You guys are talking about the Downs Cell for making Na and Cl2. The CaCl2 is used to lower the melting point of NaCl by about 25% (801 to 590 degrees Celsius), a considerable savings in energy. The Sodium is lighter than moltent NaCl so it floats on top and is collected that way. The chlorine ion, Cl-, is oxidized to Cl2 gas. The Chlorine goes off as a gas from the central anode, since anodes are always where oxidation takes place. The link below says that Ca metal is not produced due to Na metal forming at a less negative cathode potential than Ca metal. I have seen studies that indicate that Ca metal is produced but that it reacts with Na+ ions and is converted back into Ca+2.
See: http://www.corrosion-doctors.org/Electrowinning/Sodium.htm
This is standard High School electrochemistry.