CALX Options History — February 2015

In February 2015, CALX traded between $8.10 and $10.49. ATM implied volatility averaged 46.6%, placing in the 31.2% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded below realized volatility by 28.0% (HV 20d: 74.6%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.45.

Notable Days

2015-02-04: Highest Volume — 2,090 contracts
2015-02-04: Largest IV drop — 57.7% change
2015-02-02: Highest IV Rank — 100.0%
2015-02-02: Largest Expected Move — 26.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.71	$8.10	$10.49	$10.15	$8.76
Max Pain	$10.00	$10.00	$10.00	$10.00	$10.00
ATM IV	46.6%	35.1%	93.9%	93.9%	35.8%
Expected Move	13.2%	10.1%	26.9%	26.9%	10.3%
HV 20d	74.6%	35.5%	81.0%	35.5%	79.4%
HV 60d	52.3%	36.8%	54.7%	36.8%	53.4%
IV Rank	31.2%	14.5%	100.0%	100.0%	15.5%
IV Percentile	52.3%	18.7%	100.0%	100.0%	21.0%
Term Structure	1.6%	-26.7%	15.5%	-26.7%	6.5%
VWIV	51.8%	32.2%	94.4%	94.4%	37.4%
Skew 25d	1.4%	-17.1%	11.0%	-8.3%	6.2%
Skew 10d	20.5%	-22.0%	65.7%	-7.5%	5.6%
Call IV 25d	47.5%	31.4%	96.0%	87.5%	31.4%
Put IV 25d	48.9%	30.3%	87.5%	79.2%	37.7%
Bid-Ask Spread %	63.58	26.82	97.33	41.31	56.07
Gamma HHI	0.57	0.35	0.93	0.93	0.51
Net GEX	6.6K	-7.2K	44.1K	27.1K	-1.3K
Net DEX	2.4K	-1.4M	217.7K	-804.1K	149.7K
Net VEX	-1.4K	-2.9K	-798	-1.6K	-798
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.45	0.00	0.70	0.02	0.24
Total Volume	1,133.474	0	2,090	1,532	896
Total OI	3,485.263	1,575	4,143	1,575	2,603

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
2015-02-02	$10.15	$10.00	93.9%	26.9%	35.5%	100.0%	94.4%	-8.3%	-26.7%	27.1K	-804.1K	-1.6K	0.02	41.31	1,504	28	1,516	59
2015-02-03	$10.49	$10.00	92.0%	26.4%	36.5%	97.3%	92.4%	-8.5%	-25.0%	44.1K	-1.4M	-2.9K	0.59	68.97	977	581	2,581	87
2015-02-04	$8.61	$10.00	38.9%	11.2%	80.1%	20.1%	61.7%	-17.1%	-0.7%	22.4K	-71.6K	-2.1K	0.34	35.41	1,565	525	3,391	666
2015-02-05	$8.78	$10.00	40.1%	11.7%	80.7%	21.8%	56.6%	8.9%	-1.3%	18.1K	36.3K	-1.9K	0.68	46.07	776	525	3,321	753
2015-02-06	$8.77	$10.00	36.0%	12.4%	80.5%	15.8%	46.7%	2.9%	-0.8%	16.5K	56.0K	-1.7K	0.66	32.60	793	525	3,325	751
2015-02-09	$8.60	$10.00	52.7%	12.1%	80.6%	40.2%	46.9%	2.7%	12.3%	9.5K	90.6K	-1.5K	0.66	39.31	793	525	3,333	751
2015-02-10	$8.60	$10.00	49.5%	12.6%	80.6%	35.5%	49.6%	4.6%	10.6%	4.4K	136.5K	-1.4K	0.66	97.33	793	525	3,333	750
2015-02-11	$8.76	$10.00	37.0%	10.6%	81.0%	17.3%	46.4%	-1.0%	1.1%	11.4K	75.4K	-1.4K	0.65	86.89	808	525	3,333	750
2015-02-12	$8.68	$10.00	46.6%	13.4%	80.8%	31.3%	51.4%	9.0%	7.6%	11.8K	68.1K	-1.5K	0.65	88.85	808	525	3,343	750
2015-02-13	$8.64	$10.00	42.0%	12.0%	79.4%	24.5%	32.2%	-15.1%	-5.6%	3.8K	129.9K	-1.5K	0.68	92.69	798	539	3,343	800
2015-02-17	$8.48	$10.00	44.0%	12.6%	79.1%	27.5%	49.8%	1.6%	15.5%	-1.6K	163.4K	-1.3K	0.70	86.87	770	539	3,318	808
2015-02-18	$8.32	$10.00	43.7%	12.5%	78.5%	27.0%	52.7%	3.1%	8.9%	-4.7K	189.8K	-1.1K	0.70	83.08	770	539	3,322	794
2015-02-19	$8.35	$10.00	39.5%	11.3%	78.3%	20.8%	0.0%	11.0%	10.9%	-5.8K	199.0K	-1.0K	0.00	86.63	0	0	3,294	734
2015-02-20	$8.21	$10.00	37.1%	10.6%	76.8%	17.4%	0.0%	9.4%	8.1%	-5.8K	201.1K	-946	0.00	84.47	15	0	3,294	734
2015-02-23	$8.10	$10.00	38.8%	11.1%	76.8%	19.9%	42.9%	8.3%	8.6%	-6.5K	217.7K	-910	0.24	86.70	716	173	1,862	724
2015-02-24	$8.29	$10.00	38.5%	11.0%	77.4%	19.5%	40.9%	5.3%	3.2%	-7.2K	208.6K	-884	0.24	26.82	717	173	1,872	724
2015-02-25	$8.40	$10.00	43.6%	12.5%	77.8%	26.9%	45.9%	10.3%	-3.6%	-5.9K	196.6K	-922	0.24	28.46	722	173	1,874	724
2015-02-26	$8.45	$10.00	35.1%	10.1%	77.9%	14.5%	32.3%	-5.8%	0.6%	-3.7K	168.4K	-845	0.24	39.41	722	173	1,879	724
2015-02-27	$8.76	$10.00	35.8%	10.3%	79.4%	15.5%	37.4%	6.2%	6.5%	-1.3K	149.7K	-798	0.24	56.07	723	173	1,879	724