CALX Options History — February 2017

In February 2017, CALX traded between $6.80 and $7.65. ATM implied volatility averaged 55.7%, placing in the 39.4% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded above realized volatility by 11.9% (HV 20d: 43.8%). Max pain ranged from $7.00 to $7.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 1.29.

Notable Days

2017-02-15: Highest Volume — 898 contracts
2017-02-08: Largest IV drop — 32.3% change
2017-02-03: Highest IV Rank — 73.1%
2017-02-01: Largest Expected Move — 22.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.04	$6.80	$7.65	$7.18	$6.83
Max Pain	$7.03	$7.00	$7.50	$7.50	$7.00
ATM IV	55.7%	39.1%	84.8%	79.0%	42.8%
Expected Move	14.5%	11.2%	22.6%	22.6%	12.3%
HV 20d	43.8%	33.7%	52.4%	36.5%	51.6%
HV 60d	34.6%	28.9%	38.9%	31.3%	38.9%
IV Rank	39.4%	15.8%	73.1%	65.2%	22.6%
IV Percentile	62.2%	21.0%	98.8%	96.8%	43.7%
Term Structure	-5.1%	-22.7%	6.6%	-22.7%	-1.3%
VWIV	50.9%	37.1%	75.9%	75.9%	43.0%
Skew 25d	1.7%	-8.7%	12.9%	-5.9%	2.9%
Skew 10d	6.7%	-13.4%	38.4%	1.4%	5.3%
Call IV 25d	47.7%	33.8%	64.8%	64.8%	39.4%
Put IV 25d	49.4%	29.6%	63.2%	58.9%	42.2%
Bid-Ask Spread %	55.11	27.57	102.11	49.68	95.64
Gamma HHI	0.95	0.94	0.97	0.94	0.96
Net GEX	19.4K	16.7K	23.9K	17.2K	21.4K
Net DEX	-376.0K	-628.1K	-252.0K	-443.4K	-293.4K
Net VEX	-1.7K	-1.9K	-1.5K	-1.9K	-1.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.29	0.19	1.88	1.78	1.24
Total Volume	351.842	170	898	175	273
Total OI	1,728.789	1,594	2,263	1,594	1,694

Daily Data (19 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
2017-02-01	$7.18	$7.50	79.0%	22.6%	36.5%	65.2%	75.9%	-5.9%	-22.7%	17.2K	-443.4K	-1.9K	1.78	49.68	63	112	1,444	150
2017-02-02	$7.05	$7.00	72.4%	15.6%	36.9%	56.4%	54.4%	5.4%	-9.2%	17.4K	-414.8K	-1.9K	1.78	48.76	63	112	1,444	150
2017-02-03	$7.25	$7.00	84.8%	16.5%	38.1%	73.1%	57.6%	12.9%	-11.0%	17.7K	-449.1K	-1.9K	1.70	49.31	66	112	1,444	150
2017-02-06	$7.10	$7.00	80.8%	15.5%	38.2%	67.7%	54.0%	5.5%	-5.8%	17.1K	-428.4K	-1.8K	1.70	46.80	66	112	1,452	150
2017-02-07	$7.03	$7.00	81.2%	16.3%	38.0%	68.3%	56.5%	2.8%	-10.5%	17.2K	-397.1K	-1.8K	1.88	50.03	66	124	1,452	150
2017-02-08	$6.95	$7.00	55.0%	15.8%	37.9%	33.0%	56.3%	1.8%	-9.2%	16.9K	-363.3K	-1.8K	1.88	31.82	66	124	1,452	162
2017-02-09	$6.95	$7.00	55.7%	16.0%	37.8%	46.4%	55.9%	0.9%	-7.9%	16.7K	-371.3K	-1.7K	1.88	69.14	66	124	1,452	162
2017-02-10	$7.25	$7.00	54.3%	15.6%	38.7%	43.8%	56.6%	5.1%	-7.3%	18.4K	-453.2K	-1.8K	1.88	42.84	66	124	1,452	162
2017-02-13	$7.28	$7.00	55.8%	16.0%	33.7%	46.6%	57.9%	0.1%	-6.7%	18.0K	-486.2K	-1.8K	1.79	40.28	61	109	1,454	174
2017-02-14	$7.65	$7.00	58.0%	16.6%	34.8%	50.7%	62.4%	-4.2%	-6.8%	19.0K	-628.1K	-1.9K	0.19	40.70	552	104	1,500	177
2017-02-15	$6.88	$7.00	45.2%	13.0%	52.4%	27.1%	53.8%	2.6%	6.6%	22.5K	-265.6K	-1.5K	0.36	80.38	658	240	1,968	177
2017-02-16	$6.85	$7.00	40.3%	11.5%	52.4%	18.0%	37.9%	-0.9%	0.3%	19.7K	-252.0K	-1.7K	0.36	27.57	658	240	2,018	245
2017-02-17	$6.80	$7.00	39.1%	11.2%	52.2%	15.8%	37.1%	-5.3%	2.8%	19.4K	-266.8K	-1.7K	0.36	102.11	658	240	2,018	200
2017-02-21	$6.80	$7.00	41.0%	11.8%	51.5%	19.4%	38.5%	-8.7%	-0.5%	19.8K	-271.2K	-1.6K	1.05	94.10	144	151	1,511	162
2017-02-22	$6.80	$7.00	40.6%	11.6%	50.3%	18.5%	38.5%	-8.0%	0.2%	19.9K	-269.4K	-1.5K	1.05	46.80	144	151	1,511	163
2017-02-23	$6.98	$7.00	42.0%	12.0%	51.4%	21.1%	41.3%	6.0%	-1.5%	22.7K	-334.2K	-1.7K	1.03	27.88	147	151	1,511	163
2017-02-24	$7.05	$7.00	40.7%	11.7%	50.3%	18.7%	40.0%	6.6%	-0.6%	23.8K	-375.2K	-1.8K	1.32	69.29	114	151	1,516	163
2017-02-27	$7.08	$7.00	49.8%	14.3%	50.2%	35.6%	48.6%	12.7%	-5.0%	23.9K	-380.6K	-1.7K	1.24	34.02	122	151	1,531	163
2017-02-28	$6.83	$7.00	42.8%	12.3%	51.6%	22.6%	43.0%	2.9%	-1.3%	21.4K	-293.4K	-1.5K	1.24	95.64	122	151	1,531	163