CALX Options History — September 2016

In September 2016, CALX traded between $6.88 and $7.65. ATM implied volatility averaged 42.7%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 13.8% (HV 20d: 28.9%). Max pain ranged from $7.00 to $7.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.53.

Notable Days

2016-09-15: Highest Volume — 4,259 contracts
2016-09-14: Largest IV drop — 36.2% change
2016-09-13: Highest IV Rank — 41.3%
2016-09-23: Largest Expected Move — 13.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.23	$6.88	$7.65	$7.47	$7.36
Max Pain	$7.05	$7.00	$7.50	$7.50	$7.00
ATM IV	42.7%	32.8%	61.2%	41.1%	43.1%
Expected Move	11.4%	9.4%	13.4%	11.8%	12.3%
HV 20d	28.9%	24.6%	33.5%	24.7%	33.5%
HV 60d	38.7%	35.2%	41.7%	40.5%	35.3%
IV Rank	16.4%	3.1%	41.3%	14.3%	16.9%
IV Percentile	35.3%	0.8%	80.2%	27.4%	44.4%
Term Structure	8.2%	-4.6%	17.9%	-4.6%	10.7%
VWIV	38.1%	32.4%	43.0%	41.1%	42.7%
Skew 25d	5.1%	-9.3%	47.5%	14.0%	0.7%
Skew 10d	8.1%	-12.7%	101.6%	24.6%	3.2%
Call IV 25d	38.4%	27.5%	59.2%	59.2%	42.8%
Put IV 25d	43.5%	33.2%	94.4%	73.1%	43.5%
Bid-Ask Spread %	55.20	19.85	104.33	104.33	31.77
Gamma HHI	0.63	0.45	0.87	0.77	0.46
Net GEX	71.2K	37.5K	118.0K	40.5K	106.4K
Net DEX	-1.8M	-3.6M	-780.5K	-1.1M	-3.2M
Net VEX	-6.0K	-11.5K	-2.1K	-2.4K	-11.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.53	0.02	1.32	0.87	0.51
Total Volume	931.476	137	4,259	148	175
Total OI	4,800.19	2,508	7,869	2,508	7,821

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
2016-09-01	$7.47	$7.50	41.1%	11.8%	24.7%	14.3%	41.1%	14.0%	-4.6%	40.5K	-1.1M	-2.4K	0.87	104.33	79	69	2,357	151
2016-09-02	$7.52	$7.50	32.8%	9.4%	24.6%	3.1%	32.4%	47.5%	0.9%	39.8K	-1.2M	-2.3K	0.87	31.32	79	69	2,357	151
2016-09-06	$7.65	$7.00	43.4%	10.7%	25.4%	17.4%	37.0%	9.3%	5.0%	37.5K	-1.2M	-2.2K	0.92	24.29	75	69	2,357	151
2016-09-07	$7.64	$7.00	41.6%	10.3%	25.3%	14.9%	35.7%	7.9%	6.6%	38.3K	-1.3M	-2.1K	0.95	19.85	73	69	2,373	151
2016-09-08	$7.50	$7.00	45.1%	10.8%	24.7%	19.7%	36.9%	3.7%	4.5%	40.1K	-1.2M	-2.2K	0.95	23.34	73	69	2,381	151
2016-09-09	$7.17	$7.00	49.6%	10.9%	29.1%	25.8%	33.2%	0.9%	5.4%	44.7K	-905.7K	-2.3K	0.88	82.69	73	64	2,381	151
2016-09-12	$7.24	$7.00	49.5%	11.7%	29.1%	25.5%	37.1%	0.3%	5.4%	45.0K	-893.6K	-2.2K	1.22	26.53	73	89	2,382	146
2016-09-13	$7.03	$7.00	61.2%	10.8%	29.9%	41.3%	34.5%	6.9%	9.8%	47.6K	-842.2K	-2.2K	1.32	34.11	73	96	2,382	140
2016-09-14	$7.03	$7.00	39.1%	11.2%	30.0%	11.5%	36.3%	-5.5%	8.7%	47.1K	-780.5K	-2.2K	1.32	24.36	73	96	2,382	149
2016-09-15	$7.08	$7.00	39.3%	11.3%	29.7%	11.8%	38.4%	-4.3%	6.7%	48.5K	-812.3K	-2.1K	0.02	23.37	4,187	72	2,382	149
2016-09-16	$7.00	$7.00	38.9%	11.2%	29.6%	11.3%	36.5%	-7.0%	7.2%	118.0K	-2.2M	-7.2K	0.04	24.34	1,721	72	6,477	155
2016-09-19	$6.90	$7.00	39.3%	11.3%	29.8%	11.8%	39.6%	-9.3%	17.9%	86.4K	-1.9M	-8.6K	0.02	95.10	1,814	38	6,125	118
2016-09-20	$6.95	$7.00	41.5%	11.9%	29.7%	14.8%	36.6%	3.5%	8.1%	87.0K	-1.9M	-8.8K	0.02	83.72	1,814	38	6,243	120
2016-09-21	$6.88	$7.00	40.6%	11.6%	29.5%	13.5%	40.7%	8.5%	11.5%	86.3K	-1.8M	-8.7K	0.03	98.78	1,789	61	6,243	120
2016-09-22	$6.89	$7.00	39.7%	11.4%	29.2%	12.4%	39.2%	9.3%	10.2%	89.2K	-1.9M	-8.7K	0.03	36.10	1,789	61	6,233	145
2016-09-23	$6.92	$7.00	46.8%	13.4%	26.5%	21.9%	42.4%	5.4%	8.6%	82.0K	-2.0M	-8.7K	0.03	22.12	2,185	61	6,253	145
2016-09-26	$7.28	$7.00	42.6%	12.2%	30.5%	16.3%	39.8%	14.9%	11.4%	97.7K	-2.6M	-9.4K	0.48	83.85	117	56	6,725	145
2016-09-27	$7.35	$7.00	43.3%	12.4%	30.3%	17.2%	37.9%	2.3%	10.3%	98.3K	-2.8M	-9.5K	0.10	89.94	583	59	6,766	148
2016-09-28	$7.59	$7.00	37.1%	10.6%	32.5%	8.9%	38.6%	0.5%	15.8%	109.2K	-3.6M	-11.2K	0.05	99.21	1,264	59	7,581	148
2016-09-29	$7.43	$7.00	41.2%	11.8%	33.3%	14.4%	43.0%	-1.6%	11.0%	105.8K	-3.4M	-11.5K	0.47	100.13	126	59	7,721	148
2016-09-30	$7.36	$7.00	43.1%	12.3%	33.5%	16.9%	42.7%	0.7%	10.7%	106.4K	-3.2M	-11.4K	0.51	31.77	116	59	7,673	148