CALX Options History — July 2016

In July 2016, CALX traded between $6.89 and $7.89. ATM implied volatility averaged 53.3%, placing in the 30.7% IV rank vs the trailing year. The 30-day expected move averaged 16.4%. IV traded above realized volatility by 5.1% (HV 20d: 48.2%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 1.46.

Notable Days

2016-07-01: Highest Volume — 2,158 contracts
2016-07-13: Largest IV spike — 25.1% change
2016-07-27: Highest IV Rank — 45.9%
2016-07-27: Largest Expected Move — 18.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.50	$6.89	$7.89	$7.13	$7.73
Max Pain	$7.50	$7.50	$7.50	$7.50	$7.50
ATM IV	53.3%	35.8%	64.6%	42.2%	64.2%
Expected Move	16.4%	12.1%	18.5%	12.1%	18.4%
HV 20d	48.2%	38.3%	55.4%	46.8%	38.3%
HV 60d	40.5%	38.0%	42.1%	38.0%	40.2%
IV Rank	30.7%	7.1%	45.9%	15.8%	45.4%
IV Percentile	58.2%	2.8%	84.9%	26.2%	84.9%
Term Structure	-8.8%	-15.9%	9.6%	9.6%	-15.9%
VWIV	57.3%	41.9%	64.6%	41.9%	64.2%
Skew 25d	10.1%	-7.1%	44.8%	-7.1%	44.8%
Skew 10d	17.2%	-11.5%	84.3%	-11.5%	84.3%
Call IV 25d	48.7%	35.3%	55.4%	46.0%	55.4%
Put IV 25d	58.8%	38.9%	100.2%	38.9%	100.2%
Bid-Ask Spread %	27.74	16.62	65.26	56.72	21.02
Gamma HHI	0.49	0.47	0.82	0.82	0.47
Net GEX	55.4K	23.0K	63.8K	23.0K	63.8K
Net DEX	-1.8M	-2.2M	-859.5K	-859.5K	-2.1M
Net VEX	-4.9K	-5.4K	-3.6K	-3.6K	-4.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.46	0.09	5.03	0.09	1.90
Total Volume	751.15	75	2,158	2,158	139
Total OI	4,271.9	2,523	4,451	2,523	4,378

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
2016-07-01	$7.13	$7.50	42.2%	12.1%	46.8%	15.8%	41.9%	-7.1%	9.6%	23.0K	-859.5K	-3.6K	0.09	56.72	1,984	174	2,333	190
2016-07-05	$6.92	$7.50	42.8%	16.1%	47.7%	16.6%	56.1%	-2.4%	-7.2%	48.1K	-1.3M	-5.1K	0.09	21.19	1,984	174	4,231	190
2016-07-06	$6.89	$7.50	41.3%	15.5%	47.6%	14.4%	53.9%	-1.8%	-4.7%	48.6K	-1.3M	-5.1K	0.09	25.00	1,984	174	4,231	190
2016-07-07	$7.07	$7.50	41.4%	14.9%	48.6%	14.6%	52.1%	1.0%	-3.9%	52.3K	-1.4M	-5.2K	0.09	20.25	1,984	174	4,231	190
2016-07-08	$7.47	$7.50	35.8%	15.6%	51.8%	7.1%	54.3%	8.8%	-4.2%	55.0K	-1.8M	-5.4K	0.09	20.64	1,979	174	4,231	190
2016-07-11	$7.54	$7.50	39.1%	15.4%	51.6%	11.6%	53.6%	34.6%	-8.4%	57.8K	-1.9M	-5.3K	0.09	47.71	1,979	174	4,245	205
2016-07-12	$7.55	$7.50	45.2%	15.9%	51.5%	19.7%	55.4%	4.0%	-11.1%	57.1K	-1.9M	-5.1K	2.85	47.08	61	174	4,230	205
2016-07-13	$7.50	$7.50	56.5%	16.2%	51.4%	35.0%	56.5%	7.6%	-11.8%	58.3K	-1.9M	-5.2K	2.56	18.55	66	169	4,225	205
2016-07-14	$7.42	$7.50	56.1%	16.1%	51.0%	34.5%	56.1%	3.1%	-12.2%	57.3K	-1.8M	-5.1K	4.83	18.47	35	169	4,225	215
2016-07-15	$7.49	$7.50	56.8%	16.3%	50.9%	35.3%	56.8%	17.8%	-11.3%	60.5K	-1.8M	-5.1K	5.03	65.26	35	176	4,236	215
2016-07-18	$7.55	$7.50	56.2%	16.1%	50.7%	34.6%	56.2%	7.6%	-6.9%	58.5K	-1.9M	-4.9K	2.26	22.30	23	52	4,135	73
2016-07-19	$7.43	$7.50	57.6%	16.5%	51.0%	36.4%	57.6%	5.9%	-8.5%	57.8K	-1.8M	-4.9K	0.90	18.70	58	52	4,156	80
2016-07-20	$7.89	$7.50	58.6%	16.8%	54.9%	37.8%	58.6%	12.5%	-9.2%	57.3K	-2.2M	-4.8K	0.84	18.14	62	52	4,191	80
2016-07-21	$7.67	$7.50	59.5%	17.1%	55.4%	39.1%	59.5%	10.7%	-10.4%	58.2K	-2.0M	-4.9K	0.83	18.54	63	52	4,221	80
2016-07-22	$7.67	$7.50	60.3%	17.3%	52.9%	40.1%	59.9%	-6.0%	-11.5%	58.1K	-2.0M	-4.8K	0.95	17.94	63	60	4,222	80
2016-07-25	$7.81	$7.50	62.0%	17.8%	46.0%	42.4%	62.0%	13.7%	-11.2%	58.4K	-2.2M	-4.7K	0.95	17.16	63	60	4,222	95
2016-07-26	$7.84	$7.50	63.2%	18.1%	38.5%	44.0%	63.2%	40.2%	-11.8%	58.6K	-2.2M	-4.6K	0.95	16.62	63	60	4,222	95
2016-07-27	$7.82	$7.50	64.6%	18.5%	38.5%	45.9%	64.6%	-3.4%	-13.5%	59.1K	-2.2M	-4.6K	1.90	45.15	48	91	4,222	95
2016-07-28	$7.66	$7.50	63.1%	18.1%	39.7%	43.9%	62.8%	10.7%	-12.0%	60.5K	-2.0M	-4.6K	1.90	18.39	48	91	4,227	151
2016-07-29	$7.73	$7.50	64.2%	18.4%	38.3%	45.4%	64.2%	44.8%	-15.9%	63.8K	-2.1M	-4.5K	1.90	21.02	48	91	4,227	151