CALX Options History — July 2017

In July 2017, CALX traded between $6.70 and $7.03. ATM implied volatility averaged 56.2%, placing in the 45.0% IV rank vs the trailing year. The 30-day expected move averaged 16.7%. IV traded above realized volatility by 31.6% (HV 20d: 24.6%). Max pain ranged from $7.00 to $7.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.96.

Notable Days

2017-07-06: Highest Volume — 509 contracts
2017-07-12: Largest IV spike — 18.3% change
2017-07-31: Highest IV Rank — 63.9%
2017-07-31: Largest Expected Move — 18.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$6.83	$6.70	$7.03	$6.90	$6.80
Max Pain	$7.00	$7.00	$7.00	$7.00	$7.00
ATM IV	56.2%	43.2%	66.0%	50.2%	66.0%
Expected Move	16.7%	14.1%	18.9%	14.4%	18.9%
HV 20d	24.6%	21.0%	28.6%	28.6%	21.0%
HV 60d	26.3%	25.6%	27.6%	27.4%	25.8%
IV Rank	45.0%	20.0%	63.9%	33.5%	63.9%
IV Percentile	71.9%	40.5%	90.1%	64.3%	90.1%
Term Structure	-9.6%	-14.3%	3.6%	1.7%	-13.7%
VWIV	58.7%	40.3%	67.6%	40.3%	67.6%
Skew 25d	2.4%	-2.0%	6.4%	-1.5%	2.9%
Skew 10d	6.2%	-11.7%	17.3%	-9.0%	2.7%
Call IV 25d	57.7%	35.6%	66.1%	35.6%	66.1%
Put IV 25d	60.1%	34.1%	69.0%	34.1%	69.0%
Bid-Ask Spread %	50.57	21.22	138.97	106.11	25.59
Gamma HHI	0.51	0.32	0.82	0.43	0.75
Net GEX	14.6K	4.9K	22.2K	22.2K	12.0K
Net DEX	-264.3K	-389.2K	-90.9K	-306.0K	-361.1K
Net VEX	-2.9K	-3.3K	-2.7K	-3.1K	-2.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.96	0.52	2.24	0.77	0.63
Total Volume	332	136	509	385	212
Total OI	2,753.55	1,592	3,306	2,941	1,735

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
2017-07-03	$6.90	$7.00	50.2%	14.4%	28.6%	33.5%	40.3%	-1.5%	1.7%	22.2K	-306.0K	-3.1K	0.77	106.11	217	168	2,400	541
2017-07-05	$6.73	$7.00	49.2%	14.1%	28.4%	31.5%	46.4%	3.3%	3.6%	18.8K	-208.2K	-2.9K	0.88	138.97	217	192	2,400	541
2017-07-06	$6.73	$7.00	47.4%	15.7%	28.1%	28.2%	55.3%	-0.4%	-8.4%	20.4K	-251.6K	-3.1K	0.61	46.39	317	192	2,600	565
2017-07-07	$6.85	$7.00	43.2%	15.6%	25.0%	20.0%	55.0%	-2.0%	-7.7%	22.2K	-277.2K	-3.3K	0.66	22.75	292	192	2,600	565
2017-07-10	$6.80	$7.00	43.4%	16.1%	24.6%	20.3%	57.8%	1.7%	-9.0%	20.7K	-230.1K	-3.1K	0.66	40.39	292	192	2,625	565
2017-07-11	$6.75	$7.00	47.4%	15.9%	24.5%	28.2%	57.0%	4.0%	-9.8%	17.5K	-188.5K	-2.9K	1.00	21.59	192	192	2,625	565
2017-07-12	$6.75	$7.00	56.1%	16.1%	24.5%	44.8%	57.7%	3.6%	-9.7%	17.0K	-195.7K	-3.0K	1.00	40.21	192	192	2,725	565
2017-07-13	$6.70	$7.00	56.7%	16.3%	24.5%	46.1%	58.1%	2.4%	-10.2%	16.5K	-178.7K	-3.0K	1.00	21.22	192	192	2,725	565
2017-07-14	$6.83	$7.00	55.0%	15.8%	25.7%	42.6%	56.8%	3.9%	-9.3%	19.0K	-241.7K	-3.1K	1.00	27.10	192	192	2,725	565
2017-07-17	$6.85	$7.00	59.1%	16.9%	24.8%	50.6%	60.5%	5.1%	-13.1%	14.3K	-202.7K	-3.0K	0.90	27.71	192	172	2,735	565
2017-07-18	$6.85	$7.00	60.0%	17.2%	24.7%	52.3%	61.4%	4.7%	-14.0%	10.3K	-192.5K	-2.9K	1.26	54.21	137	172	2,735	555
2017-07-19	$7.03	$7.00	59.3%	17.0%	26.6%	51.0%	60.1%	-0.2%	-10.2%	12.7K	-314.6K	-3.0K	1.26	23.09	137	172	2,748	555
2017-07-20	$6.95	$7.00	58.9%	16.9%	24.5%	50.3%	62.3%	0.1%	-9.9%	4.9K	-264.1K	-2.9K	1.56	23.47	110	172	2,748	555
2017-07-21	$6.88	$7.00	60.1%	17.2%	24.7%	52.6%	62.4%	6.3%	-14.3%	9.9K	-90.9K	-2.8K	1.56	26.47	110	172	2,751	555
2017-07-24	$6.90	$7.00	61.8%	17.7%	23.7%	55.9%	61.0%	6.4%	-12.5%	10.4K	-346.0K	-2.8K	2.24	37.85	42	94	1,413	179
2017-07-25	$6.93	$7.00	59.4%	17.0%	23.2%	51.2%	59.4%	0.6%	-10.3%	10.8K	-345.7K	-2.7K	0.56	61.44	158	89	1,435	179
2017-07-26	$6.80	$7.00	63.9%	18.3%	22.3%	59.9%	64.3%	4.0%	-11.6%	10.4K	-389.2K	-2.9K	0.52	124.31	158	82	1,546	174
2017-07-27	$6.70	$7.00	63.4%	18.2%	21.7%	58.9%	65.7%	3.5%	-12.1%	11.0K	-352.1K	-2.8K	0.55	69.44	148	82	1,546	177
2017-07-28	$6.80	$7.00	63.2%	18.1%	21.4%	58.6%	64.0%	-0.3%	-10.8%	11.3K	-348.3K	-2.8K	0.59	73.05	140	82	1,546	177
2017-07-31	$6.80	$7.00	66.0%	18.9%	21.0%	63.9%	67.6%	2.9%	-13.7%	12.0K	-361.1K	-2.8K	0.63	25.59	130	82	1,558	177