CALX Options History — October 2014

In October 2014, CALX traded between $8.52 and $10.79. ATM implied volatility averaged 49.9%, placing in the 41.9% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 9.0% (HV 20d: 40.9%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 0.90.

Notable Days

2014-10-31: Highest Volume — 550 contracts
2014-10-07: Largest IV spike — 50.8% change
2014-10-15: Highest IV Rank — 100.0%
2014-10-28: Largest Expected Move — 14.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.10	$8.52	$10.79	$9.52	$10.79
Max Pain	$7.50	$7.50	$7.50	$7.50	$7.50
ATM IV	49.9%	29.7%	87.2%	30.6%	33.6%
Expected Move	13.3%	12.0%	14.6%	12.4%	13.2%
HV 20d	40.9%	32.0%	80.2%	33.8%	79.5%
HV 60d	43.4%	35.0%	53.2%	42.5%	52.9%
IV Rank	41.9%	8.4%	100.0%	10.1%	13.7%
IV Percentile	61.1%	5.2%	100.0%	6.3%	11.1%
Term Structure	-1.7%	-15.2%	16.7%	16.7%	14.0%
VWIV	44.5%	39.6%	47.6%	43.6%	45.1%
Skew 25d	3.1%	-8.8%	13.3%	13.3%	-8.8%
Skew 10d	23.4%	-3.7%	54.2%	21.6%	-3.7%
Call IV 25d	52.7%	37.8%	64.9%	41.5%	48.6%
Put IV 25d	55.9%	39.8%	64.1%	54.8%	39.8%
Bid-Ask Spread %	75.67	65.13	83.10	78.13	70.69
Gamma HHI	0.76	0.49	0.94	0.94	0.76
Net GEX	7.3K	1.6K	16.6K	16.2K	13.5K
Net DEX	-642.6K	-1.1M	-147.6K	-1.1M	-553.1K
Net VEX	-501	-888	-291	-648	-888
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.90	0.00	10.00	0.00	1.02
Total Volume	173	0	550	5	550
Total OI	1,347.87	409	2,098	1,959	818

Daily Data (23 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
2014-10-01	$9.52	$7.50	30.6%	12.4%	33.8%	10.1%	43.6%	13.3%	16.7%	16.2K	-1.1M	-648	0.00	78.13	5	0	1,730	229
2014-10-02	$9.61	$7.50	36.4%	12.5%	32.0%	20.6%	0.0%	4.5%	9.1%	16.6K	-1.1M	-684	0.00	75.60	0	0	1,730	229
2014-10-03	$9.39	$7.50	31.2%	12.0%	32.2%	11.2%	0.0%	8.6%	13.7%	13.9K	-1.0M	-568	0.00	75.60	4	0	1,730	229
2014-10-06	$9.22	$7.50	29.7%	12.5%	32.5%	8.4%	0.0%	9.5%	-6.2%	9.3K	-964.2K	-436	0.00	65.13	0	20	1,734	229
2014-10-07	$8.88	$7.50	44.8%	12.5%	33.1%	36.0%	0.0%	8.1%	-7.1%	11.0K	-906.3K	-485	10.00	78.13	4	40	1,734	229
2014-10-08	$9.20	$7.50	39.5%	12.3%	36.1%	26.3%	40.0%	8.6%	-7.8%	10.5K	-975.0K	-458	0.73	67.35	127	93	1,733	261
2014-10-09	$8.95	$7.50	48.9%	12.4%	36.7%	43.6%	41.0%	5.3%	-8.7%	10.4K	-924.7K	-456	0.73	77.15	127	93	1,755	261
2014-10-10	$8.52	$7.50	55.2%	12.8%	39.6%	55.1%	42.4%	-0.5%	10.0%	10.8K	-820.0K	-406	0.74	79.72	127	94	1,755	261
2014-10-13	$8.57	$7.50	71.9%	13.6%	39.9%	85.6%	41.9%	-0.9%	-5.6%	10.3K	-874.8K	-374	0.75	65.42	125	94	1,755	210
2014-10-14	$8.81	$7.50	70.0%	12.7%	41.5%	82.1%	39.6%	-3.3%	-14.2%	1.7K	-926.9K	-291	0.75	78.25	125	94	1,757	210
2014-10-15	$9.01	$7.50	87.2%	14.1%	42.0%	100.0%	44.0%	5.0%	-11.0%	1.6K	-954.9K	-298	0.58	69.45	212	122	1,760	210
2014-10-16	$8.98	$7.50	59.6%	14.0%	41.5%	55.6%	0.0%	3.6%	-13.1%	2.7K	-972.7K	-493	0.00	72.70	10	0	1,845	243
2014-10-17	$8.81	$7.50	58.0%	14.0%	38.9%	52.9%	0.0%	3.0%	-15.2%	2.9K	-953.3K	-482	0.00	73.48	0	0	1,855	243
2014-10-20	$8.87	$7.50	51.4%	13.9%	37.4%	42.2%	46.2%	7.4%	-0.9%	2.8K	-157.0K	-454	0.30	75.91	123	37	359	50
2014-10-21	$8.80	$7.50	48.4%	14.0%	37.2%	37.4%	46.1%	-0.2%	-10.2%	3.4K	-165.9K	-491	0.40	76.77	92	37	387	50
2014-10-22	$8.57	$7.50	50.1%	14.3%	37.3%	40.2%	46.7%	0.3%	15.6%	3.1K	-153.0K	-475	0.32	80.84	115	37	392	50
2014-10-23	$8.85	$7.50	46.6%	13.8%	38.5%	34.6%	46.1%	4.6%	-6.9%	3.6K	-169.1K	-489	0.32	81.88	115	37	404	50
2014-10-24	$8.85	$7.50	54.8%	13.9%	38.1%	47.8%	46.4%	8.0%	-5.1%	3.6K	-164.3K	-462	0.40	82.63	119	47	397	50
2014-10-27	$8.65	$7.50	52.3%	13.9%	37.3%	43.7%	45.1%	-1.8%	12.9%	2.9K	-148.2K	-443	0.40	81.73	119	47	378	70
2014-10-28	$8.70	$7.50	52.5%	14.6%	37.2%	44.1%	46.9%	-4.7%	-8.4%	2.9K	-147.6K	-438	0.20	83.10	234	47	378	70
2014-10-29	$8.87	$7.50	50.6%	13.9%	38.2%	41.0%	47.6%	4.5%	-10.9%	5.0K	-186.4K	-575	0.18	76.72	274	48	498	70
2014-10-30	$10.78	$7.50	45.2%	13.2%	80.2%	32.3%	47.1%	-1.7%	1.1%	8.1K	-418.9K	-719	0.16	74.14	333	52	542	71
2014-10-31	$10.79	$7.50	33.6%	13.2%	79.5%	13.7%	45.1%	-8.8%	14.0%	13.5K	-553.1K	-888	1.02	70.69	272	278	733	85