CALX Options History — September 2015

In September 2015, CALX traded between $7.31 and $7.96. ATM implied volatility averaged 50.8%, placing in the 37.3% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded above realized volatility by 15.1% (HV 20d: 35.7%). 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 17 of 21 days. Put/call ratio averaged 0.57.

Notable Days

2015-09-01: Highest Volume — 252 contracts
2015-09-28: Largest IV spike — 29.7% change
2015-09-02: Highest IV Rank — 55.3%
2015-09-02: Largest Expected Move — 18.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.65	$7.31	$7.96	$7.71	$7.78
Max Pain	$7.50	$7.50	$7.50	$7.50	$7.50
ATM IV	50.8%	42.9%	63.1%	57.5%	52.2%
Expected Move	14.2%	12.3%	18.1%	16.5%	15.0%
HV 20d	35.7%	28.0%	39.3%	38.7%	34.1%
HV 60d	47.5%	46.9%	48.7%	48.3%	48.7%
IV Rank	37.3%	25.8%	55.3%	47.1%	38.9%
IV Percentile	68.7%	48.8%	92.1%	84.5%	73.8%
Term Structure	3.4%	-12.6%	12.2%	-10.5%	6.4%
VWIV	48.6%	43.0%	63.1%	57.5%	52.1%
Skew 25d	18.7%	-10.0%	59.6%	13.0%	41.1%
Skew 10d	34.6%	-12.8%	96.6%	20.8%	96.6%
Call IV 25d	46.2%	36.9%	62.0%	36.9%	50.9%
Put IV 25d	64.9%	49.8%	115.9%	49.8%	92.0%
Bid-Ask Spread %	41.67	16.76	103.31	103.31	22.37
Gamma HHI	0.53	0.46	0.80	0.48	0.50
Net GEX	5.6K	2.8K	7.6K	7.3K	3.9K
Net DEX	-148.8K	-200.1K	-70.8K	-190.8K	-132.6K
Net VEX	-518	-753	-347	-725	-362
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.57	0.47	0.70	0.59	0.60
Total Volume	213.905	0	252	252	237
Total OI	1,064.857	1,042	1,073	1,070	1,062

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
2015-09-01	$7.71	$7.50	57.5%	16.5%	38.7%	47.1%	57.5%	13.0%	-10.5%	7.3K	-190.8K	-725	0.59	103.31	158	94	953	117
2015-09-02	$7.84	$7.50	63.1%	18.1%	39.3%	55.3%	63.1%	1.2%	-12.6%	7.3K	-193.5K	-753	0.59	67.18	158	94	953	117
2015-09-03	$7.80	$7.50	61.0%	14.3%	38.8%	52.2%	45.7%	17.2%	1.4%	7.3K	-193.7K	-725	0.59	73.61	158	94	953	117
2015-09-04	$7.89	$7.50	62.1%	14.2%	38.8%	53.7%	45.0%	39.9%	3.1%	7.5K	-199.8K	-741	0.59	85.72	158	94	953	117
2015-09-08	$7.96	$7.50	52.7%	13.9%	38.3%	40.1%	0.0%	27.7%	3.2%	7.6K	-200.1K	-643	0.00	20.37	0	11	948	117
2015-09-09	$7.85	$7.50	48.5%	13.9%	36.7%	34.0%	45.4%	11.1%	1.6%	7.3K	-195.1K	-645	0.47	40.42	158	75	953	120
2015-09-10	$7.84	$7.50	48.2%	13.8%	36.7%	33.6%	45.4%	12.4%	3.5%	7.1K	-190.1K	-635	0.47	39.20	158	75	953	120
2015-09-11	$7.65	$7.50	47.6%	13.7%	37.7%	32.8%	46.6%	7.5%	4.4%	6.0K	-153.0K	-546	0.47	19.74	158	75	953	120
2015-09-14	$7.53	$7.50	49.1%	14.1%	38.0%	34.9%	48.4%	9.8%	2.0%	5.4K	-141.3K	-504	0.47	41.92	158	75	953	120
2015-09-15	$7.64	$7.50	48.0%	13.8%	38.3%	33.3%	0.0%	53.5%	3.5%	5.4K	-143.9K	-482	0.00	86.32	0	0	948	120
2015-09-16	$7.77	$7.50	46.6%	13.4%	37.3%	31.2%	45.7%	8.0%	3.8%	6.7K	-176.4K	-494	0.47	18.00	158	75	953	120
2015-09-17	$7.78	$7.50	47.4%	13.6%	36.3%	32.4%	46.6%	8.0%	2.3%	6.1K	-172.2K	-495	0.48	62.45	158	76	953	120
2015-09-18	$7.60	$7.50	44.7%	12.8%	34.8%	28.5%	44.7%	6.1%	5.4%	5.8K	-147.8K	-426	0.62	44.18	149	93	953	120
2015-09-21	$7.67	$7.50	46.1%	13.2%	33.7%	30.5%	46.1%	9.6%	10.3%	5.5K	-144.4K	-448	0.57	26.07	143	82	938	118
2015-09-22	$7.47	$7.50	45.5%	13.0%	33.5%	29.7%	45.7%	9.7%	8.9%	4.9K	-117.6K	-394	0.57	20.49	143	82	938	118
2015-09-23	$7.36	$7.50	42.9%	12.3%	34.1%	25.8%	43.0%	-10.0%	12.2%	4.7K	-96.0K	-371	0.70	16.76	128	89	938	118
2015-09-24	$7.53	$7.50	44.1%	12.6%	34.0%	27.6%	43.9%	51.0%	11.9%	3.2K	-91.2K	-369	0.70	22.87	128	89	897	145
2015-09-25	$7.35	$7.50	44.9%	12.9%	31.1%	28.8%	45.1%	6.0%	11.3%	2.8K	-70.8K	-347	0.60	19.74	148	89	897	145
2015-09-28	$7.39	$7.50	58.2%	16.7%	30.9%	47.7%	58.0%	59.6%	-0.4%	3.3K	-89.1K	-394	0.60	21.30	148	89	917	145
2015-09-29	$7.31	$7.50	55.9%	16.0%	28.0%	44.4%	56.0%	9.3%	-0.2%	3.2K	-85.2K	-378	0.60	23.01	148	89	917	145
2015-09-30	$7.78	$7.50	52.2%	15.0%	34.1%	38.9%	52.1%	41.1%	6.4%	3.9K	-132.6K	-362	0.60	22.37	148	89	917	145