CALX Options History — March 2015

In March 2015, CALX traded between $8.19 and $8.91. ATM implied volatility averaged 39.3%, placing in the 20.7% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 5.1% (HV 20d: 34.2%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.16.

Notable Days

2015-03-04: Highest Volume — 901 contracts
2015-03-27: Largest IV spike — 37.1% change
2015-03-10: Highest IV Rank — 39.3%
2015-03-27: Largest Expected Move — 13.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.52	$8.19	$8.91	$8.66	$8.37
Max Pain	$10.00	$10.00	$10.00	$10.00	$10.00
ATM IV	39.3%	29.1%	52.1%	37.4%	37.4%
Expected Move	10.9%	8.4%	13.4%	10.7%	10.7%
HV 20d	34.2%	25.7%	79.2%	79.2%	27.3%
HV 60d	51.2%	50.0%	53.2%	53.2%	50.4%
IV Rank	20.7%	5.9%	39.3%	17.9%	17.9%
IV Percentile	40.8%	2.8%	79.8%	31.0%	28.6%
Term Structure	8.6%	-14.0%	18.9%	-4.0%	12.8%
VWIV	38.8%	27.8%	47.9%	40.2%	35.8%
Skew 25d	-3.9%	-18.5%	11.4%	3.8%	3.5%
Skew 10d	3.7%	-10.2%	35.8%	2.7%	2.6%
Call IV 25d	41.7%	30.3%	50.5%	36.2%	33.4%
Put IV 25d	37.9%	29.8%	48.0%	40.0%	36.9%
Bid-Ask Spread %	73.89	12.65	104.04	14.31	84.35
Gamma HHI	0.47	0.34	0.71	0.51	0.37
Net GEX	-1.2K	-5.8K	1.1K	-1.6K	522
Net DEX	116.8K	34.4K	188.2K	150.9K	71.2K
Net VEX	-693	-927	-529	-809	-543
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.16	0.00	0.36	0.24	0.24
Total Volume	293.409	0	901	900	612
Total OI	2,166.818	1,213	2,640	2,604	1,257

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
2015-03-02	$8.66	$10.00	37.4%	10.7%	79.2%	17.9%	40.2%	3.8%	-4.0%	-1.6K	150.9K	-809	0.24	14.31	727	173	1,880	724
2015-03-03	$8.56	$10.00	41.8%	12.0%	75.8%	24.3%	39.0%	-3.0%	6.8%	-2.1K	140.8K	-927	0.24	12.65	727	173	1,882	724
2015-03-04	$8.34	$10.00	39.3%	11.3%	74.4%	20.6%	36.3%	-8.6%	-14.0%	-4.7K	175.8K	-785	0.24	14.50	728	173	1,882	724
2015-03-05	$8.40	$10.00	39.2%	10.2%	26.8%	20.4%	42.3%	-4.5%	16.2%	-3.9K	176.3K	-734	0.24	55.16	728	173	1,884	724
2015-03-06	$8.36	$10.00	39.1%	9.2%	25.7%	20.4%	38.5%	-7.9%	18.9%	-4.1K	180.8K	-715	0.24	96.20	728	173	1,894	724
2015-03-09	$8.41	$10.00	42.3%	9.5%	25.8%	24.9%	0.0%	-8.3%	17.9%	-2.9K	178.0K	-650	0.00	50.68	0	0	1,894	724
2015-03-10	$8.26	$10.00	52.1%	11.9%	25.7%	39.3%	40.3%	-3.9%	7.9%	-5.8K	188.2K	-686	0.00	94.02	1	0	1,894	724
2015-03-11	$8.58	$10.00	39.9%	11.4%	29.4%	21.5%	47.9%	2.3%	15.4%	-1.3K	152.4K	-729	0.36	97.60	28	10	1,893	723
2015-03-12	$8.59	$10.00	39.0%	11.2%	28.6%	20.2%	0.0%	-18.5%	-1.3%	-3.0K	155.7K	-822	0.00	101.77	10	0	1,907	733
2015-03-13	$8.64	$10.00	29.1%	8.4%	28.5%	5.9%	0.0%	-14.5%	17.4%	-2.5K	151.5K	-809	0.00	94.08	0	0	1,897	733
2015-03-16	$8.62	$10.00	36.0%	10.3%	28.4%	15.8%	0.0%	-14.3%	9.1%	-2.4K	151.1K	-782	0.00	60.79	0	0	1,897	733
2015-03-17	$8.58	$10.00	34.0%	9.7%	27.7%	12.8%	0.0%	-18.2%	8.9%	989	146.7K	-722	0.00	104.04	0	0	1,897	733
2015-03-18	$8.76	$10.00	40.6%	11.6%	27.5%	22.4%	0.0%	-12.6%	-0.7%	775	56.3K	-706	0.00	29.60	6	0	1,897	628
2015-03-19	$8.75	$10.00	38.7%	11.1%	27.5%	19.7%	0.0%	-0.9%	11.9%	609	60.9K	-681	0.00	93.02	0	0	1,897	628
2015-03-20	$8.90	$10.00	39.8%	11.4%	27.0%	21.3%	40.5%	5.6%	4.3%	603	56.5K	-679	0.00	71.97	0	40	1,897	628
2015-03-23	$8.91	$10.00	37.1%	10.6%	26.3%	17.5%	0.0%	-3.6%	9.1%	1.1K	34.4K	-663	0.00	92.78	20	0	959	254
2015-03-24	$8.61	$10.00	41.8%	12.0%	28.7%	24.2%	27.8%	11.4%	11.9%	928	52.0K	-619	0.00	92.29	14	0	979	254
2015-03-25	$8.43	$10.00	36.8%	10.5%	29.5%	17.0%	0.0%	1.6%	10.5%	680	66.1K	-566	0.00	92.31	0	0	983	254
2015-03-26	$8.31	$10.00	34.1%	9.8%	29.8%	13.0%	30.5%	-4.8%	11.5%	504	72.9K	-532	0.25	83.99	480	119	983	254
2015-03-27	$8.19	$10.00	46.7%	13.4%	26.8%	31.4%	0.0%	1.9%	1.1%	288	73.1K	-568	0.00	93.94	0	0	983	264
2015-03-30	$8.25	$10.00	43.2%	12.4%	26.9%	26.2%	46.6%	8.9%	17.0%	225	78.8K	-529	0.24	95.57	493	119	983	264
2015-03-31	$8.37	$10.00	37.4%	10.7%	27.3%	17.9%	35.8%	3.5%	12.8%	522	71.2K	-543	0.24	84.35	493	119	993	264