CALX Options History — November 2014

In November 2014, CALX traded between $10.45 and $11.45. ATM implied volatility averaged 36.2%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded below realized volatility by 36.7% (HV 20d: 72.9%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 0.93.

Notable Days

2014-11-06: Highest Volume — 545 contracts
2014-11-28: Largest IV spike — 24.2% change
2014-11-05: Highest IV Rank — 27.0%
2014-11-03: Largest Expected Move — 13.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.91	$10.45	$11.45	$10.81	$10.60
Max Pain	$8.03	$7.50	$10.00	$7.50	$10.00
ATM IV	36.2%	29.5%	41.9%	35.2%	39.8%
Expected Move	13.3%	12.7%	13.7%	13.7%	12.8%
HV 20d	72.9%	30.8%	79.0%	79.0%	30.8%
HV 60d	52.7%	51.9%	53.1%	52.9%	52.6%
IV Rank	17.8%	7.1%	27.0%	16.3%	23.7%
IV Percentile	24.8%	4.4%	44.4%	17.1%	42.5%
Term Structure	5.5%	-2.3%	14.0%	6.5%	-0.5%
VWIV	45.7%	42.2%	48.1%	48.1%	45.7%
Skew 25d	5.4%	-10.5%	33.5%	-1.1%	1.5%
Skew 10d	26.0%	-3.6%	104.6%	10.4%	19.2%
Call IV 25d	36.2%	30.1%	44.9%	35.8%	39.3%
Put IV 25d	41.6%	28.4%	67.4%	34.7%	40.8%
Bid-Ask Spread %	70.07	61.77	77.25	75.45	74.35
Gamma HHI	0.49	0.46	0.55	0.53	0.47
Net GEX	8.5K	7.0K	9.7K	7.7K	7.0K
Net DEX	-559.8K	-731.7K	-331.0K	-540.3K	-363.8K
Net VEX	-903	-1.1K	-708	-1.1K	-822
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.93	0.53	1.44	1.08	0.53
Total Volume	358.421	0	545	535	0
Total OI	1,082.105	764	1,206	1,083	861

Daily Data (19 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
2014-11-03	$10.81	$7.50	35.2%	13.7%	79.0%	16.3%	48.1%	-1.1%	6.5%	7.7K	-540.3K	-1.1K	1.08	75.45	257	278	777	306
2014-11-04	$11.00	$7.50	39.1%	13.4%	77.2%	22.4%	46.7%	4.7%	2.2%	7.8K	-583.6K	-1.0K	0.88	67.60	283	248	781	306
2014-11-05	$11.04	$7.50	41.9%	13.1%	76.7%	27.0%	45.4%	19.1%	8.8%	8.0K	-577.2K	-1.1K	0.97	70.49	255	248	806	326
2014-11-06	$11.45	$7.50	32.1%	12.7%	76.0%	11.2%	46.0%	10.7%	11.9%	7.7K	-707.4K	-879	0.83	65.65	297	248	810	326
2014-11-07	$11.45	$7.50	29.5%	13.1%	72.6%	7.1%	45.7%	2.4%	-1.0%	9.3K	-731.7K	-964	0.78	61.77	297	232	880	326
2014-11-10	$11.37	$7.50	31.5%	13.4%	73.0%	10.3%	42.9%	5.0%	-2.3%	9.6K	-720.2K	-937	0.79	66.84	295	232	880	326
2014-11-11	$11.32	$7.50	34.0%	13.2%	73.1%	14.2%	42.2%	-10.5%	-0.8%	7.7K	-550.0K	-708	0.77	67.83	300	232	655	109
2014-11-12	$11.09	$7.50	40.6%	13.4%	73.9%	24.9%	42.9%	0.4%	13.8%	9.2K	-668.0K	-953	0.79	65.80	300	236	872	326
2014-11-13	$10.73	$7.50	38.8%	13.3%	75.4%	22.0%	47.3%	-2.9%	2.5%	9.4K	-571.7K	-1.0K	0.79	69.21	300	236	872	331
2014-11-14	$10.96	$7.50	33.2%	13.4%	74.7%	13.0%	0.0%	1.5%	14.0%	9.2K	-634.4K	-955	0.00	68.50	0	0	872	331
2014-11-17	$10.71	$7.50	38.2%	13.6%	75.7%	21.0%	46.8%	-4.2%	5.5%	9.3K	-587.4K	-902	0.79	73.23	300	236	872	331
2014-11-18	$10.76	$7.50	40.2%	13.7%	75.4%	24.2%	47.3%	10.3%	-0.1%	9.2K	-594.2K	-892	1.33	69.48	177	236	872	331
2014-11-19	$10.71	$7.50	38.2%	13.5%	74.4%	21.0%	0.0%	8.8%	3.3%	9.2K	-574.7K	-874	0.00	71.81	0	0	872	331
2014-11-20	$10.94	$7.50	34.4%	13.5%	74.1%	14.9%	46.8%	9.5%	12.4%	9.2K	-628.5K	-825	1.32	69.43	179	236	870	326
2014-11-21	$10.50	$7.50	39.5%	13.4%	76.3%	23.1%	45.9%	8.4%	3.8%	9.7K	-524.1K	-853	1.44	70.18	164	236	877	326
2014-11-24	$10.45	$10.00	36.8%	13.3%	75.6%	18.7%	0.0%	33.5%	1.1%	7.7K	-331.0K	-746	0.00	74.20	0	30	652	144
2014-11-25	$10.69	$10.00	32.4%	13.2%	75.7%	11.7%	45.7%	2.6%	12.0%	7.1K	-359.5K	-764	0.53	77.25	152	80	652	174
2014-11-26	$10.75	$10.00	32.1%	13.1%	75.6%	11.2%	0.0%	2.9%	11.9%	7.5K	-389.1K	-819	0.00	72.29	0	10	677	174
2014-11-28	$10.60	$10.00	39.8%	12.8%	30.8%	23.7%	0.0%	1.5%	-0.5%	7.0K	-363.8K	-822	0.00	74.35	0	0	677	184