CALX Options History — June 2015

In June 2015, CALX traded between $7.61 and $8.86. ATM implied volatility averaged 36.6%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 9.4% (HV 20d: 27.2%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.31.

Notable Days

2015-06-02: Highest Volume — 903 contracts
2015-06-18: Largest IV drop — 21.8% change
2015-06-29: Highest IV Rank — 26.4%
2015-06-29: Largest Expected Move — 12.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.27	$7.61	$8.86	$8.02	$7.61
Max Pain	$7.50	$7.50	$7.50	$7.50	$7.50
ATM IV	36.6%	25.7%	43.3%	34.7%	41.3%
Expected Move	10.2%	7.4%	12.4%	10.0%	11.8%
HV 20d	27.2%	21.1%	32.8%	26.2%	32.8%
HV 60d	34.3%	33.4%	35.6%	33.9%	35.6%
IV Rank	16.7%	0.8%	26.4%	14.0%	23.5%
IV Percentile	31.5%	0.8%	64.3%	14.7%	57.1%
Term Structure	9.5%	-4.4%	19.5%	8.2%	8.1%
VWIV	37.5%	25.6%	50.4%	36.7%	40.7%
Skew 25d	-1.1%	-29.4%	25.6%	-2.6%	7.1%
Skew 10d	10.3%	-17.0%	59.3%	-5.7%	18.9%
Call IV 25d	39.5%	27.3%	57.6%	40.6%	47.2%
Put IV 25d	38.4%	25.2%	56.2%	38.0%	54.3%
Bid-Ask Spread %	78.13	11.91	102.96	94.95	20.13
Gamma HHI	0.71	0.43	0.95	0.95	0.83
Net GEX	24.7K	4.1K	81.7K	81.7K	10.0K
Net DEX	-1.7M	-2.8M	-238.1K	-2.2M	-238.1K
Net VEX	-1.7K	-3.2K	-679	-3.2K	-1.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.31	0.00	0.54	0.29	0.40
Total Volume	523.409	379	903	511	605
Total OI	4,100.136	1,835	5,484	5,481	1,957

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
2015-06-01	$8.02	$7.50	34.7%	10.0%	26.2%	14.0%	36.7%	-2.6%	8.2%	81.7K	-2.2M	-3.2K	0.29	94.95	395	116	4,265	1,216
2015-06-02	$8.10	$7.50	30.2%	8.7%	26.2%	7.4%	28.0%	-3.2%	11.4%	56.0K	-2.4M	-2.9K	0.00	101.28	903	0	4,268	1,216
2015-06-03	$8.10	$7.50	35.7%	10.2%	25.3%	15.3%	35.5%	-6.2%	12.9%	51.3K	-2.1M	-2.9K	0.22	102.96	418	92	3,952	1,216
2015-06-04	$7.96	$7.50	42.0%	11.6%	25.2%	24.5%	37.1%	7.1%	4.8%	59.0K	-1.8M	-3.1K	0.22	92.26	418	92	3,931	1,236
2015-06-05	$8.15	$7.50	39.8%	10.5%	26.1%	21.3%	34.0%	6.2%	9.6%	48.6K	-2.0M	-2.8K	0.24	15.08	383	92	3,931	1,236
2015-06-08	$8.12	$7.50	39.9%	9.5%	26.2%	21.4%	35.8%	8.1%	16.6%	47.3K	-2.2M	-2.2K	0.54	94.15	383	208	3,911	1,236
2015-06-09	$8.14	$7.50	41.4%	9.6%	26.2%	23.6%	36.6%	4.4%	15.5%	43.5K	-2.2M	-2.2K	0.54	94.85	383	208	3,911	1,345
2015-06-10	$8.31	$7.50	35.9%	10.3%	25.8%	15.6%	36.5%	10.3%	15.3%	30.5K	-2.4M	-1.8K	0.49	54.36	427	208	3,911	1,345
2015-06-11	$8.52	$7.50	41.0%	11.7%	26.6%	23.1%	40.5%	25.6%	19.4%	24.8K	-2.5M	-1.9K	0.48	98.41	437	208	3,840	1,345
2015-06-12	$8.56	$7.50	39.6%	11.3%	26.1%	21.0%	46.7%	-0.5%	16.9%	20.3K	-2.6M	-1.7K	0.48	100.02	437	208	3,855	1,345
2015-06-15	$8.80	$7.50	40.1%	11.5%	27.2%	21.8%	39.0%	-4.8%	2.6%	7.4K	-2.8M	-1.0K	0.53	85.51	361	191	3,855	1,345
2015-06-16	$8.81	$7.50	36.4%	10.4%	25.9%	16.4%	39.5%	-6.5%	1.2%	7.4K	-2.8M	-1.0K	0.47	100.89	361	168	3,853	1,349
2015-06-17	$8.86	$7.50	40.6%	11.6%	21.1%	22.5%	50.4%	9.8%	-1.8%	7.9K	-2.4M	-1.2K	0.25	94.84	361	92	3,353	1,349
2015-06-18	$8.48	$7.50	31.7%	9.1%	27.3%	9.6%	49.2%	-29.4%	10.6%	6.9K	-2.1M	-1.4K	0.26	96.81	358	92	3,350	1,409
2015-06-19	$8.28	$7.50	37.0%	10.6%	28.7%	17.3%	30.4%	-12.7%	-4.1%	6.5K	-2.1M	-1.3K	0.26	35.58	358	92	3,345	1,409
2015-06-22	$8.32	$7.50	33.7%	9.7%	28.7%	12.4%	32.3%	-4.2%	8.6%	5.5K	-520.4K	-947	0.22	53.71	325	72	1,326	551
2015-06-23	$8.44	$7.50	29.7%	8.5%	27.2%	6.7%	29.4%	-6.0%	-4.4%	4.5K	-579.1K	-767	0.17	95.89	325	54	1,326	551
2015-06-24	$8.44	$7.50	25.7%	7.4%	26.9%	0.8%	34.8%	-8.9%	17.0%	4.1K	-597.8K	-679	0.17	11.91	325	54	1,326	509
2015-06-25	$8.22	$7.50	29.8%	8.5%	28.9%	6.8%	25.6%	-14.1%	15.6%	6.2K	-523.8K	-848	0.17	94.72	325	56	1,326	509
2015-06-26	$7.94	$7.50	35.9%	10.3%	31.5%	15.7%	40.1%	-1.0%	19.5%	7.3K	-395.7K	-1.1K	0.23	94.71	325	74	1,326	511
2015-06-29	$7.80	$7.50	43.3%	12.4%	32.0%	26.4%	45.5%	-3.0%	5.8%	7.6K	-304.2K	-1.1K	0.24	85.88	425	100	1,326	531
2015-06-30	$7.61	$7.50	41.3%	11.8%	32.8%	23.5%	40.7%	7.1%	8.1%	10.0K	-238.1K	-1.3K	0.40	20.13	433	172	1,426	531