CALX Options History — May 2015

In May 2015, CALX traded between $7.31 and $8.00. ATM implied volatility averaged 41.4%, placing in the 23.6% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded below realized volatility by 4.4% (HV 20d: 45.8%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.81.

Notable Days

2015-05-07: Highest Volume — 3,303 contracts
2015-05-13: Largest IV drop — 39.8% change
2015-05-12: Highest IV Rank — 55.5%
2015-05-27: Largest Expected Move — 14.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.65	$7.31	$8.00	$7.31	$8.00
Max Pain	$7.50	$7.50	$7.50	$7.50	$7.50
ATM IV	41.4%	34.1%	63.2%	40.8%	34.1%
Expected Move	11.0%	9.8%	14.4%	11.7%	9.8%
HV 20d	45.8%	26.6%	51.1%	44.0%	26.6%
HV 60d	34.0%	33.4%	34.8%	33.6%	34.0%
IV Rank	23.6%	13.0%	55.5%	22.7%	13.0%
IV Percentile	44.5%	11.5%	91.3%	51.6%	11.5%
Term Structure	-0.0%	-8.8%	11.5%	-3.2%	11.5%
VWIV	38.8%	34.4%	48.9%	40.7%	34.4%
Skew 25d	21.9%	-14.9%	53.8%	-14.9%	2.9%
Skew 10d	45.1%	-31.7%	111.9%	-31.7%	0.4%
Call IV 25d	39.5%	34.4%	55.6%	55.6%	36.2%
Put IV 25d	61.4%	39.1%	93.4%	40.7%	39.1%
Bid-Ask Spread %	72.24	22.38	95.06	90.46	93.53
Gamma HHI	0.83	0.47	0.93	0.47	0.93
Net GEX	29.1K	-4.7K	60.0K	564	60.0K
Net DEX	-767.8K	-2.0M	84.5K	58.6K	-2.0M
Net VEX	-3.3K	-4.1K	-2.4K	-2.4K	-3.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.81	0.00	4.17	1.71	0.28
Total Volume	808.3	0	3,303	1,510	528
Total OI	4,130.65	2,736	5,464	2,736	5,464

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
2015-05-01	$7.31	$7.50	40.8%	11.7%	44.0%	22.7%	40.7%	-14.9%	-3.2%	564	58.6K	-2.4K	1.71	90.46	558	952	1,672	1,064
2015-05-04	$7.38	$7.50	34.9%	10.5%	44.4%	14.3%	0.0%	53.2%	-2.0%	-4.6K	84.5K	-2.4K	3.50	80.69	6	21	1,682	1,180
2015-05-05	$7.55	$7.50	40.0%	10.5%	45.5%	21.7%	36.7%	49.1%	-1.4%	-4.7K	-25.9K	-2.5K	1.51	86.77	563	852	1,687	1,200
2015-05-06	$7.41	$7.50	41.8%	11.1%	45.7%	24.3%	38.6%	46.2%	-0.8%	-4.7K	66.0K	-2.4K	1.51	66.94	563	852	1,687	1,200
2015-05-07	$7.41	$7.50	44.4%	10.8%	45.7%	28.0%	37.6%	40.8%	1.4%	-4.4K	77.5K	-2.4K	0.35	76.58	2,451	852	1,687	1,200
2015-05-08	$7.49	$7.50	47.6%	10.9%	45.9%	32.7%	38.2%	12.4%	-1.9%	25.8K	-559.7K	-3.8K	4.17	69.22	18	75	3,053	1,200
2015-05-11	$7.51	$7.50	51.7%	11.0%	45.2%	38.7%	0.0%	44.1%	0.7%	24.8K	-521.7K	-3.8K	0.00	53.35	0	0	3,066	1,275
2015-05-12	$7.40	$7.50	63.2%	11.2%	45.0%	55.5%	39.4%	10.9%	0.6%	24.7K	-399.1K	-3.7K	0.18	94.04	460	84	3,066	1,275
2015-05-13	$7.50	$7.50	38.0%	10.9%	45.5%	18.8%	38.2%	53.8%	1.6%	23.4K	-486.2K	-3.7K	0.18	78.86	462	84	3,072	1,275
2015-05-14	$7.65	$7.50	37.5%	10.7%	46.5%	18.0%	37.7%	5.3%	-0.4%	24.0K	-739.5K	-3.6K	0.09	95.06	946	84	3,052	1,275
2015-05-15	$7.67	$7.50	36.6%	10.5%	46.3%	16.7%	38.1%	10.1%	0.8%	48.0K	-1.0M	-4.1K	0.09	87.34	961	88	3,556	1,275
2015-05-18	$7.90	$7.50	37.9%	10.9%	47.9%	18.5%	0.0%	28.8%	0.9%	48.4K	-1.3M	-3.7K	0.00	87.30	0	5	3,445	1,143
2015-05-19	$7.63	$7.50	36.3%	10.4%	49.1%	16.2%	0.0%	14.9%	2.6%	50.3K	-964.1K	-3.8K	0.00	88.08	4	0	3,445	1,148
2015-05-20	$7.79	$7.50	37.5%	10.8%	50.0%	18.0%	37.5%	12.1%	-1.0%	47.7K	-1.2M	-3.7K	0.11	88.08	871	98	3,445	1,148
2015-05-21	$7.91	$7.50	36.4%	10.4%	50.4%	16.5%	36.3%	4.7%	0.4%	46.5K	-1.4M	-3.5K	0.18	22.74	537	98	3,445	1,169
2015-05-22	$7.96	$7.50	36.7%	10.5%	50.5%	16.8%	36.5%	8.7%	0.6%	46.4K	-1.4M	-3.4K	0.20	42.93	492	98	3,345	1,169
2015-05-26	$7.77	$7.50	39.4%	11.3%	51.1%	20.8%	39.6%	5.7%	0.6%	46.2K	-1.2M	-3.3K	0.20	26.81	492	98	3,340	1,169
2015-05-27	$7.89	$7.50	50.1%	14.4%	49.8%	36.4%	48.9%	44.3%	-8.8%	40.8K	-1.1M	-3.3K	0.31	93.59	383	118	3,340	1,169
2015-05-28	$7.93	$7.50	42.6%	12.2%	40.1%	25.5%	42.3%	4.9%	-2.2%	42.1K	-1.3M	-3.1K	0.09	22.38	1,294	118	3,341	1,189
2015-05-29	$8.00	$7.50	34.1%	9.8%	26.6%	13.0%	34.4%	2.9%	11.5%	60.0K	-2.0M	-3.8K	0.28	93.53	412	116	4,275	1,189