Status of Phone Calls is shared with other module as well - here is the list:
[list:2gc79hhv]
[*:2gc79hhv]4 Canceled[/*:m:2gc79hhv]
[*:2gc79hhv]3 Closed[/*:m:2gc79hhv]
[*:2gc79hhv]1 In Progress[/*:m:2gc79hhv]
[*:2gc79hhv]2 On Hold[/*:m:2gc79hhv]
[*:2gc79hhv]0 Open[/*:m:2gc79hhv][/list:u:2gc79hhv]
This is located in: Common Data/CRM/Status. You can add your own status here. For example:
5 New Status
Please do not change keys (0-4) as they are hard coded in certain callback actions.