CALX Options History — September 2014

In September 2014, CALX traded between $9.15 and $10.81. ATM implied volatility averaged 32.9%, placing in the 10.5% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded below realized volatility by 0.2% (HV 20d: 33.1%). 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 20 of 21 days. Put/call ratio averaged 1.00.

Notable Days

2014-09-04: Highest Volume — 121 contracts
2014-09-29: Largest IV spike — 45.9% change
2014-09-29: Highest IV Rank — 23.3%
2014-09-11: Largest Expected Move — 12.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.96	$9.15	$10.81	$10.47	$9.57
Max Pain	$7.50	$7.50	$7.50	$7.50	$7.50
ATM IV	32.9%	25.1%	37.8%	36.6%	30.1%
Expected Move	12.1%	11.7%	12.5%	12.1%	12.2%
HV 20d	33.1%	30.7%	36.7%	32.1%	34.0%
HV 60d	41.7%	40.3%	43.3%	40.3%	42.7%
IV Rank	10.5%	0.0%	23.3%	16.1%	9.1%
IV Percentile	10.2%	0.0%	26.6%	15.5%	5.2%
Term Structure	8.1%	-8.5%	22.6%	0.6%	12.5%
VWIV	44.2%	40.7%	48.6%	40.7%	42.1%
Skew 25d	9.8%	-17.3%	55.4%	1.2%	8.3%
Skew 10d	18.3%	-6.2%	100.9%	16.1%	3.9%
Call IV 25d	37.0%	26.4%	49.0%	37.7%	35.1%
Put IV 25d	46.8%	31.7%	94.8%	38.9%	43.5%
Bid-Ask Spread %	72.28	64.67	81.73	66.46	76.32
Gamma HHI	0.81	0.60	0.94	0.76	0.94
Net GEX	16.0K	9.6K	19.1K	16.8K	17.0K
Net DEX	-1.3M	-1.6M	-957.8K	-1.5M	-1.1M
Net VEX	-906	-1.1K	-516	-989	-684
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.00	0.00	7.50	0.44	0.00
Total Volume	20.571	0	121	0	2
Total OI	1,979	1,892	2,049	1,892	1,957

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
2014-09-02	$10.47	$0.00	36.6%	12.1%	32.1%	16.1%	0.0%	1.2%	0.6%	16.8K	-1.5M	-989	0.00	66.46	0	0	1,749	143
2014-09-03	$10.51	$0.00	36.0%	12.1%	32.1%	14.8%	0.0%	-17.3%	-8.5%	16.8K	-1.5M	-927	0.00	70.82	0	0	1,749	143
2014-09-04	$10.81	$0.00	32.2%	12.2%	32.5%	7.4%	40.7%	-3.6%	3.4%	15.4K	-1.6M	-838	0.44	68.99	84	37	1,749	143
2014-09-05	$10.60	$7.50	29.6%	12.1%	31.8%	2.4%	44.0%	-5.1%	4.3%	16.3K	-1.6M	-1.1K	3.75	68.37	4	15	1,811	180
2014-09-08	$10.52	$7.50	28.5%	11.9%	32.2%	0.3%	0.0%	4.3%	4.4%	16.5K	-1.6M	-1.0K	0.00	69.79	0	5	1,813	188
2014-09-09	$10.18	$7.50	35.0%	11.8%	35.1%	12.9%	0.0%	13.2%	3.2%	17.8K	-1.4M	-1.1K	0.00	70.95	44	0	1,813	192
2014-09-10	$10.24	$7.50	36.5%	12.0%	33.6%	15.9%	0.0%	5.9%	5.2%	18.7K	-1.5M	-1.1K	7.50	72.52	4	30	1,827	192
2014-09-11	$10.28	$7.50	36.9%	12.5%	33.2%	16.5%	0.0%	7.1%	4.9%	17.3K	-1.5M	-1.1K	0.00	65.81	0	0	1,827	222
2014-09-12	$10.26	$7.50	36.6%	11.7%	33.1%	15.9%	48.6%	47.7%	3.6%	17.5K	-1.5M	-1.1K	0.00	71.77	65	0	1,827	222
2014-09-15	$10.11	$7.50	36.0%	12.1%	33.8%	14.9%	45.6%	2.1%	5.6%	18.2K	-1.4M	-1.1K	0.39	69.00	38	15	1,819	222
2014-09-16	$9.89	$7.50	37.0%	12.1%	34.9%	16.8%	42.1%	55.4%	3.2%	17.6K	-1.3M	-1.0K	0.00	65.22	20	0	1,791	232
2014-09-17	$10.05	$7.50	36.4%	12.1%	31.5%	15.6%	0.0%	5.6%	4.2%	19.1K	-1.4M	-1.0K	0.00	71.34	8	0	1,781	232
2014-09-18	$10.17	$7.50	34.2%	12.2%	30.7%	11.4%	0.0%	53.2%	5.0%	18.1K	-1.4M	-921	0.00	64.67	2	0	1,764	232
2014-09-19	$9.70	$7.50	34.4%	11.8%	35.0%	11.7%	46.4%	0.6%	5.2%	17.5K	-1.2M	-895	0.85	71.50	20	17	1,763	232
2014-09-22	$9.36	$7.50	28.9%	12.2%	36.7%	1.0%	42.1%	2.9%	12.8%	13.4K	-1.0M	-738	0.00	81.73	10	0	1,733	235
2014-09-23	$9.23	$7.50	25.4%	12.2%	35.5%	0.0%	0.0%	4.8%	19.9%	11.0K	-982.1K	-592	0.00	77.70	0	0	1,723	235
2014-09-24	$9.40	$7.50	32.2%	12.2%	31.4%	12.6%	0.0%	16.6%	22.6%	14.6K	-1.1M	-858	0.00	76.27	0	0	1,723	235
2014-09-25	$9.15	$7.50	25.1%	11.9%	31.0%	0.0%	0.0%	5.0%	17.3%	9.6K	-957.8K	-516	1.00	79.65	2	2	1,723	235
2014-09-26	$9.26	$7.50	25.9%	12.0%	31.8%	1.4%	0.0%	-1.6%	22.5%	11.3K	-987.7K	-555	0.00	81.12	0	0	1,722	229
2014-09-29	$9.50	$7.50	37.8%	12.0%	33.7%	23.3%	0.0%	-0.8%	17.3%	14.6K	-1.1M	-789	0.00	77.94	8	0	1,722	229
2014-09-30	$9.57	$7.50	30.1%	12.2%	34.0%	9.1%	0.0%	8.3%	12.5%	17.0K	-1.1M	-684	0.00	76.32	2	0	1,728	229