CALX Options History — August 2014

In August 2014, CALX traded between $9.05 and $10.56. ATM implied volatility averaged 41.8%, placing in the 26.2% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded below realized volatility by 12.9% (HV 20d: 54.8%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.42.

Notable Days

2014-08-27: Highest Volume — 91 contracts
2014-08-14: Largest IV drop — 46.2% change
2014-08-13: Highest IV Rank — 80.7%
2014-08-26: Largest Expected Move — 12.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.67	$9.05	$10.56	$9.14	$10.50
Max Pain	$7.50	$7.50	$7.50	$7.50	$7.50
ATM IV	41.8%	34.0%	69.8%	35.3%	38.4%
Expected Move	11.5%	9.5%	12.2%	10.1%	12.1%
HV 20d	54.8%	32.5%	60.8%	58.2%	32.5%
HV 60d	42.7%	40.8%	43.7%	43.7%	40.8%
IV Rank	26.2%	10.9%	80.7%	13.4%	19.5%
IV Percentile	30.6%	7.1%	98.0%	9.9%	22.2%
Term Structure	0.2%	-1.7%	6.6%	6.6%	1.0%
VWIV	38.7%	38.7%	38.7%	38.7%	38.7%
Skew 25d	10.7%	-8.9%	69.4%	10.2%	2.9%
Skew 10d	20.0%	-13.5%	107.0%	11.4%	3.6%
Call IV 25d	37.9%	33.2%	42.4%	36.4%	35.8%
Put IV 25d	48.6%	30.9%	109.2%	46.6%	38.6%
Bid-Ask Spread %	65.30	24.36	94.23	43.23	64.70
Gamma HHI	0.54	0.47	0.74	0.49	0.71
Net GEX	15.6K	13.8K	17.8K	16.1K	16.1K
Net DEX	-1.4M	-1.5M	-1.1M	-1.4M	-1.5M
Net VEX	-1.3K	-1.7K	-944	-1.7K	-1.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.42	0.00	13.50	0.00	2.00
Total Volume	17.429	0	91	5	0
Total OI	2,024.429	1,697	2,246	2,233	1,892

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
2014-08-01	$9.14	$7.50	35.3%	10.1%	58.2%	13.4%	0.0%	10.2%	6.6%	16.1K	-1.4M	-1.7K	0.00	43.23	5	0	1,960	273
2014-08-04	$9.05	$7.50	39.9%	11.3%	57.1%	22.5%	0.0%	-8.9%	-1.7%	16.4K	-1.3M	-1.6K	0.00	84.95	0	0	1,965	273
2014-08-05	$9.15	$7.50	47.2%	12.0%	56.4%	36.7%	0.0%	-8.2%	-0.4%	17.8K	-1.3M	-1.6K	13.50	93.71	4	54	1,965	273
2014-08-06	$9.37	$7.50	38.0%	11.4%	56.7%	18.7%	0.0%	-0.8%	-1.0%	15.4K	-1.4M	-1.5K	0.00	83.47	0	0	1,969	273
2014-08-07	$9.14	$7.50	43.0%	11.3%	57.8%	28.4%	0.0%	-3.1%	-0.9%	16.1K	-1.4M	-1.6K	0.00	94.23	0	0	1,969	273
2014-08-08	$9.15	$7.50	43.0%	11.1%	57.8%	28.4%	38.7%	-3.6%	-0.4%	15.9K	-1.4M	-1.5K	0.00	85.10	4	0	1,969	273
2014-08-11	$9.27	$7.50	54.6%	11.2%	57.8%	51.0%	0.0%	0.0%	-1.0%	16.2K	-1.4M	-1.4K	0.00	75.90	0	10	1,973	273
2014-08-12	$9.07	$7.50	61.5%	9.5%	58.5%	64.5%	0.0%	-6.4%	-0.3%	15.7K	-1.4M	-1.5K	0.00	49.51	0	0	1,973	268
2014-08-13	$9.26	$7.50	69.8%	11.2%	58.4%	80.7%	0.0%	-1.7%	-1.7%	16.4K	-1.4M	-1.3K	0.00	42.72	0	0	1,973	268
2014-08-14	$9.40	$7.50	37.5%	10.8%	58.3%	17.8%	0.0%	0.7%	1.0%	15.7K	-1.4M	-1.4K	0.00	44.95	0	0	1,973	268
2014-08-15	$9.43	$7.50	39.7%	11.4%	57.9%	22.1%	0.0%	69.4%	-1.2%	15.3K	-1.5M	-1.3K	1.25	24.36	20	25	1,973	268
2014-08-18	$9.49	$0.00	37.4%	11.8%	57.8%	17.6%	0.0%	-0.2%	-1.2%	15.3K	-1.1M	-1.2K	0.00	66.18	10	0	1,568	129
2014-08-19	$9.93	$0.00	38.1%	12.2%	59.4%	19.0%	0.0%	5.0%	0.6%	13.8K	-1.2M	-1.2K	0.00	72.17	5	0	1,578	129
2014-08-20	$10.16	$0.00	37.0%	12.2%	59.3%	16.8%	0.0%	56.7%	0.8%	14.1K	-1.3M	-963	0.21	64.40	47	10	1,583	129
2014-08-21	$10.11	$0.00	35.7%	12.1%	59.4%	14.3%	0.0%	59.9%	1.8%	14.9K	-1.3M	-944	0.00	65.49	20	0	1,620	139
2014-08-22	$10.20	$0.00	34.5%	11.9%	58.0%	11.9%	0.0%	5.8%	1.3%	14.5K	-1.4M	-1.0K	0.00	62.74	23	0	1,640	139
2014-08-25	$9.89	$0.00	37.6%	12.0%	59.5%	17.9%	0.0%	7.0%	-0.9%	16.5K	-1.3M	-1.1K	0.00	64.52	32	0	1,661	139
2014-08-26	$10.36	$0.00	38.0%	12.2%	60.8%	18.8%	0.0%	44.6%	-0.3%	15.4K	-1.4M	-996	0.00	65.78	0	0	1,678	139
2014-08-27	$10.56	$0.00	38.6%	11.9%	34.8%	20.0%	0.0%	-3.6%	-1.1%	14.5K	-1.5M	-946	0.12	58.53	81	10	1,678	139
2014-08-28	$10.50	$0.00	34.0%	12.1%	33.5%	10.9%	0.0%	-0.9%	2.6%	16.5K	-1.5M	-1.0K	2.00	64.68	2	4	1,749	139
2014-08-29	$10.50	$0.00	38.4%	12.1%	32.5%	19.5%	0.0%	2.9%	1.0%	16.1K	-1.5M	-1.1K	0.00	64.70	0	0	1,749	143