CALX Options History — December 2014

In December 2014, CALX traded between $9.42 and $10.54. ATM implied volatility averaged 41.9%, placing in the 26.9% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 0.8% (HV 20d: 41.1%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.42.

Notable Days

2014-12-12: Highest Volume — 240 contracts
2014-12-11: Largest IV drop — 17.9% change
2014-12-09: Highest IV Rank — 43.9%
2014-12-30: Largest Expected Move — 15.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.05	$9.42	$10.54	$10.10	$10.02
Max Pain	$10.00	$10.00	$10.00	$10.00	$10.00
ATM IV	41.9%	36.0%	52.4%	40.7%	39.1%
Expected Move	13.4%	12.8%	15.0%	13.0%	14.4%
HV 20d	41.1%	34.9%	46.8%	35.1%	41.0%
HV 60d	54.6%	53.3%	55.7%	53.4%	55.0%
IV Rank	26.9%	17.6%	43.9%	25.1%	22.5%
IV Percentile	49.8%	23.8%	79.0%	46.8%	40.5%
Term Structure	5.0%	-1.2%	14.3%	-1.0%	10.9%
VWIV	45.8%	39.0%	49.9%	44.3%	45.1%
Skew 25d	6.2%	-5.8%	64.5%	11.1%	5.8%
Skew 10d	13.6%	-7.9%	119.2%	20.2%	9.9%
Call IV 25d	43.7%	36.8%	58.2%	41.8%	40.1%
Put IV 25d	49.9%	37.8%	106.3%	52.9%	45.9%
Bid-Ask Spread %	82.05	72.10	101.66	75.46	75.56
Gamma HHI	0.67	0.49	0.83	0.58	0.83
Net GEX	6.1K	4.5K	7.5K	5.8K	7.5K
Net DEX	-260.2K	-346.1K	-150.6K	-264.4K	-264.7K
Net VEX	-637	-776	-493	-776	-576
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.42	0.00	0.80	0.39	0.00
Total Volume	181.091	0	240	212	44
Total OI	799.591	537	909	861	651

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
2014-12-01	$10.10	$10.00	40.7%	13.0%	35.1%	25.1%	44.3%	11.1%	-1.0%	5.8K	-264.4K	-776	0.39	75.46	152	60	677	184
2014-12-02	$10.31	$10.00	41.1%	13.1%	36.1%	25.7%	45.2%	6.3%	-1.2%	5.9K	-304.4K	-775	0.39	75.95	152	60	677	194
2014-12-03	$10.54	$10.00	40.1%	12.9%	36.4%	24.1%	44.9%	-3.1%	-0.4%	6.3K	-346.1K	-753	0.39	75.33	152	60	677	194
2014-12-04	$10.20	$10.00	39.0%	12.9%	37.9%	22.3%	0.0%	-3.7%	-1.1%	5.6K	-280.6K	-749	0.00	72.10	0	0	677	194
2014-12-05	$10.22	$10.00	41.7%	12.9%	34.9%	26.7%	46.2%	4.2%	7.1%	5.7K	-291.7K	-735	0.46	72.60	152	70	677	194
2014-12-08	$10.05	$10.00	47.7%	12.8%	35.1%	36.4%	46.5%	13.4%	5.1%	5.5K	-258.6K	-694	0.44	74.43	158	70	677	195
2014-12-09	$10.37	$10.00	52.4%	13.1%	37.5%	43.9%	47.3%	-5.8%	4.1%	6.1K	-311.4K	-714	0.44	74.59	158	70	683	194
2014-12-10	$9.80	$10.00	48.0%	13.2%	41.8%	36.8%	39.0%	4.0%	5.0%	5.0K	-223.6K	-667	0.44	84.62	158	70	683	194
2014-12-11	$9.94	$10.00	39.4%	13.2%	42.2%	23.0%	46.5%	24.2%	6.6%	5.3K	-240.7K	-662	0.44	76.37	158	70	683	194
2014-12-12	$9.55	$10.00	42.4%	13.4%	42.8%	27.8%	45.9%	1.9%	4.8%	4.5K	-150.6K	-603	0.29	77.27	186	54	683	194
2014-12-15	$9.42	$10.00	42.2%	13.7%	41.7%	27.4%	46.1%	-3.9%	5.9%	4.9K	-152.3K	-581	0.29	72.38	186	54	711	198
2014-12-16	$9.45	$10.00	44.4%	13.9%	41.4%	31.0%	47.1%	-3.1%	4.5%	4.9K	-158.8K	-564	0.35	76.82	155	54	711	198
2014-12-17	$9.84	$10.00	46.2%	13.5%	44.5%	33.9%	44.9%	2.0%	0.9%	5.4K	-216.1K	-603	0.35	85.28	155	54	709	198
2014-12-18	$10.20	$10.00	46.1%	13.7%	46.8%	33.8%	47.5%	64.5%	1.1%	6.0K	-297.7K	-593	0.35	77.35	155	54	709	198
2014-12-19	$10.15	$10.00	39.3%	13.1%	45.9%	22.9%	0.0%	4.6%	6.8%	6.4K	-314.7K	-558	0.00	80.13	0	0	709	198
2014-12-22	$10.36	$0.00	41.1%	13.0%	44.5%	25.7%	0.0%	7.7%	3.1%	6.7K	-280.8K	-494	0.80	94.99	75	60	465	72
2014-12-23	$10.36	$0.00	36.0%	14.4%	44.4%	17.6%	49.9%	3.5%	13.8%	6.8K	-278.0K	-493	0.52	94.43	153	80	465	82
2014-12-24	$10.21	$10.00	37.8%	13.4%	43.8%	20.4%	45.9%	-5.4%	7.9%	7.2K	-292.1K	-628	0.52	96.01	153	80	535	112
2014-12-26	$10.15	$10.00	38.6%	13.1%	43.8%	21.6%	45.6%	3.9%	7.1%	7.3K	-286.4K	-615	0.52	101.66	153	80	535	112
2014-12-29	$9.87	$10.00	39.7%	13.2%	44.5%	23.4%	45.1%	7.2%	4.9%	7.2K	-249.5K	-582	0.58	95.79	145	84	535	112
2014-12-30	$10.03	$10.00	38.0%	15.0%	41.7%	20.7%	0.0%	-3.6%	14.3%	7.4K	-260.8K	-590	0.00	96.02	0	0	535	116
2014-12-31	$10.02	$10.00	39.1%	14.4%	41.0%	22.5%	0.0%	5.8%	10.9%	7.5K	-264.7K	-576	0.00	75.56	44	0	535	116