CALX Options History — April 2017

In April 2017, CALX traded between $6.38 and $6.88. ATM implied volatility averaged 52.6%, placing in the 40.6% IV rank vs the trailing year. The 30-day expected move averaged 16.0%. IV traded above realized volatility by 13.1% (HV 20d: 39.4%). Max pain ranged from $5.00 to $7.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 1.01.

Notable Days

2017-04-10: Highest Volume — 1,624 contracts
2017-04-12: Largest IV spike — 20.8% change
2017-04-28: Highest IV Rank — 65.5%
2017-04-28: Largest Expected Move — 18.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$6.63	$6.38	$6.88	$6.68	$6.75
Max Pain	$6.68	$5.00	$7.00	$5.00	$7.00
ATM IV	52.6%	36.9%	66.1%	42.3%	66.1%
Expected Move	16.0%	11.0%	18.9%	12.1%	18.9%
HV 20d	39.4%	37.7%	41.4%	38.7%	37.8%
HV 60d	40.6%	39.5%	42.1%	42.1%	39.5%
IV Rank	40.6%	11.7%	65.5%	21.6%	65.5%
IV Percentile	61.9%	9.5%	91.7%	40.5%	91.7%
Term Structure	-5.7%	-14.7%	23.1%	2.7%	-12.8%
VWIV	57.1%	33.2%	70.5%	63.9%	70.5%
Skew 25d	1.7%	-27.1%	14.1%	-27.1%	3.5%
Skew 10d	4.0%	-9.0%	12.3%	-9.0%	-0.7%
Call IV 25d	53.3%	35.7%	68.3%	63.7%	68.3%
Put IV 25d	55.0%	35.8%	71.9%	36.6%	71.9%
Bid-Ask Spread %	42.17	20.66	79.69	44.52	63.10
Gamma HHI	0.87	0.81	0.94	0.94	0.84
Net GEX	15.7K	10.4K	32.6K	32.6K	10.9K
Net DEX	-238.4K	-482.1K	-172.9K	-482.1K	-236.3K
Net VEX	-1.8K	-2.6K	-1.6K	-2.6K	-1.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.01	0.19	2.82	0.19	1.78
Total Volume	1,007.789	200	1,624	1,585	200
Total OI	2,646.789	1,416	3,125	3,018	1,448

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
2017-04-03	$6.68	$5.00	42.3%	12.1%	38.7%	21.6%	63.9%	-27.1%	2.7%	32.6K	-482.1K	-2.6K	0.19	44.52	1,337	248	2,784	234
2017-04-04	$6.60	$5.00	40.1%	11.5%	38.2%	17.6%	33.2%	1.5%	5.9%	24.8K	-261.3K	-2.0K	0.19	20.66	1,337	248	2,784	254
2017-04-05	$6.50	$5.00	38.3%	11.0%	38.4%	14.4%	42.9%	-7.1%	13.0%	18.4K	-204.9K	-1.9K	0.19	40.09	1,337	248	2,792	254
2017-04-06	$6.50	$7.00	36.9%	16.0%	37.7%	11.7%	53.1%	8.3%	-10.5%	16.3K	-174.7K	-1.7K	0.19	27.57	1,337	248	2,802	254
2017-04-07	$6.38	$7.00	41.0%	17.4%	38.0%	19.4%	56.2%	10.1%	-14.3%	13.7K	-173.8K	-1.7K	0.19	27.67	1,337	258	2,802	254
2017-04-10	$6.45	$7.00	41.2%	16.2%	38.4%	19.6%	54.7%	4.4%	-9.8%	12.6K	-172.9K	-1.7K	0.19	28.52	1,366	258	2,822	264
2017-04-11	$6.65	$7.00	47.0%	15.8%	40.3%	30.3%	55.8%	14.1%	23.1%	21.4K	-272.2K	-1.9K	0.19	28.08	1,366	258	2,832	264
2017-04-12	$6.48	$7.00	56.8%	16.3%	40.6%	48.3%	53.7%	10.9%	-3.3%	14.0K	-190.6K	-1.7K	0.19	53.63	1,366	258	2,832	264
2017-04-13	$6.43	$7.00	54.6%	15.7%	40.6%	44.4%	54.2%	3.2%	0.9%	15.7K	-198.8K	-1.7K	0.19	33.63	1,366	258	2,832	264
2017-04-17	$6.48	$7.00	55.3%	15.8%	39.1%	45.6%	52.3%	8.0%	-13.1%	11.7K	-181.5K	-1.6K	0.19	36.94	1,366	258	2,832	264
2017-04-18	$6.70	$7.00	57.0%	16.4%	41.1%	48.9%	59.2%	3.0%	-9.1%	26.6K	-268.1K	-1.8K	1.29	45.97	200	258	2,832	264
2017-04-19	$6.78	$7.00	59.0%	16.9%	41.4%	52.4%	60.6%	3.9%	-13.1%	10.4K	-240.5K	-1.8K	1.18	53.61	219	258	2,832	264
2017-04-20	$6.68	$7.00	58.2%	16.7%	41.0%	50.9%	59.2%	-0.9%	-14.7%	11.0K	-234.6K	-1.7K	1.18	44.51	219	258	2,861	264
2017-04-21	$6.70	$7.00	57.1%	16.4%	39.9%	48.9%	60.3%	2.8%	-10.0%	11.3K	-224.7K	-1.7K	1.18	32.06	219	258	2,861	264
2017-04-24	$6.81	$7.00	61.4%	17.6%	40.5%	57.0%	61.8%	-1.3%	-10.3%	12.1K	-247.4K	-1.8K	2.61	34.41	70	183	1,203	213
2017-04-25	$6.80	$7.00	62.8%	18.0%	39.6%	59.4%	64.1%	-4.3%	-11.9%	11.6K	-259.1K	-1.7K	2.82	72.78	65	183	1,204	213
2017-04-26	$6.88	$7.00	60.6%	17.4%	38.7%	55.4%	62.8%	1.6%	-7.6%	11.7K	-264.8K	-1.8K	2.82	33.86	65	183	1,208	233
2017-04-27	$6.78	$7.00	63.4%	18.2%	39.0%	60.6%	65.8%	-2.5%	-13.2%	11.3K	-241.2K	-1.7K	2.54	79.69	72	183	1,208	233
2017-04-28	$6.75	$7.00	66.1%	18.9%	37.8%	65.5%	70.5%	3.5%	-12.8%	10.9K	-236.3K	-1.7K	1.78	63.10	72	128	1,215	233