CALX Options History — February 2016

In February 2016, CALX traded between $5.68 and $7.82. ATM implied volatility averaged 63.9%, placing in the 50.8% IV rank vs the trailing year. The 30-day expected move averaged 16.6%. IV traded below realized volatility by 2.3% (HV 20d: 66.2%). Max pain ranged from $4.00 to $7.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 1.11.

Notable Days

2016-02-18: Highest Volume — 750 contracts
2016-02-10: Largest IV drop — 45.4% change
2016-02-08: Highest IV Rank — 100.0%
2016-02-02: Largest Expected Move — 22.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$6.71	$5.68	$7.82	$7.82	$6.95
Max Pain	$5.00	$4.00	$7.00	$7.00	$4.00
ATM IV	63.9%	45.3%	104.8%	75.8%	46.2%
Expected Move	16.6%	13.0%	22.9%	21.7%	13.3%
HV 20d	66.2%	44.0%	77.7%	56.0%	75.8%
HV 60d	50.8%	41.8%	57.1%	41.8%	56.3%
IV Rank	50.8%	24.8%	100.0%	71.9%	26.0%
IV Percentile	75.1%	43.3%	100.0%	98.0%	48.4%
Term Structure	-6.3%	-18.6%	6.0%	-18.6%	0.9%
VWIV	55.0%	32.9%	81.4%	81.4%	49.0%
Skew 25d	0.7%	-12.9%	13.7%	4.8%	1.2%
Skew 10d	4.3%	-40.8%	22.5%	10.0%	2.4%
Call IV 25d	56.0%	37.8%	87.8%	78.8%	42.3%
Put IV 25d	56.6%	39.3%	83.6%	83.6%	43.5%
Bid-Ask Spread %	32.42	17.14	50.34	31.25	50.34
Gamma HHI	0.44	0.29	0.62	0.34	0.62
Net GEX	993	-627	2.4K	1.6K	-604
Net DEX	13.4K	-51.3K	124.7K	-51.3K	-4.4K
Net VEX	-312	-387	-221	-270	-359
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.11	0.42	2.36	0.42	2.15
Total Volume	385.65	198	750	204	211
Total OI	582.55	247	1,167	247	403

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
2016-02-01	$7.82	$7.00	75.8%	21.7%	56.0%	71.9%	81.4%	4.8%	-18.6%	1.6K	-51.3K	-270	0.42	31.25	144	60	186	61
2016-02-02	$7.40	$7.00	79.8%	22.9%	58.1%	77.7%	78.1%	-12.8%	-16.9%	1.4K	-39.3K	-255	0.42	34.87	144	60	186	61
2016-02-03	$7.42	$7.00	79.7%	22.8%	55.9%	77.5%	79.4%	-8.6%	-16.8%	1.4K	-38.5K	-253	0.42	44.29	144	60	186	61
2016-02-04	$7.55	$0.00	84.2%	17.5%	56.2%	84.0%	0.0%	2.4%	-7.7%	1.5K	-39.8K	-255	0.52	29.41	144	75	186	61
2016-02-05	$7.39	$0.00	90.3%	18.1%	53.9%	92.7%	0.0%	1.1%	-10.6%	1.2K	-32.4K	-250	0.52	28.85	144	75	186	76
2016-02-08	$7.43	$0.00	102.5%	19.7%	44.0%	100.0%	0.0%	1.8%	-11.8%	1.2K	-29.9K	-240	0.52	28.51	144	75	186	76
2016-02-09	$7.22	$0.00	104.8%	19.8%	44.5%	100.0%	69.0%	5.4%	-11.6%	1.1K	-25.1K	-235	0.55	40.15	410	226	186	76
2016-02-10	$6.17	$7.00	57.3%	16.4%	70.5%	39.9%	56.6%	-7.3%	6.0%	2.1K	90.4K	-221	0.83	46.77	250	208	511	264
2016-02-11	$5.91	$6.00	58.3%	16.7%	69.6%	41.2%	58.0%	0.4%	-5.4%	2.4K	102.6K	-337	0.90	31.81	250	225	641	348
2016-02-12	$5.68	$6.00	53.0%	15.2%	68.8%	34.5%	53.9%	5.3%	-1.4%	1.5K	124.7K	-360	0.96	34.44	278	266	641	398
2016-02-16	$6.00	$4.00	52.0%	14.9%	72.6%	33.2%	52.4%	10.7%	-4.0%	1.9K	96.2K	-341	1.63	40.29	278	452	669	498
2016-02-17	$5.92	$4.00	49.3%	14.1%	72.4%	29.9%	49.7%	-0.7%	-1.7%	1.5K	47.6K	-350	1.63	32.41	278	452	669	414
2016-02-18	$5.85	$4.00	50.0%	14.3%	71.8%	30.8%	51.1%	-0.1%	-2.8%	2.2K	43.5K	-357	1.52	34.59	298	452	719	414
2016-02-19	$5.93	$4.00	51.0%	14.6%	71.7%	32.0%	50.7%	5.9%	-4.2%	241	80.3K	-338	1.52	18.04	298	452	719	414
2016-02-22	$6.31	$4.00	48.7%	14.0%	75.3%	29.2%	51.0%	-1.7%	-3.8%	376	-2.8K	-357	0.69	40.15	144	100	235	211
2016-02-23	$6.64	$4.00	50.9%	14.6%	77.7%	31.9%	32.9%	4.4%	-4.6%	106	-20.0K	-357	0.97	23.53	144	139	235	211
2016-02-24	$6.82	$4.00	49.6%	14.2%	76.3%	30.3%	37.2%	13.7%	-7.0%	37	-30.4K	-387	1.42	23.16	98	139	235	222
2016-02-25	$6.88	$4.00	45.3%	13.0%	76.4%	24.8%	36.4%	-12.9%	-0.2%	-627	-1.2K	-363	2.36	18.37	59	139	181	222
2016-02-26	$6.88	$4.00	48.5%	13.9%	76.1%	28.9%	48.6%	0.3%	-4.7%	-594	-2.6K	-363	2.36	17.14	59	139	181	222
2016-02-29	$6.95	$4.00	46.2%	13.3%	75.8%	26.0%	49.0%	1.2%	0.9%	-604	-4.4K	-359	2.15	50.34	67	144	181	222