CALX Options History — December 2016

In December 2016, CALX traded between $7.28 and $7.95. ATM implied volatility averaged 42.1%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 12.3% (HV 20d: 29.7%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.60.

Notable Days

2016-12-16: Highest Volume — 763 contracts
2016-12-23: Largest IV spike — 34.8% change
2016-12-01: Highest IV Rank — 29.7%
2016-12-01: Largest Expected Move — 15.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.71	$7.28	$7.95	$7.28	$7.70
Max Pain	$7.50	$7.50	$7.50	$7.50	$7.50
ATM IV	42.1%	36.4%	52.5%	52.5%	38.1%
Expected Move	11.6%	10.4%	15.1%	15.1%	10.9%
HV 20d	29.7%	24.9%	33.4%	31.8%	24.9%
HV 60d	34.3%	33.0%	35.3%	35.3%	33.0%
IV Rank	15.5%	7.9%	29.7%	29.7%	10.2%
IV Percentile	32.3%	7.9%	67.1%	67.1%	14.3%
Term Structure	6.7%	-16.6%	15.2%	-16.6%	13.2%
VWIV	40.4%	36.4%	52.7%	52.7%	38.1%
Skew 25d	7.3%	-4.1%	29.9%	3.1%	0.7%
Skew 10d	14.8%	-13.4%	64.9%	4.7%	0.9%
Call IV 25d	37.7%	28.5%	47.5%	36.4%	37.5%
Put IV 25d	45.0%	36.6%	66.2%	39.5%	38.2%
Bid-Ask Spread %	68.81	30.93	105.05	93.02	35.03
Gamma HHI	0.97	0.96	0.97	0.97	0.97
Net GEX	24.0K	22.2K	26.5K	22.2K	26.5K
Net DEX	-822.2K	-948.2K	-625.6K	-663.7K	-785.7K
Net VEX	-2.9K	-3.1K	-2.7K	-3.1K	-2.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.60	0.09	1.09	1.06	0.14
Total Volume	436.667	165	763	167	752
Total OI	2,085.81	2,020	2,118	2,099	2,069

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
2016-12-01	$7.28	$7.50	52.5%	15.1%	31.8%	29.7%	52.7%	3.1%	-16.6%	22.2K	-663.7K	-3.1K	1.06	93.02	81	86	1,886	213
2016-12-02	$7.30	$7.50	51.2%	14.7%	31.3%	27.9%	51.3%	4.7%	-13.9%	22.4K	-625.6K	-3.1K	1.09	39.66	79	86	1,891	223
2016-12-05	$7.58	$7.50	45.0%	11.1%	33.4%	19.5%	38.4%	-4.1%	6.1%	23.2K	-744.9K	-3.1K	1.09	31.88	79	86	1,891	223
2016-12-06	$7.55	$7.50	42.5%	10.9%	31.9%	16.1%	38.0%	-1.0%	5.9%	23.4K	-754.1K	-3.1K	1.09	87.72	79	86	1,891	223
2016-12-07	$7.68	$7.50	41.8%	10.8%	32.2%	15.2%	37.5%	29.9%	8.2%	23.5K	-802.3K	-3.1K	1.01	56.65	85	86	1,891	223
2016-12-08	$7.85	$7.50	41.3%	11.6%	32.4%	14.6%	40.2%	13.6%	5.4%	22.6K	-888.4K	-3.1K	1.01	84.08	85	86	1,891	223
2016-12-09	$7.88	$7.50	44.1%	11.8%	28.9%	18.3%	40.5%	8.2%	4.6%	22.5K	-916.6K	-3.1K	1.01	30.93	85	86	1,891	223
2016-12-12	$7.70	$7.50	43.9%	11.2%	27.0%	18.0%	38.9%	28.5%	8.2%	23.4K	-861.8K	-3.0K	1.01	73.36	85	86	1,891	223
2016-12-13	$7.68	$7.50	49.5%	11.3%	27.0%	25.5%	40.2%	-3.3%	6.5%	23.6K	-836.0K	-3.0K	1.01	105.05	85	86	1,891	223
2016-12-14	$7.63	$7.50	38.8%	11.1%	27.1%	11.1%	38.8%	-2.3%	6.8%	24.7K	-779.7K	-3.0K	1.01	77.75	85	86	1,891	223
2016-12-15	$7.90	$7.50	39.5%	11.3%	29.8%	12.1%	39.1%	24.0%	6.0%	23.6K	-924.7K	-2.9K	0.97	36.83	89	86	1,891	223
2016-12-16	$7.95	$7.50	39.9%	11.4%	29.8%	12.6%	39.5%	-0.2%	6.0%	25.8K	-948.2K	-2.9K	0.13	42.37	677	86	1,895	223
2016-12-19	$7.90	$7.50	38.9%	11.1%	29.9%	11.2%	39.1%	10.8%	8.2%	24.0K	-921.5K	-2.8K	0.09	61.48	637	60	1,858	162
2016-12-20	$7.75	$7.50	38.7%	11.1%	30.7%	11.1%	38.9%	10.5%	12.8%	24.2K	-855.4K	-2.8K	0.10	76.72	637	65	1,858	162
2016-12-21	$7.75	$7.50	36.4%	10.4%	30.6%	7.9%	36.4%	8.9%	14.8%	24.3K	-849.6K	-2.8K	0.10	78.17	637	65	1,858	177
2016-12-22	$7.73	$7.50	36.6%	10.5%	29.8%	8.2%	36.6%	3.6%	11.4%	25.2K	-803.9K	-2.8K	0.10	100.32	637	65	1,858	177
2016-12-23	$7.85	$7.50	49.4%	14.2%	30.0%	25.4%	48.7%	5.7%	3.5%	23.0K	-856.0K	-2.8K	0.16	101.34	644	105	1,858	177
2016-12-27	$7.78	$7.50	37.1%	10.6%	29.1%	8.8%	37.3%	8.1%	15.2%	25.2K	-847.6K	-2.8K	0.14	84.83	644	92	1,865	217
2016-12-28	$7.75	$7.50	38.9%	11.1%	29.1%	11.2%	38.9%	2.9%	14.2%	25.5K	-814.8K	-2.8K	0.14	53.40	660	92	1,865	215
2016-12-29	$7.70	$7.50	39.1%	11.2%	27.5%	11.6%	39.2%	1.5%	14.1%	26.1K	-785.9K	-2.7K	0.14	94.40	660	92	1,854	215
2016-12-30	$7.70	$7.50	38.1%	10.9%	24.9%	10.2%	38.1%	0.7%	13.2%	26.5K	-785.7K	-2.7K	0.14	35.03	660	92	1,854	215