CALX Options History — January 2017

In January 2017, CALX traded between $6.90 and $7.60. ATM implied volatility averaged 61.1%, placing in the 41.1% IV rank vs the trailing year. The 30-day expected move averaged 17.8%. IV traded above realized volatility by 32.5% (HV 20d: 28.6%). 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 2 of 20 days. Put/call ratio averaged 1.27.

Notable Days

2017-01-06: Highest Volume — 753 contracts
2017-01-11: Largest IV spike — 27.9% change
2017-01-31: Highest IV Rank — 64.2%
2017-01-31: Largest Expected Move — 22.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.19	$6.90	$7.60	$7.60	$7.18
Max Pain	$7.50	$7.50	$7.50	$7.50	$7.50
ATM IV	61.1%	42.1%	78.2%	53.4%	78.2%
Expected Move	17.8%	14.7%	22.4%	15.3%	22.4%
HV 20d	28.6%	20.6%	36.6%	25.6%	36.6%
HV 60d	33.4%	31.4%	34.7%	32.3%	31.4%
IV Rank	41.1%	15.6%	64.2%	30.8%	64.2%
IV Percentile	78.7%	37.7%	96.4%	67.9%	96.4%
Term Structure	-13.2%	-25.2%	2.7%	1.6%	-25.2%
VWIV	62.4%	51.2%	78.6%	54.1%	78.6%
Skew 25d	3.6%	-16.9%	24.5%	5.3%	11.1%
Skew 10d	8.3%	-16.7%	30.7%	7.3%	15.6%
Call IV 25d	57.1%	41.6%	73.4%	46.6%	70.0%
Put IV 25d	60.7%	42.8%	82.3%	51.9%	81.1%
Bid-Ask Spread %	81.31	39.66	124.91	124.91	80.01
Gamma HHI	0.96	0.94	0.98	0.97	0.95
Net GEX	20.8K	15.2K	30.3K	24.0K	17.1K
Net DEX	-480.3K	-750.0K	-305.7K	-750.0K	-430.1K
Net VEX	-2.2K	-2.6K	-1.8K	-2.6K	-1.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.27	0.14	2.71	0.14	1.78
Total Volume	301.85	126	753	752	175
Total OI	1,885.85	1,513	2,072	2,069	1,562

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
2017-01-03	$7.60	$7.50	53.4%	15.3%	25.6%	30.8%	54.1%	5.3%	1.6%	24.0K	-750.0K	-2.6K	0.14	124.91	660	92	1,854	215
2017-01-04	$7.58	$7.50	51.2%	14.7%	21.9%	27.9%	51.2%	2.8%	2.7%	25.3K	-715.6K	-2.6K	0.14	63.43	660	92	1,849	215
2017-01-05	$7.45	$7.50	47.4%	15.8%	22.7%	22.7%	54.7%	-11.4%	-8.7%	25.4K	-673.0K	-2.6K	0.14	78.69	660	92	1,849	215
2017-01-06	$7.30	$7.50	54.3%	16.0%	22.7%	32.0%	55.9%	-13.5%	-9.6%	24.6K	-609.1K	-2.5K	0.14	69.03	661	92	1,849	215
2017-01-09	$7.20	$7.50	57.4%	16.2%	21.1%	36.1%	56.4%	-16.9%	-10.6%	25.0K	-572.9K	-2.4K	0.14	93.89	661	92	1,857	215
2017-01-10	$7.28	$7.50	42.1%	16.0%	21.6%	15.6%	56.4%	-14.5%	-7.5%	29.3K	-556.5K	-2.4K	1.00	95.89	72	72	1,857	215
2017-01-11	$7.20	$7.50	53.8%	15.4%	20.6%	31.4%	54.7%	-14.6%	-4.7%	25.1K	-561.5K	-2.4K	1.00	91.93	72	72	1,857	215
2017-01-12	$6.95	$7.50	60.1%	17.2%	23.5%	39.9%	59.9%	9.6%	-17.0%	21.8K	-348.8K	-2.1K	1.00	90.88	72	72	1,857	215
2017-01-13	$7.33	$7.50	58.2%	16.7%	31.3%	37.3%	58.2%	24.5%	-12.0%	30.3K	-531.3K	-2.3K	1.18	39.66	61	72	1,857	215
2017-01-17	$7.05	$7.50	64.0%	18.4%	30.7%	45.1%	63.7%	13.7%	-19.5%	25.4K	-422.7K	-2.1K	1.16	102.21	61	71	1,857	215
2017-01-18	$7.00	$7.50	60.5%	17.3%	30.4%	40.4%	60.8%	10.2%	-15.4%	15.8K	-312.0K	-1.9K	2.00	49.34	63	126	1,857	215
2017-01-19	$7.00	$7.50	65.6%	18.8%	30.5%	47.3%	65.1%	10.8%	-21.6%	15.6K	-305.7K	-1.9K	1.59	102.31	63	100	1,859	203
2017-01-20	$6.90	$7.50	64.3%	18.4%	30.2%	45.4%	65.1%	5.9%	-18.3%	15.2K	-308.7K	-1.9K	1.67	68.52	60	100	1,859	208
2017-01-23	$7.05	$7.50	63.6%	18.2%	31.7%	44.6%	64.1%	9.4%	-13.3%	15.2K	-386.2K	-1.9K	2.71	56.40	34	92	1,395	118
2017-01-24	$7.25	$7.50	62.2%	17.8%	33.8%	42.7%	64.6%	16.6%	-9.0%	15.6K	-456.6K	-2.0K	2.24	96.14	41	92	1,395	130
2017-01-25	$7.28	$7.50	68.1%	19.5%	33.2%	50.7%	65.4%	-9.4%	-14.2%	17.2K	-456.4K	-2.0K	1.82	61.33	56	102	1,407	130
2017-01-26	$7.05	$7.50	70.1%	20.1%	34.6%	53.4%	70.5%	16.2%	-21.1%	15.9K	-407.2K	-2.0K	1.82	73.91	56	102	1,422	140
2017-01-27	$7.10	$7.50	71.0%	20.4%	34.9%	54.5%	72.7%	14.2%	-19.0%	16.1K	-403.0K	-1.9K	1.82	88.47	56	102	1,422	140
2017-01-30	$7.00	$7.50	75.8%	21.7%	35.1%	61.0%	75.5%	1.6%	-21.5%	15.8K	-397.9K	-1.8K	1.82	99.34	56	102	1,422	140
2017-01-31	$7.18	$7.50	78.2%	22.4%	36.6%	64.2%	78.6%	11.1%	-25.2%	17.1K	-430.1K	-1.9K	1.78	80.01	63	112	1,422	140