CALX Options History — May 2016

In May 2016, CALX traded between $6.29 and $7.35. ATM implied volatility averaged 47.1%, placing in the 27.1% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 10.0% (HV 20d: 37.1%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.89.

Notable Days

2016-05-20: Highest Volume — 2,447 contracts
2016-05-19: Largest IV spike — 42.6% change
2016-05-03: Highest IV Rank — 69.5%
2016-05-03: Largest Expected Move — 23.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$6.87	$6.29	$7.35	$6.91	$6.76
Max Pain	$7.50	$7.50	$7.50	$7.50	$7.50
ATM IV	47.1%	34.4%	80.6%	75.0%	37.4%
Expected Move	13.0%	9.8%	23.1%	21.5%	10.7%
HV 20d	37.1%	25.6%	44.7%	25.7%	43.9%
HV 60d	42.2%	37.4%	53.5%	51.9%	39.6%
IV Rank	27.1%	11.0%	69.5%	62.3%	14.8%
IV Percentile	37.3%	2.8%	97.2%	95.2%	7.5%
Term Structure	-3.3%	-23.8%	19.3%	-18.8%	4.5%
VWIV	45.3%	33.8%	80.3%	74.8%	39.9%
Skew 25d	18.5%	-2.9%	56.2%	56.2%	0.5%
Skew 10d	25.0%	-3.8%	80.7%	80.7%	2.6%
Call IV 25d	44.7%	32.4%	76.6%	72.6%	38.5%
Put IV 25d	63.2%	39.0%	128.8%	128.8%	39.0%
Bid-Ask Spread %	33.82	17.05	100.23	26.10	22.78
Gamma HHI	0.64	0.42	0.84	0.52	0.83
Net GEX	6.2K	-1.6K	17.5K	1.3K	17.4K
Net DEX	-171.3K	-701.3K	94.6K	-9.9K	-637.1K
Net VEX	-1.3K	-3.9K	-220	-388	-3.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.89	0.09	2.53	2.08	2.28
Total Volume	385	157	2,447	157	223
Total OI	1,182.381	533	2,537	533	2,441

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
2016-05-02	$6.91	$7.50	75.0%	21.5%	25.7%	62.3%	74.8%	56.2%	-18.8%	1.3K	-9.9K	-388	2.08	26.10	51	106	294	239
2016-05-03	$6.90	$7.50	80.6%	23.1%	25.6%	69.5%	80.3%	13.4%	-23.8%	1.3K	-13.0K	-387	2.53	63.26	81	205	294	239
2016-05-04	$7.35	$7.50	55.8%	16.0%	34.0%	38.1%	55.9%	5.6%	-13.6%	1.4K	-23.7K	-484	2.36	35.82	87	205	324	338
2016-05-05	$7.11	$7.50	51.6%	12.0%	31.6%	32.8%	42.2%	8.3%	-2.7%	2.2K	-5.2K	-419	1.55	90.73	132	205	330	294
2016-05-06	$6.99	$7.50	54.2%	12.0%	32.4%	36.1%	41.7%	0.4%	-3.2%	2.7K	6.6K	-449	1.55	21.59	132	205	390	294
2016-05-09	$7.10	$7.50	48.7%	12.9%	32.6%	29.2%	45.0%	41.3%	-2.9%	3.7K	6.0K	-425	1.55	17.05	132	205	390	294
2016-05-10	$7.16	$7.50	52.8%	12.5%	32.4%	34.4%	43.4%	42.5%	-2.0%	3.6K	-6.7K	-423	1.55	20.10	132	205	390	294
2016-05-11	$7.25	$7.50	43.5%	12.5%	32.2%	22.5%	43.5%	12.8%	-0.9%	5.2K	-19.8K	-426	1.55	21.10	132	205	390	294
2016-05-12	$6.94	$7.50	42.7%	12.2%	36.4%	21.5%	42.7%	1.3%	-1.7%	3.0K	20.5K	-387	1.55	26.74	132	205	390	294
2016-05-13	$6.89	$7.50	45.4%	13.0%	36.5%	24.9%	45.3%	-0.2%	-3.6%	1.7K	50.4K	-323	2.01	28.92	102	205	390	294
2016-05-16	$6.90	$7.50	40.5%	11.6%	36.5%	18.8%	39.8%	52.1%	0.0%	2.4K	47.2K	-313	2.23	21.90	92	205	410	294
2016-05-17	$6.88	$7.50	37.9%	10.9%	36.5%	15.4%	33.8%	48.5%	-2.7%	2.6K	40.7K	-320	2.23	38.89	92	205	420	294
2016-05-18	$6.66	$7.50	39.9%	11.4%	38.4%	17.9%	36.0%	-2.9%	-5.4%	-1.5K	77.0K	-259	2.23	32.89	92	205	420	294
2016-05-19	$6.29	$7.50	56.8%	16.3%	43.3%	39.4%	56.9%	8.0%	-13.7%	-1.5K	88.3K	-242	2.23	32.34	92	205	420	294
2016-05-20	$6.43	$7.50	37.3%	10.7%	41.6%	14.7%	40.2%	6.4%	11.0%	-1.6K	94.6K	-220	0.09	18.32	2,242	205	420	294
2016-05-23	$6.63	$7.50	34.4%	9.8%	43.3%	11.0%	40.8%	0.4%	19.3%	17.0K	-623.4K	-3.9K	1.68	19.08	92	155	2,293	244
2016-05-24	$6.83	$7.50	41.1%	11.8%	44.7%	19.5%	37.1%	55.1%	-6.8%	17.4K	-701.3K	-3.9K	1.68	32.69	92	155	2,253	244
2016-05-25	$6.81	$7.50	37.8%	10.8%	44.3%	15.4%	35.0%	0.4%	-1.5%	17.3K	-695.9K	-3.8K	2.28	22.09	68	155	2,213	244
2016-05-26	$6.81	$7.50	38.7%	11.1%	44.0%	16.5%	35.8%	5.3%	-3.8%	16.8K	-673.3K	-3.8K	2.28	17.60	68	155	2,197	244
2016-05-27	$6.74	$7.50	37.5%	10.7%	43.9%	14.9%	42.4%	32.0%	3.0%	17.5K	-618.8K	-3.7K	2.28	100.23	68	155	2,197	244
2016-05-31	$6.76	$7.50	37.4%	10.7%	43.9%	14.8%	39.9%	0.5%	4.5%	17.4K	-637.1K	-3.6K	2.28	22.78	68	155	2,197	244