CALX Options History — November 2017

In November 2017, CALX traded between $5.20 and $6.98. ATM implied volatility averaged 44.1%, placing in the 35.9% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded below realized volatility by 10.7% (HV 20d: 54.8%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.11.

Notable Days

2017-11-21: Highest Volume — 2,112 contracts
2017-11-02: Largest IV spike — 233.2% change
2017-11-07: Highest IV Rank — 90.1%
2017-11-27: Largest Expected Move — 17.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$6.25	$5.20	$6.98	$5.40	$6.60
Max Pain	$5.00	$5.00	$5.00	$5.00	$5.00
ATM IV	44.1%	21.4%	78.5%	21.4%	54.5%
Expected Move	12.1%	6.1%	17.9%	6.1%	15.6%
HV 20d	54.8%	29.1%	70.3%	32.7%	70.3%
HV 60d	43.1%	31.5%	57.9%	57.9%	48.3%
IV Rank	35.9%	0.0%	90.1%	0.0%	52.2%
IV Percentile	36.1%	0.0%	96.4%	0.0%	67.1%
Term Structure	2.1%	-23.3%	45.2%	45.2%	-7.6%
VWIV	42.8%	23.4%	65.5%	23.4%	54.1%
Skew 25d	6.8%	-22.4%	19.0%	-0.1%	-22.4%
Skew 10d	13.1%	-12.2%	99.3%	0.3%	-12.2%
Call IV 25d	34.8%	20.4%	54.0%	46.8%	54.0%
Put IV 25d	41.6%	31.6%	53.9%	46.7%	31.6%
Bid-Ask Spread %	53.44	22.08	176.56	176.56	27.15
Gamma HHI	0.41	0.30	0.54	0.39	0.39
Net GEX	19.5K	3.6K	33.8K	3.6K	30.1K
Net DEX	-688.8K	-1.3M	-69.7K	-81.3K	-1.1M
Net VEX	-2.5K	-4.4K	-372	-372	-4.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.11	0.05	0.23	0.16	0.10
Total Volume	1,278.905	333	2,112	333	1,911
Total OI	3,012.857	1,870	4,156	1,870	4,120

Daily Data (21 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
2017-11-01	$5.40	$5.00	21.4%	6.1%	32.7%	0.0%	23.4%	0.0%	45.2%	3.6K	-81.3K	-372	0.16	176.56	286	47	1,823	47
2017-11-02	$5.38	$5.00	71.3%	14.4%	29.1%	78.7%	50.1%	-0.1%	-7.1%	6.0K	-99.2K	-629	0.16	68.31	286	47	1,920	47
2017-11-03	$5.38	$5.00	56.6%	14.7%	29.1%	55.6%	52.7%	2.5%	-8.4%	6.0K	-105.5K	-642	0.20	25.21	286	56	1,920	47
2017-11-06	$5.55	$5.00	44.9%	14.9%	31.1%	37.1%	50.2%	5.2%	-8.9%	5.7K	-124.3K	-641	0.20	22.08	286	56	1,920	58
2017-11-07	$5.20	$5.00	78.5%	17.1%	37.7%	90.1%	55.3%	0.8%	-23.3%	4.2K	-69.7K	-417	0.18	29.52	298	53	1,920	58
2017-11-08	$5.70	$5.00	32.6%	9.4%	48.6%	17.7%	32.8%	18.5%	-0.2%	5.6K	-119.8K	-517	0.23	32.12	323	74	1,953	64
2017-11-09	$6.28	$5.00	37.0%	10.6%	59.0%	24.6%	35.8%	14.8%	1.9%	11.6K	-250.8K	-1.0K	0.09	58.56	834	74	1,978	89
2017-11-10	$6.25	$5.00	32.0%	9.2%	59.1%	16.7%	32.2%	8.8%	2.8%	15.3K	-510.3K	-1.6K	0.10	79.42	763	74	2,479	88
2017-11-13	$6.45	$5.00	33.2%	9.5%	59.1%	18.6%	31.8%	13.5%	-1.2%	14.7K	-551.0K	-1.5K	0.12	70.99	634	74	2,479	88
2017-11-14	$6.18	$5.00	35.5%	10.2%	61.5%	22.3%	37.1%	14.1%	6.5%	15.8K	-483.0K	-1.7K	0.07	105.94	1,551	104	2,441	88
2017-11-15	$6.10	$5.00	37.1%	10.6%	61.0%	24.7%	37.3%	7.6%	4.9%	21.7K	-774.2K	-3.0K	0.07	23.25	1,575	104	3,287	118
2017-11-16	$6.33	$5.00	40.6%	11.6%	61.6%	30.3%	40.9%	16.6%	2.4%	22.2K	-871.5K	-3.1K	0.06	34.74	1,605	104	3,287	118
2017-11-17	$6.45	$5.00	35.0%	10.0%	60.9%	21.5%	31.3%	15.0%	8.2%	22.3K	-915.6K	-3.0K	0.07	31.99	1,634	119	3,285	118
2017-11-20	$6.88	$5.00	33.7%	9.7%	63.4%	19.5%	54.5%	19.0%	16.7%	33.2K	-1.2M	-3.9K	0.05	59.30	1,714	90	3,687	95
2017-11-21	$6.85	$5.00	45.0%	12.9%	63.5%	37.3%	39.5%	-2.8%	5.5%	28.8K	-1.1M	-3.8K	0.09	30.79	1,942	170	3,487	95
2017-11-22	$6.98	$5.00	37.4%	10.7%	63.1%	25.3%	39.8%	1.7%	6.9%	33.2K	-1.3M	-4.4K	0.09	85.46	1,937	170	3,715	175
2017-11-24	$6.95	$5.00	42.9%	12.3%	62.9%	33.9%	42.8%	2.9%	1.8%	33.8K	-1.3M	-4.3K	0.08	48.20	1,770	141	3,720	215
2017-11-27	$6.85	$5.00	62.5%	17.9%	63.5%	64.8%	65.5%	8.3%	-18.2%	31.8K	-1.2M	-4.4K	0.08	34.78	1,735	147	3,771	216
2017-11-28	$6.55	$5.00	50.0%	14.3%	66.5%	45.2%	49.3%	6.0%	1.9%	30.7K	-1.1M	-4.2K	0.08	50.45	1,735	147	3,933	223
2017-11-29	$6.90	$5.00	45.0%	12.9%	68.2%	37.2%	43.0%	6.2%	14.0%	33.2K	-1.3M	-4.4K	0.10	27.33	1,735	166	3,875	223
2017-11-30	$6.60	$5.00	54.5%	15.6%	70.3%	52.2%	54.1%	-22.4%	-7.6%	30.1K	-1.1M	-4.3K	0.10	27.15	1,735	176	3,875	245