CALX Options History — July 2014

In July 2014, CALX traded between $7.88 and $9.50. ATM implied volatility averaged 50.2%, placing in the 42.4% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded above realized volatility by 20.4% (HV 20d: 29.7%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 1.83.

Notable Days

2014-07-30: Highest Volume — 325 contracts
2014-07-10: Largest IV spike — 40.1% change
2014-07-28: Highest IV Rank — 84.9%
2014-07-28: Largest Expected Move — 20.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.28	$7.88	$9.50	$8.45	$9.29
Max Pain	$7.84	$7.50	$10.00	$10.00	$7.50
ATM IV	50.2%	29.6%	72.0%	31.7%	36.1%
Expected Move	15.1%	8.5%	20.6%	9.1%	10.4%
HV 20d	29.7%	24.9%	58.6%	31.7%	58.6%
HV 60d	37.2%	32.8%	44.3%	38.3%	43.7%
IV Rank	42.4%	2.5%	84.9%	6.5%	15.1%
IV Percentile	58.8%	2.4%	98.8%	3.2%	12.3%
Term Structure	-6.2%	-21.2%	12.1%	12.1%	7.0%
VWIV	60.0%	52.5%	72.1%	54.8%	52.5%
Skew 25d	10.8%	-5.9%	35.4%	3.6%	-2.0%
Skew 10d	38.6%	-6.5%	91.6%	1.5%	-1.3%
Call IV 25d	48.7%	29.2%	67.2%	30.0%	38.7%
Put IV 25d	59.5%	30.4%	87.2%	33.7%	36.7%
Bid-Ask Spread %	37.30	12.63	90.59	12.63	63.62
Gamma HHI	0.73	0.47	0.91	0.49	0.47
Net GEX	3.0K	-22.0K	21.8K	2.7K	15.4K
Net DEX	-665.2K	-1.5M	-304.1K	-519.6K	-1.4M
Net VEX	-2.0K	-2.3K	-1.3K	-1.9K	-1.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.83	0.00	12.00	0.12	0.00
Total Volume	56.045	0	325	29	1
Total OI	2,460.818	1,590	2,980	2,730	2,234

Daily Data (22 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
2014-07-01	$8.45	$10.00	31.7%	9.1%	31.7%	6.5%	0.0%	3.6%	12.1%	2.7K	-519.6K	-1.9K	0.12	12.63	26	3	1,439	1,291
2014-07-02	$8.46	$10.00	29.6%	8.5%	29.3%	2.5%	0.0%	4.9%	2.3%	5.0K	-535.8K	-2.0K	0.00	13.20	65	0	1,465	1,294
2014-07-03	$8.27	$10.00	36.0%	10.3%	26.5%	14.9%	0.0%	-5.9%	-1.5%	-3.7K	-504.9K	-2.1K	0.00	77.94	3	0	1,525	1,294
2014-07-07	$8.03	$7.50	31.6%	15.0%	26.0%	6.4%	0.0%	15.4%	-7.0%	-12.0K	-420.3K	-2.2K	0.00	42.13	4	0	1,528	1,294
2014-07-08	$7.89	$7.50	34.4%	14.7%	26.5%	11.7%	0.0%	35.4%	-5.7%	-21.3K	-317.7K	-2.3K	0.00	18.62	0	5	1,532	1,294
2014-07-09	$7.91	$7.50	35.7%	14.4%	26.5%	14.3%	0.0%	30.3%	-4.8%	-19.8K	-324.5K	-2.2K	0.00	18.71	0	0	1,532	1,294
2014-07-10	$7.88	$7.50	50.1%	14.4%	25.4%	42.3%	0.0%	13.5%	-2.4%	-22.0K	-304.1K	-2.3K	0.00	19.15	46	0	1,532	1,294
2014-07-11	$7.91	$7.50	51.7%	14.8%	24.9%	45.3%	0.0%	32.0%	-7.2%	-19.2K	-337.2K	-2.3K	0.00	44.46	0	0	1,578	1,294
2014-07-14	$8.04	$7.50	52.8%	15.2%	25.4%	47.6%	0.0%	27.2%	-6.3%	-11.0K	-413.7K	-2.2K	12.00	13.48	1	12	1,578	1,294
2014-07-15	$7.99	$7.50	54.8%	15.7%	25.4%	51.5%	54.8%	10.8%	-8.9%	-10.0K	-428.1K	-2.1K	0.00	24.98	0	20	1,579	1,306
2014-07-16	$8.17	$7.50	59.7%	17.1%	25.9%	61.0%	58.8%	-4.0%	-13.5%	4.5K	-522.1K	-2.0K	0.00	30.06	100	0	1,579	1,306
2014-07-17	$8.12	$7.50	58.2%	16.7%	26.0%	58.0%	58.2%	7.7%	-11.3%	1.6K	-548.3K	-2.1K	2.76	26.98	29	80	1,674	1,306
2014-07-18	$8.33	$7.50	58.5%	16.8%	27.3%	58.6%	0.0%	-2.6%	-12.1%	15.3K	-652.9K	-2.0K	0.00	28.62	18	0	1,703	1,266
2014-07-21	$8.30	$7.50	61.8%	17.7%	27.4%	65.0%	61.7%	-3.5%	-11.6%	15.4K	-757.8K	-1.9K	0.28	90.59	96	27	1,455	135
2014-07-22	$8.43	$7.50	51.8%	14.8%	27.5%	45.6%	0.0%	2.0%	8.8%	16.6K	-830.8K	-2.0K	0.00	32.80	1	0	1,550	162
2014-07-23	$8.37	$7.50	60.6%	17.4%	27.2%	62.7%	59.8%	-3.8%	-10.7%	15.9K	-832.2K	-2.0K	0.00	38.18	2	0	1,550	162
2014-07-24	$8.37	$7.50	64.6%	18.5%	27.0%	70.5%	64.1%	-3.0%	-14.1%	16.4K	-818.4K	-2.0K	0.02	50.49	293	5	1,550	162
2014-07-25	$8.16	$7.50	67.1%	19.2%	28.1%	75.4%	0.0%	28.1%	-13.6%	21.2K	-905.2K	-2.2K	0.00	76.29	0	0	1,840	167
2014-07-28	$8.08	$7.50	72.0%	20.6%	26.8%	84.9%	72.1%	35.0%	-21.2%	21.3K	-865.6K	-2.2K	5.00	18.40	2	10	1,840	167
2014-07-29	$8.21	$7.50	63.7%	18.3%	27.2%	68.8%	64.2%	13.3%	-11.9%	21.8K	-937.9K	-2.1K	10.80	58.42	5	54	1,840	177
2014-07-30	$9.50	$7.50	40.8%	11.7%	57.7%	24.1%	54.0%	2.6%	-2.3%	11.6K	-1.5M	-1.3K	0.18	20.82	276	49	1,845	231
2014-07-31	$9.29	$7.50	36.1%	10.4%	58.6%	15.1%	52.5%	-2.0%	7.0%	15.4K	-1.4M	-1.7K	0.00	63.62	1	0	1,961	273