CALX Options History — November 2015

In November 2015, CALX traded between $6.92 and $7.92. ATM implied volatility averaged 43.0%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded below realized volatility by 47.3% (HV 20d: 90.3%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.27.

Notable Days

2015-11-02: Highest Volume — 371 contracts
2015-11-10: Largest IV drop — 11.4% change
2015-11-02: Highest IV Rank — 29.7%
2015-11-02: Largest Expected Move — 13.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.26	$6.92	$7.92	$6.92	$7.92
Max Pain	$6.00	$5.00	$7.50	$7.50	$7.50
ATM IV	43.0%	39.3%	46.4%	46.4%	46.2%
Expected Move	12.3%	11.3%	13.3%	13.3%	13.2%
HV 20d	90.3%	35.7%	94.3%	92.4%	35.7%
HV 60d	60.7%	59.7%	61.3%	60.6%	60.4%
IV Rank	24.8%	19.6%	29.7%	29.7%	29.5%
IV Percentile	41.9%	25.0%	55.6%	55.6%	54.8%
Term Structure	-0.9%	-4.4%	1.8%	-4.4%	-3.5%
VWIV	42.9%	39.3%	46.2%	46.2%	42.2%
Skew 25d	19.8%	-0.3%	84.2%	25.9%	10.0%
Skew 10d	26.3%	-23.2%	98.3%	21.2%	16.4%
Call IV 25d	41.9%	34.3%	47.6%	47.6%	34.3%
Put IV 25d	61.7%	41.9%	130.3%	73.5%	44.3%
Bid-Ask Spread %	35.63	14.16	90.32	80.63	76.58
Gamma HHI	0.79	0.63	0.87	0.74	0.76
Net GEX	5.3K	2.1K	7.7K	4.5K	3.3K
Net DEX	-125.0K	-213.0K	-70.1K	-92.3K	-213.0K
Net VEX	-436	-528	-369	-485	-418
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.27	0.00	1.67	0.27	0.00
Total Volume	232.25	0	371	371	30
Total OI	703.9	503	790	754	556

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
2015-11-02	$6.92	$7.50	46.4%	13.3%	92.4%	29.7%	46.2%	25.9%	-4.4%	4.5K	-92.3K	-485	0.27	80.63	292	79	594	160
2015-11-03	$7.01	$7.50	44.5%	12.8%	92.3%	27.0%	44.5%	-0.3%	-0.5%	5.0K	-101.2K	-484	0.24	90.32	292	69	594	159
2015-11-04	$7.02	$7.50	45.9%	13.2%	92.1%	29.0%	45.9%	84.2%	-1.4%	5.0K	-101.9K	-485	0.24	25.89	292	69	594	159
2015-11-05	$7.10	$5.00	41.9%	12.0%	91.9%	23.3%	42.0%	11.3%	-0.6%	5.6K	-110.7K	-484	0.27	84.06	256	69	594	159
2015-11-06	$7.42	$5.00	42.2%	11.7%	93.2%	23.8%	0.0%	9.3%	-0.6%	6.8K	-163.3K	-528	1.67	19.08	3	5	592	159
2015-11-09	$7.29	$5.00	46.0%	12.0%	93.0%	29.2%	0.0%	41.3%	0.4%	6.7K	-143.3K	-494	0.00	18.98	0	0	592	157
2015-11-10	$7.25	$5.00	40.8%	12.1%	93.0%	21.6%	42.7%	4.8%	-1.1%	7.2K	-128.0K	-470	0.25	14.16	280	69	592	157
2015-11-11	$7.25	$5.00	39.3%	11.3%	93.0%	19.6%	39.3%	63.2%	1.2%	7.0K	-132.1K	-470	0.25	81.41	280	69	590	157
2015-11-12	$7.01	$5.00	43.0%	12.3%	92.8%	24.9%	44.1%	1.8%	-2.5%	5.9K	-98.7K	-415	0.25	19.39	280	69	590	157
2015-11-13	$7.00	$5.00	42.2%	12.1%	92.6%	23.8%	43.1%	2.5%	-1.6%	4.7K	-70.1K	-369	0.25	20.18	280	69	590	157
2015-11-16	$7.31	$5.00	44.8%	12.8%	93.1%	27.4%	0.0%	45.6%	-0.5%	7.4K	-129.3K	-417	0.00	17.07	0	0	590	157
2015-11-17	$7.02	$5.00	42.9%	12.3%	93.7%	24.7%	43.3%	7.8%	0.3%	6.3K	-107.7K	-387	0.23	22.96	295	69	590	157
2015-11-18	$7.14	$5.00	42.4%	12.2%	94.2%	24.1%	42.5%	2.8%	-1.3%	7.4K	-90.9K	-388	0.23	19.99	295	69	628	157
2015-11-19	$7.15	$5.00	43.1%	12.4%	93.8%	25.1%	43.2%	51.7%	-1.7%	7.7K	-91.5K	-382	0.13	17.70	230	31	628	157
2015-11-20	$7.31	$5.00	42.0%	12.0%	94.1%	23.4%	42.1%	7.2%	0.9%	2.3K	-90.9K	-386	0.13	22.57	230	30	633	157
2015-11-23	$7.35	$7.50	41.2%	11.8%	94.1%	22.2%	41.2%	8.0%	0.7%	2.1K	-128.4K	-384	0.00	17.96	60	0	396	107
2015-11-24	$7.41	$7.50	40.4%	11.6%	93.7%	21.1%	0.0%	3.5%	1.8%	3.5K	-147.7K	-426	0.00	20.18	0	0	447	107
2015-11-25	$7.47	$7.50	41.6%	11.9%	92.4%	22.9%	41.7%	8.8%	-1.3%	3.5K	-159.0K	-432	0.09	20.17	222	19	447	107
2015-11-27	$7.81	$7.50	42.2%	12.1%	94.3%	23.7%	42.2%	6.2%	-1.8%	3.4K	-200.4K	-425	0.08	23.39	224	19	447	107
2015-11-30	$7.92	$7.50	46.2%	13.2%	35.7%	29.5%	0.0%	10.0%	-3.5%	3.3K	-213.0K	-418	0.00	76.58	30	0	449	107