CALX Options History — June 2014

In June 2014, CALX traded between $7.42 and $8.18. ATM implied volatility averaged 40.2%, placing in the 23.0% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 1.8% (HV 20d: 38.4%). 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 14 of 21 days. Put/call ratio averaged 0.82.

Notable Days

2014-06-02: Highest Volume — 64 contracts
2014-06-11: Largest IV spike — 26.4% change
2014-06-11: Highest IV Rank — 38.3%
2014-06-17: Largest Expected Move — 13.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.86	$7.42	$8.18	$7.77	$8.18
Max Pain	$9.52	$7.50	$10.00	$7.50	$10.00
ATM IV	40.2%	29.0%	48.0%	45.7%	29.0%
Expected Move	11.6%	8.3%	13.4%	13.1%	8.3%
HV 20d	38.4%	31.0%	43.9%	39.7%	31.0%
HV 60d	38.4%	37.2%	39.1%	37.2%	38.1%
IV Rank	23.0%	1.3%	38.3%	33.8%	1.3%
IV Percentile	24.5%	1.6%	63.9%	49.6%	1.6%
Term Structure	4.4%	-4.6%	25.3%	-4.6%	17.1%
VWIV	41.6%	36.8%	46.1%	45.8%	38.3%
Skew 25d	17.1%	-1.7%	49.0%	20.0%	0.3%
Skew 10d	41.1%	-3.1%	108.7%	45.4%	-3.1%
Call IV 25d	36.0%	28.5%	42.7%	40.9%	31.3%
Put IV 25d	53.1%	31.6%	84.0%	60.8%	31.6%
Bid-Ask Spread %	66.07	10.95	101.63	86.47	10.95
Gamma HHI	0.93	0.80	0.97	0.96	0.80
Net GEX	-14.0K	-20.8K	-6.5K	-12.0K	-6.5K
Net DEX	-123.0K	-415.7K	125.1K	-1.8K	-415.7K
Net VEX	-2.9K	-3.3K	-2.2K	-3.2K	-2.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.82	0.00	5.00	0.08	0.00
Total Volume	17.714	0	64	64	0
Total OI	2,834.81	2,686	2,964	2,762	2,730

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
2014-06-02	$7.77	$7.50	45.7%	13.1%	39.7%	33.8%	45.8%	20.0%	-4.6%	-12.0K	-1.8K	-3.2K	0.08	86.47	59	5	1,371	1,391
2014-06-03	$7.63	$7.50	38.4%	11.0%	39.8%	19.4%	38.3%	-1.7%	-1.4%	-16.3K	15.8K	-3.2K	0.00	88.38	21	0	1,421	1,396
2014-06-04	$7.42	$7.50	38.6%	11.1%	38.3%	20.0%	0.0%	28.2%	-0.5%	-15.3K	125.1K	-3.1K	5.00	91.41	10	50	1,427	1,396
2014-06-05	$7.79	$7.50	41.1%	11.8%	42.4%	24.8%	41.3%	0.1%	0.4%	-14.5K	-19.5K	-3.3K	0.69	87.67	13	9	1,437	1,446
2014-06-06	$8.07	$10.00	37.4%	12.1%	43.9%	17.6%	42.6%	7.3%	4.1%	-11.7K	-203.0K	-3.2K	0.00	99.39	0	6	1,445	1,455
2014-06-09	$8.00	$10.00	40.8%	12.7%	43.9%	24.1%	0.0%	8.6%	1.1%	-12.4K	-170.6K	-3.1K	0.00	101.63	0	0	1,445	1,454
2014-06-10	$7.97	$10.00	38.0%	12.9%	40.2%	18.8%	0.0%	27.0%	-0.3%	-13.4K	-137.0K	-3.1K	0.00	101.35	0	0	1,445	1,454
2014-06-11	$7.80	$10.00	48.0%	12.1%	40.4%	38.3%	0.0%	8.0%	1.6%	-14.2K	-77.6K	-3.1K	0.00	97.78	0	0	1,445	1,454
2014-06-12	$7.70	$10.00	40.6%	11.6%	39.7%	23.8%	0.0%	12.3%	4.6%	-16.1K	-5.6K	-3.1K	0.00	32.72	0	0	1,445	1,454
2014-06-13	$7.74	$10.00	37.8%	10.8%	39.7%	18.4%	0.0%	11.5%	8.0%	-20.8K	-39.5K	-3.0K	0.00	33.19	0	0	1,445	1,454
2014-06-16	$7.81	$10.00	46.0%	13.2%	39.9%	34.2%	0.0%	49.0%	-2.1%	-16.5K	-66.3K	-3.0K	0.00	82.43	0	0	1,445	1,454
2014-06-17	$7.95	$10.00	46.8%	13.4%	38.4%	35.9%	0.0%	39.3%	-3.2%	-13.6K	-150.1K	-2.9K	0.80	91.36	5	4	1,445	1,454
2014-06-18	$7.93	$10.00	45.6%	13.1%	38.0%	33.5%	45.6%	15.2%	-3.0%	-13.7K	-159.9K	-2.8K	0.00	37.80	62	0	1,445	1,450
2014-06-19	$7.91	$10.00	39.8%	11.4%	37.7%	22.2%	39.8%	10.7%	3.2%	-15.3K	-214.5K	-2.8K	0.73	20.79	30	22	1,497	1,450
2014-06-20	$7.93	$10.00	32.6%	9.3%	37.5%	8.2%	36.8%	10.1%	14.4%	-16.6K	-222.0K	-2.7K	0.00	45.08	0	30	1,492	1,472
2014-06-23	$7.87	$10.00	39.8%	11.4%	37.2%	22.2%	0.0%	10.4%	6.3%	-13.2K	-160.5K	-2.7K	0.00	19.97	0	0	1,396	1,290
2014-06-24	$7.77	$10.00	45.3%	13.0%	34.4%	33.0%	46.1%	15.9%	2.8%	-11.2K	-120.0K	-2.7K	0.10	21.60	21	2	1,396	1,290
2014-06-25	$7.73	$10.00	38.3%	11.0%	34.1%	19.3%	38.3%	46.2%	9.1%	-16.3K	-88.8K	-2.7K	0.00	74.61	0	1	1,417	1,290
2014-06-26	$7.90	$10.00	39.6%	11.4%	34.7%	21.9%	0.0%	23.6%	8.5%	-14.1K	-185.1K	-2.6K	0.00	91.88	22	0	1,417	1,291
2014-06-27	$8.11	$10.00	34.3%	9.8%	35.9%	11.5%	0.0%	16.2%	25.3%	-9.3K	-287.1K	-2.5K	0.00	70.97	0	0	1,439	1,291
2014-06-30	$8.18	$10.00	29.0%	8.3%	31.0%	1.3%	0.0%	0.3%	17.1%	-6.5K	-415.7K	-2.2K	0.00	10.95	0	0	1,439	1,291