CALX Options History — October 2015

In October 2015, CALX traded between $6.97 and $9.01. ATM implied volatility averaged 62.5%, placing in the 53.2% IV rank vs the trailing year. The 30-day expected move averaged 17.3%. IV traded above realized volatility by 25.5% (HV 20d: 37.0%). 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 4 of 22 days. Put/call ratio averaged 0.44.

Notable Days

2015-10-14: Highest Volume — 431 contracts
2015-10-12: Largest IV spike — 40.7% change
2015-10-13: Highest IV Rank — 100.0%
2015-10-27: Largest Expected Move — 20.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.53	$6.97	$9.01	$7.91	$6.97
Max Pain	$7.50	$7.50	$7.50	$7.50	$7.50
ATM IV	62.5%	44.2%	95.3%	53.9%	49.2%
Expected Move	17.3%	13.1%	20.7%	15.4%	14.1%
HV 20d	37.0%	31.9%	92.6%	34.0%	92.6%
HV 60d	45.0%	33.5%	60.6%	48.8%	60.6%
IV Rank	53.2%	27.2%	100.0%	41.4%	33.7%
IV Percentile	84.4%	49.2%	100.0%	77.0%	65.1%
Term Structure	-6.0%	-15.1%	16.7%	7.3%	-6.4%
VWIV	62.1%	46.6%	73.4%	54.0%	49.5%
Skew 25d	2.1%	-4.2%	10.7%	5.1%	1.5%
Skew 10d	18.9%	-25.5%	48.5%	21.5%	-25.5%
Call IV 25d	59.3%	50.6%	66.7%	54.0%	59.9%
Put IV 25d	61.4%	50.4%	74.1%	59.1%	61.4%
Bid-Ask Spread %	44.96	3.19	62.33	28.83	3.19
Gamma HHI	0.70	0.46	0.93	0.46	0.70
Net GEX	3.0K	590	5.8K	4.4K	4.0K
Net DEX	-235.3K	-375.6K	-55.7K	-156.4K	-55.7K
Net VEX	-324	-395	-215	-379	-308
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.44	0.00	0.70	0.70	0.27
Total Volume	261.636	50	431	217	371
Total OI	832.273	391	1,299	1,062	548

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
2015-10-01	$7.91	$7.50	53.9%	15.4%	34.0%	41.4%	54.0%	5.1%	7.3%	4.4K	-156.4K	-379	0.70	28.83	128	89	917	145
2015-10-02	$8.09	$7.50	45.8%	13.1%	34.8%	29.6%	46.6%	-0.5%	16.7%	4.8K	-194.6K	-308	0.70	33.75	128	89	937	145
2015-10-05	$8.16	$0.00	44.2%	17.7%	34.8%	27.2%	0.0%	-0.6%	-12.5%	3.0K	-208.0K	-265	0.00	62.33	50	0	937	145
2015-10-06	$8.29	$0.00	48.5%	16.8%	35.0%	33.4%	58.3%	-4.2%	-8.2%	2.9K	-222.6K	-252	0.50	45.04	173	87	987	145
2015-10-07	$8.39	$7.50	56.8%	16.5%	34.7%	45.7%	59.3%	10.7%	-5.0%	3.2K	-200.0K	-237	0.50	60.94	173	87	897	150
2015-10-08	$8.53	$7.50	55.1%	15.5%	34.9%	43.2%	58.7%	-4.2%	-2.0%	2.9K	-213.2K	-215	0.53	50.45	183	97	897	150
2015-10-09	$8.73	$7.50	60.4%	13.4%	33.8%	50.9%	58.1%	-0.1%	15.0%	5.8K	-235.9K	-261	0.42	43.64	233	97	907	165
2015-10-12	$8.49	$7.50	84.9%	16.7%	35.1%	86.9%	60.6%	-3.8%	-3.5%	4.3K	-258.4K	-346	0.42	48.33	233	97	982	165
2015-10-13	$8.45	$7.50	95.3%	16.9%	35.2%	100.0%	60.1%	-3.6%	-8.1%	3.7K	-252.2K	-338	0.42	46.88	233	97	982	165
2015-10-14	$8.42	$7.50	63.7%	18.3%	35.0%	54.6%	63.9%	-0.2%	-13.9%	590	-255.6K	-297	0.29	48.02	334	97	982	165
2015-10-15	$8.60	$7.50	62.3%	17.9%	35.5%	52.6%	62.7%	-0.5%	-15.1%	1.9K	-332.6K	-353	0.45	46.99	216	97	1,083	165
2015-10-16	$8.68	$7.50	52.2%	15.0%	33.9%	38.1%	61.1%	0.3%	5.4%	2.7K	-375.6K	-375	0.58	47.07	167	97	1,134	165
2015-10-19	$9.00	$7.50	61.1%	17.5%	35.5%	50.8%	62.1%	9.1%	-7.3%	2.2K	-262.2K	-359	0.53	47.04	105	56	376	84
2015-10-20	$8.86	$7.50	63.7%	18.3%	34.3%	54.6%	64.4%	5.8%	-7.7%	2.6K	-258.7K	-393	0.52	45.20	107	56	398	85
2015-10-21	$8.69	$7.50	66.5%	19.1%	34.7%	58.6%	66.7%	1.0%	-8.2%	2.8K	-248.4K	-395	0.53	39.32	106	56	402	85
2015-10-22	$8.84	$7.50	65.6%	18.8%	34.5%	57.3%	66.6%	6.3%	-10.4%	2.7K	-261.8K	-386	0.51	61.16	110	56	404	85
2015-10-23	$8.97	$7.50	65.5%	18.8%	32.3%	57.2%	66.1%	9.2%	-10.1%	2.7K	-275.4K	-369	0.52	44.88	107	56	410	85
2015-10-26	$9.00	$7.50	67.4%	19.3%	32.4%	59.9%	68.2%	7.5%	-13.3%	2.9K	-280.4K	-344	0.53	44.22	106	56	412	85
2015-10-27	$8.67	$7.50	72.1%	20.7%	35.8%	66.6%	73.4%	3.4%	-14.5%	3.1K	-254.8K	-383	0.26	44.25	274	70	417	85
2015-10-28	$9.01	$7.50	69.1%	19.8%	31.9%	62.4%	71.2%	8.5%	-14.8%	1.9K	-225.3K	-312	0.32	62.25	274	89	346	100
2015-10-29	$8.86	$7.50	71.4%	20.5%	32.8%	65.6%	71.9%	-3.7%	-15.1%	854	-148.9K	-251	0.27	35.33	330	89	271	120
2015-10-30	$6.97	$7.50	49.2%	14.1%	92.6%	33.7%	49.5%	1.5%	-6.4%	4.0K	-55.7K	-308	0.27	3.19	292	79	428	120