CALX Options History — April 2015

In April 2015, CALX traded between $7.37 and $8.76. ATM implied volatility averaged 55.2%, placing in the 43.8% IV rank vs the trailing year. The 30-day expected move averaged 15.8%. IV traded above realized volatility by 31.0% (HV 20d: 24.2%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.41.

Notable Days

2015-04-29: Highest Volume — 1,960 contracts
2015-04-07: Largest IV spike — 35.2% change
2015-04-28: Highest IV Rank — 79.3%
2015-04-28: Largest Expected Move — 22.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.50	$7.37	$8.76	$8.44	$7.37
Max Pain	$7.62	$7.50	$10.00	$10.00	$7.50
ATM IV	55.2%	38.8%	79.6%	46.1%	38.8%
Expected Move	15.8%	11.1%	22.8%	13.2%	11.1%
HV 20d	24.2%	16.3%	45.2%	25.8%	45.2%
HV 60d	49.8%	48.7%	52.2%	50.3%	52.2%
IV Rank	43.8%	19.8%	79.3%	30.6%	19.8%
IV Percentile	80.7%	37.7%	98.8%	69.8%	37.7%
Term Structure	-1.5%	-27.7%	11.0%	9.5%	-1.5%
VWIV	62.0%	38.8%	78.4%	47.8%	38.8%
Skew 25d	-0.1%	-18.3%	15.2%	15.2%	-18.3%
Skew 10d	24.8%	-31.0%	56.6%	18.6%	-30.8%
Call IV 25d	61.7%	33.4%	80.9%	33.4%	57.0%
Put IV 25d	61.6%	38.7%	77.5%	48.6%	38.7%
Bid-Ask Spread %	69.30	24.27	93.07	92.20	87.67
Gamma HHI	0.44	0.37	0.77	0.37	0.77
Net GEX	2.0K	617	11.2K	617	11.2K
Net DEX	6.1K	-163.8K	65.8K	65.8K	-163.8K
Net VEX	-610	-1.9K	-512	-575	-1.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.41	0.18	1.52	0.24	1.52
Total Volume	565.333	10	1,960	612	1,396
Total OI	1,040.619	512	2,087	1,257	2,087

Daily Data (21 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
2015-04-01	$8.44	$10.00	46.1%	13.2%	25.8%	30.6%	47.8%	15.2%	9.5%	617	65.8K	-575	0.24	92.20	493	119	993	264
2015-04-02	$8.62	$7.50	47.7%	14.0%	26.7%	32.8%	60.7%	3.3%	7.3%	869	56.3K	-577	0.24	81.34	493	119	993	264
2015-04-06	$8.62	$7.50	46.6%	16.3%	26.7%	31.2%	59.5%	0.1%	-6.5%	854	63.4K	-538	0.24	70.15	493	119	993	264
2015-04-07	$8.66	$7.50	62.9%	13.8%	26.6%	55.0%	58.2%	-0.9%	7.8%	884	54.2K	-567	0.24	48.53	501	119	993	264
2015-04-08	$8.61	$7.50	48.5%	13.9%	25.8%	34.0%	58.7%	-0.6%	7.0%	1.0K	58.8K	-518	0.00	24.27	0	10	1,006	254
2015-04-09	$8.50	$7.50	59.9%	17.2%	22.5%	50.6%	58.7%	1.6%	-12.5%	894	60.6K	-521	0.24	27.29	501	119	1,006	264
2015-04-10	$8.55	$7.50	56.0%	16.1%	22.6%	45.0%	59.4%	1.2%	-5.2%	867	60.1K	-529	0.24	30.98	501	119	1,006	264
2015-04-13	$8.70	$7.50	52.1%	14.9%	23.4%	39.3%	61.8%	4.2%	6.3%	1.2K	56.9K	-512	0.20	90.92	501	101	1,006	264
2015-04-14	$8.76	$7.50	50.0%	14.3%	23.5%	36.2%	61.0%	0.7%	-14.6%	1.3K	55.2K	-523	0.18	31.77	552	101	1,006	265
2015-04-15	$8.76	$7.50	49.1%	14.1%	23.4%	34.9%	60.5%	0.6%	-15.4%	2.4K	40.6K	-564	0.18	29.13	552	101	1,077	265
2015-04-16	$8.75	$7.50	51.5%	14.8%	22.2%	38.4%	61.1%	-3.1%	6.7%	2.4K	42.4K	-554	0.18	76.75	565	101	1,077	265
2015-04-17	$8.56	$7.50	50.7%	14.5%	23.5%	37.2%	62.5%	-1.9%	8.9%	2.0K	40.4K	-558	0.18	73.58	575	101	1,090	260
2015-04-20	$8.59	$7.50	54.7%	15.7%	22.6%	43.0%	61.1%	2.3%	5.3%	2.3K	-51.9K	-557	0.60	82.35	119	71	381	131
2015-04-21	$8.55	$7.50	57.8%	16.6%	22.6%	47.5%	64.9%	3.7%	8.6%	2.2K	-50.6K	-563	0.60	93.07	119	71	381	141
2015-04-22	$8.48	$7.50	56.3%	16.1%	19.3%	45.4%	68.4%	-0.7%	11.0%	2.0K	-44.1K	-534	0.60	84.40	119	71	381	141
2015-04-23	$8.50	$7.50	65.2%	18.7%	17.8%	58.3%	65.6%	2.3%	-9.4%	1.9K	-40.4K	-517	0.55	88.00	130	71	381	141
2015-04-24	$8.46	$7.50	60.7%	17.4%	17.0%	51.8%	66.5%	2.9%	0.9%	2.2K	-47.8K	-536	0.55	88.17	130	71	392	141
2015-04-27	$8.41	$7.50	72.7%	20.8%	16.3%	69.2%	74.1%	0.2%	-17.7%	2.1K	-45.0K	-512	0.54	87.10	132	71	392	141
2015-04-28	$8.69	$7.50	79.6%	22.8%	19.7%	79.3%	75.2%	3.1%	-27.7%	2.5K	-60.8K	-546	0.36	80.83	284	101	404	141
2015-04-29	$7.99	$7.50	52.4%	15.0%	36.0%	39.7%	78.4%	-18.1%	-1.5%	1.1K	-21.7K	-556	0.50	86.74	1,306	654	503	171
2015-04-30	$7.37	$7.50	38.8%	11.1%	45.2%	19.8%	38.8%	-18.3%	-1.5%	11.2K	-163.8K	-1.9K	1.52	87.67	554	842	1,513	574