CALX Options History — August 2015

In August 2015, CALX traded between $7.16 and $8.34. ATM implied volatility averaged 48.8%, placing in the 34.5% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded below realized volatility by 12.5% (HV 20d: 61.4%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.60.

Notable Days

2015-08-21: Highest Volume — 270 contracts
2015-08-11: Largest IV drop — 27.3% change
2015-08-10: Highest IV Rank — 53.3%
2015-08-24: Largest Expected Move — 16.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.76	$7.16	$8.34	$8.34	$8.01
Max Pain	$7.50	$7.50	$7.50	$7.50	$7.50
ATM IV	48.8%	35.4%	61.8%	47.7%	56.6%
Expected Move	13.5%	10.2%	16.7%	13.7%	16.2%
HV 20d	61.4%	30.4%	70.3%	67.6%	36.6%
HV 60d	46.0%	45.0%	47.7%	45.5%	47.7%
IV Rank	34.5%	15.0%	53.3%	32.8%	45.8%
IV Percentile	68.5%	15.9%	89.7%	69.4%	83.7%
Term Structure	-1.2%	-13.3%	14.8%	-13.3%	-6.5%
VWIV	47.6%	38.1%	58.7%	47.4%	56.1%
Skew 25d	18.6%	3.2%	69.9%	3.2%	16.0%
Skew 10d	41.4%	6.9%	113.6%	6.9%	81.4%
Call IV 25d	43.8%	32.4%	61.0%	43.1%	52.7%
Put IV 25d	62.4%	43.5%	116.1%	46.3%	68.7%
Bid-Ask Spread %	42.04	18.83	98.58	83.95	34.45
Gamma HHI	0.53	0.47	0.74	0.51	0.51
Net GEX	10.5K	3.3K	23.1K	11.4K	7.4K
Net DEX	-256.5K	-479.4K	-6.0K	-479.4K	-201.4K
Net VEX	-1.0K	-1.4K	-701	-1.4K	-821
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.60	0.00	1.08	0.87	0.59
Total Volume	188.905	0	270	0	252
Total OI	1,396.667	1,070	1,536	1,504	1,120

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
2015-08-03	$8.34	$7.50	47.7%	13.7%	67.6%	32.8%	0.0%	3.2%	-13.3%	11.4K	-479.4K	-1.4K	0.00	83.95	0	0	1,204	300
2015-08-04	$8.25	$7.50	46.0%	13.2%	67.8%	30.4%	47.4%	7.3%	-0.7%	11.7K	-419.7K	-1.2K	0.87	24.22	111	97	1,204	300
2015-08-05	$8.25	$7.50	45.5%	13.0%	67.8%	29.7%	43.5%	3.2%	-0.4%	12.9K	-450.6K	-1.3K	0.78	25.66	125	97	1,204	300
2015-08-06	$8.09	$7.50	48.7%	12.6%	66.1%	34.3%	43.2%	9.7%	0.6%	13.1K	-391.7K	-1.3K	0.64	45.00	152	97	1,204	300
2015-08-07	$7.98	$7.50	48.9%	12.7%	66.1%	34.6%	43.6%	12.0%	-1.7%	12.0K	-360.7K	-1.2K	0.71	18.83	136	97	1,232	300
2015-08-10	$8.13	$7.50	61.8%	10.6%	66.3%	53.3%	43.2%	16.6%	14.8%	12.2K	-411.0K	-1.2K	0.71	28.39	136	97	1,230	298
2015-08-11	$7.86	$7.50	44.9%	12.6%	67.7%	28.8%	0.0%	10.6%	0.9%	12.6K	-357.7K	-1.2K	0.00	23.13	3	0	1,230	298
2015-08-12	$7.85	$7.50	43.0%	12.3%	67.6%	25.9%	42.7%	8.2%	-1.0%	13.7K	-336.7K	-1.1K	0.79	19.21	134	106	1,227	298
2015-08-13	$7.86	$7.50	45.3%	13.0%	67.6%	29.4%	44.1%	10.9%	0.7%	13.0K	-338.1K	-1.2K	0.60	44.50	134	80	1,227	298
2015-08-14	$7.90	$7.50	35.4%	10.2%	67.6%	15.0%	38.1%	23.1%	10.6%	13.0K	-366.7K	-1.0K	0.59	37.79	135	80	1,227	308
2015-08-17	$7.81	$7.50	39.7%	11.4%	66.6%	21.2%	39.6%	4.9%	1.1%	14.5K	-330.1K	-972	0.59	28.54	135	80	1,228	308
2015-08-18	$7.59	$7.50	46.4%	13.3%	67.6%	30.9%	45.2%	5.8%	-5.5%	13.3K	-236.2K	-921	0.50	25.28	130	65	1,228	308
2015-08-19	$7.42	$7.50	45.3%	13.0%	67.9%	29.3%	0.0%	8.0%	2.2%	23.1K	-151.9K	-909	0.00	28.19	0	0	1,228	299
2015-08-20	$7.16	$7.50	49.6%	14.2%	69.0%	35.7%	49.3%	5.9%	-0.8%	11.1K	-36.6K	-757	0.48	46.98	130	63	1,228	299
2015-08-21	$7.36	$7.50	47.6%	13.6%	69.6%	32.7%	47.5%	69.9%	-1.7%	3.5K	-6.0K	-735	1.08	48.98	130	140	1,228	295
2015-08-24	$7.16	$7.50	58.3%	16.7%	70.3%	48.3%	58.7%	12.5%	-7.9%	3.3K	-72.5K	-714	0.42	98.58	123	52	894	186
2015-08-25	$7.16	$7.50	55.4%	15.9%	70.3%	44.1%	55.4%	17.5%	-4.4%	3.3K	-72.2K	-701	0.55	79.24	132	72	894	188
2015-08-26	$7.33	$7.50	50.5%	14.5%	30.4%	36.9%	50.5%	43.2%	-0.3%	4.1K	-90.5K	-707	0.53	48.94	136	72	903	167
2015-08-27	$7.66	$7.50	53.4%	15.3%	33.7%	41.1%	53.4%	62.2%	-4.5%	5.4K	-133.8K	-791	0.53	67.30	136	72	903	167
2015-08-28	$7.75	$7.50	55.0%	15.8%	34.2%	43.5%	54.9%	40.0%	-7.4%	5.6K	-142.9K	-789	0.46	25.71	158	72	903	167
2015-08-31	$8.01	$7.50	56.6%	16.2%	36.6%	45.8%	56.1%	16.0%	-6.5%	7.4K	-201.4K	-821	0.59	34.45	158	94	953	167