CALX Options History — October 2017

In October 2017, CALX traded between $5.18 and $5.68. ATM implied volatility averaged 49.1%, placing in the 38.3% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded above realized volatility by 15.8% (HV 20d: 33.3%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.47.

Notable Days

2017-10-20: Highest Volume — 588 contracts
2017-10-11: Largest IV spike — 36.2% change
2017-10-30: Highest IV Rank — 62.8%
2017-10-30: Largest Expected Move — 18.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5.50	$5.18	$5.68	$5.18	$5.50
Max Pain	$5.00	$5.00	$5.00	$5.00	$5.00
ATM IV	49.1%	26.8%	63.2%	37.9%	56.4%
Expected Move	15.1%	8.5%	18.1%	10.9%	16.2%
HV 20d	33.3%	30.0%	35.2%	34.5%	33.0%
HV 60d	57.4%	55.8%	58.2%	55.8%	57.9%
IV Rank	38.3%	0.0%	62.8%	18.0%	51.0%
IV Percentile	51.1%	0.0%	84.9%	9.9%	72.6%
Term Structure	-8.3%	-32.6%	19.4%	13.3%	1.3%
VWIV	53.2%	29.2%	63.6%	38.4%	62.6%
Skew 25d	5.0%	-3.7%	19.6%	7.8%	3.8%
Skew 10d	8.3%	-10.5%	17.8%	13.7%	17.8%
Call IV 25d	49.6%	27.2%	62.9%	32.5%	62.3%
Put IV 25d	54.6%	31.7%	66.1%	40.3%	66.1%
Bid-Ask Spread %	53.90	14.52	107.41	31.16	87.62
Gamma HHI	0.52	0.35	0.80	0.62	0.40
Net GEX	6.0K	3.6K	7.6K	3.6K	6.6K
Net DEX	-120.7K	-177.8K	-48.7K	-48.7K	-101.8K
Net VEX	-759	-1.0K	-539	-643	-652
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.47	0.21	0.73	0.73	0.24
Total Volume	418.682	240	588	430	243
Total OI	2,084.318	1,867	2,245	2,062	1,870

Daily Data (22 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
2017-10-02	$5.18	$5.00	37.9%	10.9%	34.5%	18.0%	38.4%	7.8%	13.3%	3.6K	-48.7K	-643	0.73	31.16	248	182	1,870	192
2017-10-03	$5.25	$5.00	34.9%	10.0%	32.4%	12.8%	38.0%	9.3%	19.4%	3.9K	-62.0K	-639	0.73	14.52	248	182	1,870	192
2017-10-04	$5.38	$5.00	29.7%	8.5%	33.1%	3.6%	29.2%	4.5%	13.8%	4.1K	-79.9K	-603	0.63	29.74	288	182	1,870	192
2017-10-05	$5.60	$5.00	26.8%	16.0%	35.2%	0.0%	59.1%	19.6%	-15.6%	6.2K	-134.1K	-866	0.58	41.29	314	182	1,910	192
2017-10-06	$5.60	$5.00	31.0%	14.4%	32.1%	7.2%	50.1%	6.5%	-5.5%	6.8K	-150.3K	-1.0K	0.52	107.41	351	182	1,976	192
2017-10-09	$5.53	$5.00	34.4%	15.0%	33.0%	13.1%	53.3%	6.6%	-10.9%	6.1K	-139.7K	-811	0.52	81.75	351	182	2,028	192
2017-10-10	$5.65	$5.00	41.4%	14.9%	30.0%	25.1%	50.7%	14.9%	-13.8%	6.2K	-148.2K	-801	0.52	22.29	351	182	2,028	192
2017-10-11	$5.43	$5.00	56.3%	16.1%	34.1%	50.9%	54.8%	2.7%	-32.6%	5.7K	-151.9K	-876	0.59	81.11	311	182	2,028	192
2017-10-12	$5.50	$5.00	53.2%	15.2%	34.1%	45.5%	54.0%	3.9%	-10.2%	6.0K	-131.2K	-800	0.59	21.32	311	182	2,036	192
2017-10-13	$5.50	$5.00	50.3%	14.4%	34.1%	40.6%	53.7%	-0.2%	-5.7%	6.5K	-142.5K	-833	0.59	21.92	311	182	2,036	192
2017-10-16	$5.68	$5.00	56.8%	16.3%	34.1%	51.7%	55.8%	5.7%	-13.2%	7.6K	-177.8K	-964	0.59	25.47	311	182	2,046	192
2017-10-17	$5.65	$5.00	53.4%	15.3%	33.6%	46.0%	55.6%	4.6%	-14.3%	7.1K	-163.6K	-859	0.59	90.23	308	182	2,046	192
2017-10-18	$5.52	$5.00	59.7%	17.1%	31.7%	56.8%	57.6%	-0.7%	-15.8%	6.6K	-149.6K	-842	0.59	23.93	308	182	2,053	192
2017-10-19	$5.45	$5.00	55.9%	16.0%	31.9%	50.2%	57.4%	-2.5%	-11.2%	6.3K	-142.2K	-779	0.59	78.36	308	182	2,053	192
2017-10-20	$5.65	$5.00	53.9%	15.5%	33.2%	46.7%	53.2%	-0.8%	-11.8%	7.3K	-164.7K	-860	0.45	87.85	406	182	2,053	192
2017-10-23	$5.55	$5.00	54.6%	15.6%	34.2%	47.9%	55.9%	5.4%	-8.7%	6.9K	-112.7K	-777	0.21	26.95	228	47	1,820	47
2017-10-24	$5.53	$5.00	55.1%	15.8%	34.1%	48.8%	57.6%	6.1%	-19.4%	6.6K	-103.7K	-675	0.21	24.11	228	47	1,820	47
2017-10-25	$5.48	$5.00	57.1%	16.4%	33.5%	52.2%	51.2%	11.0%	-2.5%	6.2K	-97.7K	-671	0.24	85.99	193	47	1,820	47
2017-10-26	$5.43	$5.00	61.2%	17.6%	33.5%	59.4%	58.7%	5.7%	-9.3%	5.6K	-84.9K	-596	0.24	75.73	193	47	1,820	47
2017-10-27	$5.45	$5.00	56.8%	16.3%	33.5%	51.7%	60.0%	-3.7%	-16.2%	5.5K	-82.1K	-539	0.24	92.73	193	47	1,820	47
2017-10-30	$5.43	$5.00	63.2%	18.1%	33.0%	62.8%	63.6%	0.3%	-14.0%	5.7K	-86.5K	-576	0.24	34.21	196	47	1,820	47
2017-10-31	$5.50	$5.00	56.4%	16.2%	33.0%	51.0%	62.6%	3.8%	1.3%	6.6K	-101.8K	-652	0.24	87.62	196	47	1,823	47