I think I found the answer to my own question on FTB CA website - quote:
"If you exercise an option under an employee stock purchase plan while a California resident or nonresident and later sell the stock in a qualifying or disqualifying disposition while a nonresident, California will tax the resulting ordinary income to the extent you performed services in California from the grant date to the exercise date. Any capital gain has a source in your state of residence at the time you sold the stock."
So this means I should file a CA income tax return as non-resident.
