.0K	0.00	91.15	0	0	953	1,484
2014-02-06	$8.17	$7.50	69.7%	20.0%	44.8%	93.0%	0.0%	17.0%	-15.0%	-7.5K	427.0K	-3.1K	0.00	88.49	12	0	953	1,475
2014-02-07	$8.18	$7.50	76.3%	16.8%	23.4%	100.0%	0.0%	6.3%	-8.0%	-7.4K	415.6K	-3.1K	0.00	88.81	22	0	965	1,475
2014-02-10	$7.97	$7.50	79.7%	17.0%	24.7%	100.0%	0.0%	3.2%	-6.3%	-7.5K	455.4K	-2.9K	0.67	88.43	3	2	985	1,475
2014-02-11	$7.95	$7.50	79.7%	16.3%	24.1%	100.0%	56.7%	4.3%	-6.0%	-8.1K	469.8K	-2.9K	0.24	87.47	75	18	988	1,477
2014-02-12	$7.48	$7.50	42.9%	12.2%	31.6%	27.9%	42.7%	15.7%	3.1%	-6.5K	562.5K	-2.5K	3.04	86.95	115	350	1,057	1,492
2014-02-13	$7.57	$7.50	45.6%	13.1%	31.8%	33.3%	0.0%	9.1%	-0.3%	-12.4K	636.5K	-3.0K	0.63	20.98	16	10	1,107	1,787
2014-02-14	$7.67	$7.50	42.3%	12.1%	32.3%	26.8%	0.0%	8.4%	1.6%	-12.6K	587.2K	-3.0K	0.14	97.11	35	5	1,111	1,797
2014-02-18	$7.79	$7.50	45.5%	13.1%	33.0%	33.1%	45.6%	43.9%	-1.1%	-13.3K	547.3K	-3.0K	0.22	88.73	55	12	1,146	1,800
2014-02-19	$7.66	$7.50	45.7%	13.1%	33.0%	33.4%	0.0%	8.8%	-2.3%	-14.4K	580.9K	-2.9K	0.00	94.69	0	0	1,140	1,812
2014-02-20	$8.15	$7.50	42.4%	12.2%	40.0%	27.1%	45.3%	3.5%	4.1%	-12.8K	448.5K	-3.1K	0.09	97.45	135	12	1,125	1,812
2014-02-21	$8.29	$7.50	38.3%	11.0%	39.7%	18.9%	0.0%	17.9%	16.3%	-12.0K	431.3K	-3.1K	0.00	33.87	19	0	1,149	1,823
2014-02-24	$8.17	$7.50	46.1%	13.2%	39.9%	34.2%	0.0%	10.0%	0.6%	-12.0K	529.8K	-3.1K	0.00	92.52	20	0	879	1,661
2014-02-25	$8.11	$7.50	47.9%	13.7%	38.9%	37.7%	0.0%	14.4%	1.3%	-11.7K	531.2K	-3.0K	0.00	92.42	5	0	899	1,661
2014-02-26	$8.21	$7.50	29.0%	8.3%	38.9%	0.8%	0.0%	-4.7%	13.8%	-11.9K	517.5K	-3.0K	0.00	92.16	0	0	899	1,661
2014-02-27	$8.06	$7.50	37.0%	10.6%	39.3%	16.5%	0.0%	-14.3%	-4.2%	-11.8K	524.5K	-3.0K	0.00	92.03	0	0	899	1,661
2014-02-28	$7.95	$7.50	28.8%	8.3%	39.6%	0.5%	0.0%	-14.9%	7.8%	-12.7K	574.9K	-2.8K	0.00	92.08	0	0	899	1,661