CALX Options History — December 2015

In December 2015, CALX traded between $7.26 and $8.00. ATM implied volatility averaged 42.0%, placing in the 23.4% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 7.0% (HV 20d: 35.0%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.23.

Notable Days

2015-12-18: Highest Volume — 401 contracts
2015-12-03: Largest IV spike — 22.6% change
2015-12-08: Highest IV Rank — 33.3%
2015-12-29: Largest Expected Move — 13.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.64	$7.26	$8.00	$7.84	$7.91
Max Pain	$6.14	$5.00	$7.50	$7.50	$7.50
ATM IV	42.0%	36.7%	48.9%	42.5%	38.7%
Expected Move	11.8%	10.5%	13.1%	12.2%	11.1%
HV 20d	35.0%	29.9%	39.9%	35.8%	29.9%
HV 60d	60.7%	59.6%	61.3%	60.4%	59.6%
IV Rank	23.4%	15.8%	33.3%	24.1%	18.7%
IV Percentile	35.0%	11.1%	63.5%	40.5%	17.5%
Term Structure	9.3%	-0.1%	24.2%	-0.1%	24.2%
VWIV	41.3%	34.4%	48.7%	34.4%	44.1%
Skew 25d	7.1%	-0.6%	43.1%	21.2%	0.1%
Skew 10d	16.4%	-3.8%	87.6%	87.6%	-3.8%
Call IV 25d	38.6%	32.0%	45.5%	45.5%	45.0%
Put IV 25d	45.7%	36.8%	83.6%	66.7%	45.2%
Bid-Ask Spread %	39.12	16.76	103.30	21.20	103.30
Gamma HHI	0.80	0.71	0.86	0.79	0.84
Net GEX	4.3K	2.5K	6.1K	3.5K	6.1K
Net DEX	-172.5K	-231.3K	-91.2K	-203.6K	-217.4K
Net VEX	-358	-405	-279	-405	-337
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.23	0.00	0.52	0.00	0.52
Total Volume	211.136	20	401	20	131
Total OI	571.864	537	594	546	575

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
2015-12-01	$7.84	$7.50	42.5%	12.2%	35.8%	24.1%	0.0%	21.2%	-0.1%	3.5K	-203.6K	-405	0.00	21.20	20	0	439	107
2015-12-02	$8.00	$7.50	37.1%	10.6%	36.1%	16.4%	34.4%	0.4%	10.0%	3.4K	-222.8K	-388	0.09	28.31	219	19	439	107
2015-12-03	$7.79	$5.00	45.5%	12.1%	38.0%	28.4%	40.8%	8.3%	4.4%	3.3K	-196.5K	-385	0.09	16.76	219	19	430	107
2015-12-04	$7.78	$5.00	43.8%	11.3%	37.9%	26.0%	38.6%	6.8%	8.0%	3.6K	-192.9K	-380	0.09	20.43	221	19	430	107
2015-12-07	$7.45	$5.00	45.7%	12.1%	38.6%	28.7%	42.3%	7.1%	5.2%	3.8K	-153.1K	-354	0.00	18.03	0	35	430	107
2015-12-08	$7.30	$5.00	48.9%	12.2%	38.7%	33.3%	42.4%	5.4%	5.1%	2.7K	-121.7K	-364	0.18	17.39	221	39	430	139
2015-12-09	$7.26	$5.00	41.3%	11.8%	38.7%	22.4%	41.2%	43.1%	5.2%	2.6K	-111.2K	-341	0.18	20.60	221	39	430	139
2015-12-10	$7.46	$5.00	41.3%	11.8%	39.9%	22.4%	41.2%	7.2%	5.8%	3.1K	-142.4K	-356	0.17	19.13	231	39	430	139
2015-12-11	$7.44	$5.00	44.6%	12.8%	37.8%	27.2%	44.4%	7.5%	4.4%	3.5K	-144.3K	-372	0.17	21.75	231	39	455	139
2015-12-14	$7.30	$5.00	43.5%	12.5%	38.5%	25.6%	43.4%	3.4%	7.0%	3.5K	-135.9K	-334	0.17	59.59	231	39	455	139
2015-12-15	$7.44	$5.00	43.1%	12.4%	36.0%	25.0%	43.0%	3.7%	5.9%	4.2K	-142.2K	-331	0.17	38.03	231	39	455	139
2015-12-16	$7.49	$5.00	40.8%	11.7%	32.5%	21.7%	40.9%	4.6%	7.5%	4.1K	-157.4K	-326	0.20	95.81	192	39	455	139
2015-12-17	$7.38	$5.00	41.5%	11.9%	32.7%	22.7%	41.5%	-0.6%	6.3%	5.4K	-136.4K	-310	0.20	39.45	192	39	455	139
2015-12-18	$7.42	$5.00	37.7%	10.8%	32.7%	17.2%	37.7%	0.9%	9.5%	2.5K	-91.2K	-279	0.27	38.55	317	84	455	139
2015-12-21	$7.51	$7.50	41.2%	11.8%	32.1%	22.3%	41.2%	1.7%	11.1%	5.2K	-144.5K	-400	0.29	39.08	150	44	455	114
2015-12-22	$7.74	$7.50	36.7%	10.5%	33.6%	15.8%	36.8%	4.8%	16.9%	6.0K	-188.6K	-401	0.29	40.74	150	44	464	114
2015-12-23	$7.86	$7.50	41.3%	11.8%	33.9%	22.4%	41.3%	6.8%	12.3%	5.2K	-207.9K	-392	0.29	41.70	150	44	464	114
2015-12-24	$7.91	$7.50	38.6%	11.1%	33.9%	18.6%	38.6%	5.9%	15.9%	5.2K	-225.4K	-371	0.29	19.75	150	44	464	114
2015-12-28	$7.84	$7.50	41.0%	11.7%	30.3%	22.0%	40.9%	2.5%	14.0%	5.8K	-209.5K	-361	0.29	33.18	150	44	464	114
2015-12-29	$8.00	$7.50	45.6%	13.1%	30.7%	28.6%	48.7%	11.3%	11.7%	5.4K	-231.3K	-342	0.33	71.38	135	44	464	114
2015-12-30	$7.91	$7.50	42.7%	12.2%	30.8%	24.5%	42.8%	3.9%	13.3%	5.5K	-219.5K	-336	0.52	56.40	86	45	459	114
2015-12-31	$7.91	$7.50	38.7%	11.1%	29.9%	18.7%	44.1%	0.1%	24.2%	6.1K	-217.4K	-337	0.52	103.30	86	45	460	115