CALX Options History — September 2017

In September 2017, CALX traded between $4.65 and $5.10. ATM implied volatility averaged 43.3%, placing in the 27.4% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 2.0% (HV 20d: 41.3%). Max pain ranged from $5.00 to $6.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.71.

Notable Days

2017-09-08: Highest Volume — 454 contracts
2017-09-12: Largest IV spike — 54.5% change
2017-09-12: Highest IV Rank — 96.9%
2017-09-25: Largest Expected Move — 13.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4.90	$4.65	$5.10	$4.95	$5.08
Max Pain	$5.60	$5.00	$6.00	$5.00	$5.00
ATM IV	43.3%	29.8%	83.0%	45.0%	38.3%
Expected Move	11.4%	9.4%	13.6%	12.9%	11.0%
HV 20d	41.3%	29.5%	87.2%	87.2%	33.9%
HV 60d	55.0%	53.7%	55.8%	53.7%	55.7%
IV Rank	27.4%	3.9%	96.9%	30.4%	18.8%
IV Percentile	30.4%	0.4%	98.8%	44.8%	12.3%
Term Structure	6.4%	-5.1%	18.4%	-4.3%	10.9%
VWIV	40.0%	32.2%	47.9%	45.5%	38.5%
Skew 25d	0.1%	-8.3%	8.2%	-8.3%	6.1%
Skew 10d	0.9%	-14.8%	16.1%	-14.8%	9.4%
Call IV 25d	37.8%	31.2%	52.8%	52.8%	33.5%
Put IV 25d	37.9%	33.1%	44.5%	44.5%	39.6%
Bid-Ask Spread %	57.90	26.71	135.21	50.81	28.77
Gamma HHI	0.57	0.41	0.72	0.48	0.66
Net GEX	2.3K	1.2K	3.5K	3.2K	3.1K
Net DEX	19.6K	-30.4K	52.8K	16.7K	-30.4K
Net VEX	-545	-748	-389	-726	-569
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.71	0.66	0.80	0.67	0.73
Total Volume	435.5	409	454	450	430
Total OI	2,078.4	1,992	2,147	2,108	2,052

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
2017-09-01	$4.95	$5.00	45.0%	12.9%	87.2%	30.4%	45.5%	-8.3%	-4.3%	3.2K	16.7K	-726	0.67	50.81	270	180	1,838	270
2017-09-05	$4.80	$6.00	48.5%	11.6%	86.6%	36.6%	40.4%	-4.4%	0.8%	2.4K	39.4K	-534	0.67	65.75	270	180	1,838	270
2017-09-06	$4.80	$6.00	29.8%	10.6%	86.4%	3.9%	36.8%	-1.5%	5.3%	2.9K	44.6K	-567	0.67	32.13	270	180	1,838	270
2017-09-07	$4.80	$6.00	40.9%	13.5%	29.5%	23.3%	46.1%	-4.0%	-5.1%	3.5K	17.7K	-748	0.67	28.76	270	180	1,838	270
2017-09-08	$4.65	$6.00	54.7%	11.0%	29.5%	47.4%	38.5%	8.2%	5.2%	2.2K	46.2K	-569	0.66	59.67	274	180	1,838	270
2017-09-11	$4.70	$6.00	53.7%	11.7%	29.8%	45.7%	40.1%	-4.4%	0.3%	1.2K	52.8K	-486	0.66	42.59	274	180	1,847	270
2017-09-12	$4.93	$6.00	83.0%	11.2%	35.2%	96.9%	39.2%	-1.3%	2.4%	2.8K	29.0K	-558	0.66	64.32	274	180	1,847	270
2017-09-13	$4.90	$6.00	38.2%	10.9%	34.1%	18.5%	38.3%	-0.9%	4.1%	3.1K	35.5K	-537	0.68	92.70	264	180	1,847	270
2017-09-14	$4.95	$6.00	42.0%	12.0%	34.2%	25.2%	42.4%	8.0%	0.8%	2.4K	29.6K	-500	0.68	73.22	264	180	1,867	270
2017-09-15	$5.00	$6.00	42.5%	12.2%	34.4%	26.0%	42.8%	0.8%	1.9%	1.9K	27.1K	-620	0.68	50.15	264	180	1,877	270
2017-09-18	$4.90	$6.00	37.9%	10.9%	34.0%	18.0%	38.4%	2.8%	17.7%	1.8K	35.6K	-574	0.78	79.38	232	182	1,795	270
2017-09-19	$5.03	$6.00	42.7%	12.2%	33.6%	26.4%	42.8%	-1.0%	8.7%	1.8K	25.6K	-607	0.80	51.35	227	182	1,800	272
2017-09-20	$4.85	$6.00	37.2%	10.7%	36.4%	16.7%	36.1%	-1.1%	7.8%	1.3K	47.5K	-469	0.80	135.21	227	182	1,800	272
2017-09-21	$4.80	$5.00	32.7%	9.4%	34.0%	9.0%	32.2%	3.6%	16.1%	1.9K	9.0K	-496	0.80	73.48	227	182	1,800	192
2017-09-22	$4.90	$5.00	42.3%	12.1%	34.3%	25.6%	42.6%	-4.3%	9.4%	1.5K	13.1K	-406	0.72	46.29	253	182	1,800	192
2017-09-25	$4.88	$5.00	47.6%	13.6%	32.5%	35.0%	47.9%	-4.0%	0.7%	1.6K	7.7K	-389	0.72	57.04	253	182	1,835	192
2017-09-26	$4.97	$5.00	36.3%	10.4%	32.8%	15.3%	37.0%	-0.1%	13.5%	2.2K	-8.9K	-480	0.75	63.73	243	182	1,835	192
2017-09-27	$5.10	$5.00	38.1%	10.9%	33.7%	18.3%	40.0%	3.1%	12.4%	2.7K	-22.5K	-546	0.75	35.89	243	182	1,850	192
2017-09-28	$5.05	$5.00	34.2%	9.8%	34.0%	11.5%	34.0%	5.1%	18.4%	2.5K	-24.4K	-525	0.75	26.71	243	182	1,860	192
2017-09-29	$5.08	$5.00	38.3%	11.0%	33.9%	18.8%	38.5%	6.1%	10.9%	3.1K	-30.4K	-569	0.73	28.77	248	182	1,860	192