CALX Options History — April 2016

In April 2016, CALX traded between $6.58 and $7.12. ATM implied volatility averaged 60.1%, placing in the 43.5% IV rank vs the trailing year. The 30-day expected move averaged 17.2%. IV traded above realized volatility by 20.8% (HV 20d: 39.3%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.58.

Notable Days

2016-04-05: Highest Volume — 351 contracts
2016-04-07: Largest IV spike — 29.4% change
2016-04-11: Highest IV Rank — 69.9%
2016-04-29: Largest Expected Move — 20.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$6.81	$6.58	$7.12	$7.12	$6.95
Max Pain	$6.48	$5.00	$7.50	$6.00	$7.50
ATM IV	60.1%	39.1%	80.9%	41.3%	72.1%
Expected Move	17.2%	11.8%	20.7%	11.8%	20.7%
HV 20d	39.3%	25.8%	47.6%	47.4%	26.2%
HV 60d	54.7%	52.0%	59.2%	59.1%	52.1%
IV Rank	43.5%	16.9%	69.9%	19.7%	58.7%
IV Percentile	72.1%	13.1%	97.6%	23.0%	94.8%
Term Structure	-7.7%	-18.5%	12.7%	12.7%	-18.5%
VWIV	59.7%	41.4%	72.1%	41.4%	72.1%
Skew 25d	1.2%	-7.6%	51.3%	0.7%	51.3%
Skew 10d	3.1%	-11.9%	75.0%	-3.8%	75.0%
Call IV 25d	52.5%	31.8%	68.5%	42.9%	68.5%
Put IV 25d	53.7%	43.5%	119.8%	43.5%	119.8%
Bid-Ask Spread %	23.75	17.14	53.62	20.77	26.27
Gamma HHI	0.56	0.50	0.70	0.68	0.52
Net GEX	1.5K	760	3.1K	3.0K	1.4K
Net DEX	-7.9K	-37.2K	14.7K	-37.2K	-14.2K
Net VEX	-417	-479	-364	-479	-406
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.58	0.53	3.13	0.54	2.08
Total Volume	228.381	156	351	350	157
Total OI	553.048	502	627	574	533

Daily Data (21 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
2016-04-01	$7.12	$6.00	41.3%	11.8%	47.4%	19.7%	41.4%	0.7%	12.7%	3.0K	-37.2K	-479	0.54	20.77	228	122	348	226
2016-04-04	$7.01	$7.50	39.1%	16.0%	47.6%	16.9%	55.7%	0.5%	-6.8%	3.1K	-32.0K	-457	0.54	17.14	228	122	348	226
2016-04-05	$7.04	$7.50	39.4%	16.1%	45.7%	17.3%	56.2%	19.0%	-6.9%	2.9K	-26.1K	-452	0.53	19.47	229	122	348	226
2016-04-06	$6.97	$5.00	43.5%	15.7%	42.1%	22.6%	54.6%	1.0%	-5.6%	2.7K	-18.7K	-445	0.53	19.92	229	122	349	226
2016-04-07	$6.65	$5.00	56.4%	16.8%	45.0%	38.8%	58.8%	-7.5%	-9.7%	1.1K	3.0K	-400	0.53	18.15	229	122	349	226
2016-04-08	$6.66	$5.00	63.9%	16.7%	44.7%	48.3%	58.5%	-6.6%	-10.4%	1.2K	1.6K	-399	0.53	18.84	229	122	349	226
2016-04-11	$6.62	$5.00	80.9%	17.0%	44.3%	69.9%	59.3%	-7.6%	-7.4%	1.1K	6.1K	-384	0.53	21.48	229	122	349	226
2016-04-12	$6.58	$5.00	77.3%	15.7%	43.2%	65.3%	54.7%	-6.7%	-1.0%	828	14.7K	-364	3.13	25.24	39	122	349	225
2016-04-13	$6.70	$5.00	57.7%	16.5%	42.8%	40.5%	54.9%	-4.9%	-3.4%	1.1K	1.1K	-376	1.85	25.02	66	122	359	220
2016-04-14	$6.70	$5.00	57.5%	16.5%	42.8%	40.2%	54.4%	14.5%	-5.9%	1.4K	-19.1K	-391	1.61	20.76	76	122	397	220
2016-04-15	$6.68	$5.00	58.0%	16.6%	42.8%	40.9%	58.3%	-5.8%	-7.1%	1.4K	-19.5K	-401	2.00	23.72	76	152	407	220
2016-04-18	$6.69	$7.50	55.7%	16.0%	42.7%	37.9%	55.7%	-3.0%	-3.8%	868	12.7K	-424	2.12	24.17	50	106	263	239
2016-04-19	$6.68	$7.50	57.8%	16.6%	42.7%	40.6%	58.0%	-4.0%	-5.7%	767	13.1K	-418	2.12	24.09	50	106	263	239
2016-04-20	$6.71	$7.50	60.5%	17.3%	42.8%	44.0%	60.0%	-4.1%	-7.5%	760	8.5K	-417	2.12	18.51	50	106	263	239
2016-04-21	$6.66	$7.50	61.3%	17.6%	34.2%	45.1%	61.0%	-6.5%	-7.2%	799	12.8K	-406	2.12	23.95	50	106	273	239
2016-04-22	$6.92	$7.50	65.2%	18.7%	35.4%	49.9%	65.0%	-0.6%	-12.0%	1.1K	-10.6K	-436	2.08	23.55	51	106	273	239
2016-04-25	$6.86	$7.50	65.1%	18.7%	33.9%	49.9%	65.4%	-1.9%	-11.6%	1.3K	-8.3K	-423	2.08	22.81	51	106	294	239
2016-04-26	$6.89	$7.50	69.1%	19.8%	26.1%	54.9%	68.9%	-3.3%	-13.5%	1.3K	-12.6K	-431	2.08	27.81	51	106	294	239
2016-04-27	$7.00	$7.50	71.5%	20.5%	25.8%	58.0%	71.5%	1.7%	-16.9%	1.4K	-24.2K	-436	2.08	53.62	51	106	294	239
2016-04-28	$6.89	$7.50	68.3%	19.6%	26.0%	53.9%	68.4%	-1.2%	-14.0%	1.5K	-16.1K	-416	2.08	23.55	51	106	294	239
2016-04-29	$6.95	$7.50	72.1%	20.7%	26.2%	58.7%	72.1%	51.3%	-18.5%	1.4K	-14.2K	-406	2.08	26.27	51	106	294	239