CALX Options History — March 2016

In March 2016, CALX traded between $6.55 and $7.46. ATM implied volatility averaged 44.1%, placing in the 23.2% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded below realized volatility by 8.3% (HV 20d: 52.4%). Max pain ranged from $4.00 to $6.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.83.

Notable Days

2016-03-10: Highest Volume — 620 contracts
2016-03-07: Largest IV spike — 37.7% change
2016-03-07: Highest IV Rank — 46.8%
2016-03-02: Largest Expected Move — 14.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.12	$6.55	$7.46	$6.97	$7.10
Max Pain	$5.82	$4.00	$6.00	$4.00	$6.00
ATM IV	44.1%	37.3%	62.6%	47.7%	41.9%
Expected Move	12.1%	10.7%	14.1%	13.7%	12.0%
HV 20d	52.4%	30.7%	76.7%	75.5%	48.4%
HV 60d	57.2%	55.6%	60.1%	56.1%	59.8%
IV Rank	23.2%	14.7%	46.8%	27.9%	20.5%
IV Percentile	33.9%	9.1%	84.5%	53.6%	26.6%
Term Structure	7.7%	-4.9%	23.8%	-2.7%	13.2%
VWIV	42.0%	38.5%	49.1%	47.3%	42.0%
Skew 25d	1.5%	-16.5%	26.3%	3.3%	-0.1%
Skew 10d	1.9%	-8.1%	19.2%	5.1%	-4.7%
Call IV 25d	39.9%	31.6%	49.9%	42.4%	42.7%
Put IV 25d	41.4%	31.8%	57.9%	45.7%	42.5%
Bid-Ask Spread %	45.92	16.71	105.32	18.46	45.83
Gamma HHI	0.56	0.39	0.86	0.46	0.66
Net GEX	3.3K	-1.1K	21.4K	-460	2.8K
Net DEX	-78.0K	-334.7K	45.2K	-7.5K	-35.4K
Net VEX	-368	-489	-283	-376	-485
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.83	0.26	4.36	2.15	0.54
Total Volume	281.909	150	620	211	350
Total OI	543.864	374	845	418	574

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
2016-03-01	$6.97	$4.00	47.7%	13.7%	75.5%	27.9%	47.3%	3.3%	-2.7%	-460	-7.5K	-376	2.15	18.46	67	144	191	227
2016-03-02	$6.94	$4.00	49.2%	14.1%	73.2%	29.7%	49.1%	3.4%	-4.9%	-492	-6.2K	-368	2.15	32.71	67	144	191	227
2016-03-03	$7.13	$6.00	49.5%	12.0%	74.0%	30.1%	40.0%	-3.0%	6.7%	-456	-13.0K	-363	2.15	44.31	67	144	191	227
2016-03-04	$7.18	$6.00	45.5%	12.5%	73.7%	25.1%	42.6%	-1.4%	5.4%	-351	-15.8K	-370	2.15	103.57	67	144	191	227
2016-03-07	$7.44	$6.00	62.6%	12.5%	74.6%	46.8%	42.4%	4.1%	5.8%	-277	-30.3K	-350	2.15	51.33	67	144	191	227
2016-03-08	$7.07	$6.00	55.9%	12.5%	76.7%	38.2%	42.9%	-2.6%	5.8%	-434	-15.6K	-342	1.87	101.78	77	144	191	227
2016-03-09	$7.14	$6.00	43.6%	12.5%	76.2%	22.6%	42.0%	-2.9%	5.6%	-137	-20.7K	-359	1.87	69.99	77	144	202	227
2016-03-10	$7.22	$6.00	41.9%	12.0%	48.8%	20.5%	40.8%	-1.4%	7.0%	-86	-23.3K	-351	0.30	17.98	476	144	202	227
2016-03-11	$7.30	$6.00	41.2%	11.8%	44.9%	19.6%	40.6%	-0.6%	5.6%	21.4K	-251.4K	-454	0.30	49.78	476	144	602	227
2016-03-14	$7.46	$6.00	43.7%	12.5%	40.9%	22.8%	42.9%	4.3%	6.0%	33	-334.7K	-340	0.26	47.74	476	123	602	227
2016-03-15	$7.22	$6.00	42.1%	12.1%	41.0%	20.8%	42.1%	-3.6%	5.9%	15.6K	-226.9K	-424	1.32	50.03	93	123	602	227
2016-03-16	$7.24	$6.00	39.6%	11.4%	40.2%	17.7%	40.9%	2.8%	6.7%	12.5K	-225.9K	-386	1.32	105.32	93	123	618	227
2016-03-17	$7.25	$6.00	40.3%	11.5%	39.6%	18.4%	41.5%	4.4%	5.8%	19.6K	-263.6K	-373	1.32	55.37	93	123	618	227
2016-03-18	$7.27	$6.00	38.4%	11.0%	39.6%	16.1%	38.5%	2.9%	6.9%	170	-320.8K	-301	1.29	19.40	95	123	603	227
2016-03-21	$7.27	$6.00	38.5%	11.0%	34.7%	16.3%	38.8%	3.0%	12.3%	113	14.3K	-307	4.36	56.61	28	122	148	226
2016-03-22	$7.24	$6.00	39.4%	11.3%	30.7%	17.3%	39.2%	-0.6%	14.0%	152	14.9K	-309	4.36	16.71	28	122	148	226
2016-03-23	$6.73	$6.00	40.7%	11.7%	40.1%	19.0%	39.8%	-16.5%	3.7%	-858	36.4K	-295	4.36	40.05	28	122	148	226
2016-03-24	$6.55	$6.00	45.4%	13.0%	40.9%	25.0%	40.8%	11.3%	12.9%	-1.1K	45.2K	-283	4.36	20.18	28	122	148	226
2016-03-28	$6.76	$6.00	37.3%	10.7%	42.7%	14.7%	44.7%	26.3%	23.8%	-958	41.0K	-285	0.54	23.69	228	122	148	226
2016-03-29	$7.17	$6.00	41.0%	11.8%	47.6%	19.4%	41.1%	3.5%	13.2%	2.8K	-41.2K	-489	0.54	21.32	228	122	348	226
2016-03-30	$7.02	$6.00	44.0%	12.6%	48.3%	23.2%	43.4%	-3.8%	10.1%	2.6K	-36.3K	-484	0.54	18.15	228	122	348	226
2016-03-31	$7.10	$6.00	41.9%	12.0%	48.4%	20.5%	42.0%	-0.1%	13.2%	2.8K	-35.4K	-485	0.54	45.83	228	122	348	226