Mine do as well... Its the heat of the calipers combined with the dust and the wheel cleaner. Its rare that calipers can stay shiny unless they have a smooth coat on the outside and even then....
2010 Chevrolet Camaro SS - Daily Driver
2008 Chevy Silverado 2500 HD LT 6.0 - Tow Vehicle
1995 Volkswagen Golf Race Car
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