CALX Options History — January 2015

In January 2015, CALX traded between $9.19 and $10.03. ATM implied volatility averaged 55.8%, placing in the 49.5% IV rank vs the trailing year. The 30-day expected move averaged 17.4%. IV traded above realized volatility by 24.4% (HV 20d: 31.5%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.63.

Notable Days

2015-01-21: Highest Volume — 1,231 contracts
2015-01-14: Largest IV spike — 33.7% change
2015-01-28: Highest IV Rank — 76.4%
2015-01-28: Largest Expected Move — 20.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.73	$9.19	$10.03	$10.00	$9.60
Max Pain	$10.00	$10.00	$10.00	$10.00	$10.00
ATM IV	55.8%	36.4%	72.6%	40.2%	72.1%
Expected Move	17.4%	14.7%	20.8%	14.7%	20.7%
HV 20d	31.5%	27.1%	40.0%	40.0%	28.9%
HV 60d	50.4%	34.7%	54.4%	54.4%	35.1%
IV Rank	49.5%	18.1%	76.4%	24.3%	75.6%
IV Percentile	76.6%	25.0%	98.4%	47.2%	97.6%
Term Structure	-8.4%	-16.0%	11.2%	11.2%	-14.3%
VWIV	60.0%	51.4%	69.8%	51.4%	68.4%
Skew 25d	1.9%	-9.0%	11.8%	7.6%	3.8%
Skew 10d	3.1%	-11.2%	13.3%	13.3%	7.3%
Call IV 25d	51.7%	41.8%	68.4%	49.9%	61.6%
Put IV 25d	53.6%	42.9%	66.8%	57.5%	65.5%
Bid-Ask Spread %	85.27	47.25	98.08	92.30	95.96
Gamma HHI	0.85	0.70	0.96	0.82	0.94
Net GEX	14.1K	2.6K	31.2K	6.9K	30.2K
Net DEX	-359.0K	-763.6K	-67.9K	-256.3K	-647.2K
Net VEX	-951	-1.9K	-394	-585	-1.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.63	0.00	2.50	0.97	0.47
Total Volume	170.05	0	1,231	211	128
Total OI	984.3	302	1,575	647	1,575

Daily Data (20 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
2015-01-02	$10.00	$10.00	40.2%	14.7%	40.0%	24.3%	51.4%	7.6%	11.2%	6.9K	-256.3K	-585	0.97	92.30	107	104	531	116
2015-01-05	$9.82	$10.00	42.4%	15.3%	38.9%	27.8%	0.0%	4.6%	-6.1%	6.0K	-222.6K	-617	1.13	95.95	30	34	561	156
2015-01-06	$9.73	$10.00	43.3%	15.7%	38.9%	29.3%	54.6%	3.1%	-6.8%	5.7K	-203.8K	-643	0.47	95.54	32	15	591	190
2015-01-07	$9.66	$10.00	40.9%	15.1%	38.6%	25.4%	0.0%	-2.3%	-5.6%	5.9K	-177.2K	-602	0.00	48.96	0	0	589	190
2015-01-08	$9.75	$10.00	36.4%	15.8%	36.8%	18.1%	55.2%	2.8%	-8.8%	6.8K	-189.8K	-595	0.70	89.34	109	76	589	190
2015-01-09	$9.77	$10.00	39.2%	15.5%	30.9%	22.6%	53.9%	0.8%	-6.7%	7.1K	-200.5K	-590	0.70	88.34	109	76	589	180
2015-01-12	$9.69	$10.00	51.8%	16.0%	30.6%	42.9%	55.7%	2.3%	-8.8%	6.9K	-203.7K	-550	0.72	95.38	106	76	589	180
2015-01-13	$9.52	$10.00	42.5%	16.3%	27.7%	27.9%	56.7%	-1.7%	-9.7%	6.4K	-134.4K	-478	0.72	96.62	106	76	596	180
2015-01-14	$9.62	$10.00	56.8%	16.3%	27.5%	51.0%	56.8%	0.1%	-9.2%	7.3K	-155.7K	-491	0.72	95.55	106	76	596	180
2015-01-15	$9.19	$10.00	60.9%	17.5%	32.1%	57.6%	60.9%	-9.0%	-11.7%	2.6K	-83.5K	-394	0.61	47.25	106	65	569	180
2015-01-16	$9.36	$10.00	57.3%	16.4%	29.1%	51.9%	54.9%	-6.2%	-9.2%	2.7K	-127.9K	-401	0.63	95.31	8	5	569	138
2015-01-20	$9.58	$10.00	59.5%	17.0%	27.1%	55.3%	0.0%	-2.6%	-5.5%	3.0K	-67.9K	-406	0.05	95.28	20	1	250	52
2015-01-21	$9.69	$10.00	66.0%	18.9%	27.6%	65.8%	66.0%	4.4%	-9.4%	3.2K	-88.7K	-474	0.00	93.85	1,231	0	270	53
2015-01-22	$10.03	$10.00	62.2%	17.8%	29.5%	59.7%	57.8%	7.6%	-6.8%	30.6K	-746.0K	-1.9K	0.29	47.78	121	35	1,469	53
2015-01-23	$9.92	$10.00	63.4%	18.2%	29.7%	61.6%	63.3%	-6.7%	-4.6%	30.0K	-763.6K	-1.8K	0.27	91.65	128	35	1,468	53
2015-01-26	$10.02	$10.00	65.8%	18.9%	29.6%	65.5%	0.0%	10.7%	-9.9%	31.2K	-757.4K	-1.8K	0.00	96.31	10	0	1,478	53
2015-01-27	$9.93	$10.00	72.3%	20.7%	29.7%	76.0%	69.8%	5.0%	-15.8%	29.2K	-731.7K	-1.7K	2.50	49.55	4	10	1,488	53
2015-01-28	$9.97	$10.00	72.6%	20.8%	28.0%	76.4%	67.2%	11.8%	-14.5%	29.7K	-754.6K	-1.7K	0.47	98.08	87	41	1,488	59
2015-01-29	$9.82	$10.00	71.4%	20.5%	27.9%	74.5%	68.2%	2.4%	-16.0%	30.9K	-667.5K	-1.7K	0.47	96.32	87	41	1,516	59
2015-01-30	$9.60	$10.00	72.1%	20.7%	28.9%	75.6%	68.4%	3.8%	-14.3%	30.2K	-647.2K	-1.6K	0.47	95.96	87	41	1,516	59