CALX Options History — January 2016

In January 2016, CALX traded between $6.96 and $7.71. ATM implied volatility averaged 60.8%, placing in the 50.4% IV rank vs the trailing year. The 30-day expected move averaged 18.6%. IV traded above realized volatility by 13.0% (HV 20d: 47.8%). Max pain ranged from $7.00 to $7.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 0.64.

Notable Days

2016-01-08: Highest Volume — 508 contracts
2016-01-11: Largest IV spike — 29.0% change
2016-01-26: Highest IV Rank — 67.2%
2016-01-26: Largest Expected Move — 20.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.39	$6.96	$7.71	$7.64	$7.70
Max Pain	$7.00	$7.00	$7.00	$7.00	$7.00
ATM IV	60.8%	45.4%	72.5%	46.1%	65.4%
Expected Move	18.6%	16.5%	20.8%	17.1%	18.8%
HV 20d	47.8%	30.9%	55.7%	30.9%	55.7%
HV 60d	61.0%	41.7%	64.6%	59.9%	41.8%
IV Rank	50.4%	28.2%	67.2%	29.3%	57.0%
IV Percentile	81.3%	49.2%	96.8%	54.4%	88.9%
Term Structure	-9.5%	-15.7%	-1.7%	-8.8%	-6.7%
VWIV	65.1%	54.7%	74.7%	64.8%	66.4%
Skew 25d	1.8%	-17.9%	30.9%	3.7%	2.4%
Skew 10d	7.2%	-14.3%	40.1%	6.7%	-0.4%
Call IV 25d	64.0%	50.4%	77.5%	59.6%	69.9%
Put IV 25d	65.8%	50.3%	81.3%	63.2%	72.2%
Bid-Ask Spread %	50.09	32.60	89.46	32.92	39.27
Gamma HHI	0.52	0.24	0.89	0.86	0.34
Net GEX	3.2K	1.2K	8.0K	6.5K	1.6K
Net DEX	-78.3K	-181.0K	-9.7K	-178.2K	-46.7K
Net VEX	-262	-313	-154	-313	-278
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.64	0.42	1.39	0.52	0.42
Total Volume	261.211	131	508	131	204
Total OI	453.368	207	811	575	247

Daily Data (19 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
2016-01-04	$7.64	$0.00	46.1%	17.1%	30.9%	29.3%	0.0%	3.7%	-8.8%	6.5K	-178.2K	-313	0.52	32.92	86	45	460	115
2016-01-05	$7.31	$0.00	49.0%	16.7%	34.5%	33.5%	0.0%	-0.7%	-9.9%	6.3K	-123.1K	-293	0.52	32.60	86	45	460	115
2016-01-06	$7.30	$0.00	48.1%	17.5%	31.1%	32.2%	0.0%	1.1%	-11.9%	6.5K	-115.9K	-284	0.52	38.63	86	45	460	115
2016-01-07	$6.96	$0.00	54.3%	18.4%	34.7%	41.0%	0.0%	-3.5%	-11.5%	5.4K	-92.2K	-253	0.52	55.47	86	45	460	115
2016-01-08	$7.59	$0.00	45.4%	17.3%	46.9%	28.2%	64.8%	1.8%	-10.5%	7.9K	-181.0K	-277	0.64	35.03	310	198	460	115
2016-01-11	$7.71	$7.00	58.5%	17.4%	46.2%	47.1%	56.9%	3.1%	-10.0%	1.8K	-163.6K	-293	0.64	41.30	310	198	466	240
2016-01-12	$7.61	$7.00	49.6%	18.5%	46.5%	34.3%	57.2%	-12.9%	-11.0%	2.0K	-148.9K	-273	1.16	56.81	170	198	460	240
2016-01-13	$7.20	$7.00	57.6%	16.5%	50.2%	45.8%	54.7%	-17.9%	-1.7%	1.9K	-60.5K	-243	1.06	68.66	170	180	470	240
2016-01-14	$7.41	$7.00	68.1%	19.5%	50.8%	60.9%	68.3%	2.8%	-13.8%	8.0K	-90.0K	-215	1.39	35.65	170	237	470	166
2016-01-15	$7.19	$7.00	69.7%	20.0%	51.9%	63.2%	70.0%	-5.7%	-14.4%	1.2K	-9.7K	-154	1.32	89.46	200	265	470	341
2016-01-19	$7.03	$7.00	67.1%	19.2%	52.2%	59.5%	67.5%	-11.2%	-5.2%	1.2K	-31.7K	-200	0.42	52.85	144	60	174	33
2016-01-20	$7.15	$7.00	67.8%	19.4%	52.6%	60.5%	66.0%	13.2%	-7.5%	1.2K	-26.3K	-270	0.42	48.15	144	60	184	61
2016-01-21	$7.26	$7.00	66.2%	19.0%	52.7%	58.2%	65.1%	12.3%	-4.1%	1.3K	-28.8K	-268	0.42	42.93	143	60	184	61
2016-01-22	$7.44	$7.00	65.5%	18.8%	52.3%	57.1%	63.0%	18.0%	-8.0%	1.4K	-36.3K	-280	0.42	50.90	143	60	185	61
2016-01-25	$7.23	$7.00	68.5%	19.6%	52.7%	61.5%	66.2%	1.9%	-11.8%	1.3K	-31.9K	-262	0.42	55.51	143	60	185	61
2016-01-26	$7.57	$7.00	72.5%	20.8%	55.5%	67.2%	74.7%	30.9%	-15.7%	1.4K	-40.8K	-276	0.42	42.08	144	60	185	61
2016-01-27	$7.46	$7.00	67.3%	19.3%	55.6%	59.7%	64.2%	-1.7%	-9.8%	1.5K	-40.5K	-268	0.42	85.14	144	60	186	61
2016-01-28	$7.56	$7.00	68.5%	19.6%	55.3%	61.5%	71.2%	-3.1%	-9.0%	1.5K	-42.6K	-274	0.42	48.26	144	60	186	61
2016-01-29	$7.70	$7.00	65.4%	18.8%	55.7%	57.0%	66.4%	2.4%	-6.7%	1.6K	-46.7K	-278	0.42	39.27	144	60	186	61