CALF Options History — October 2021

In October 2021, CALF traded between $42.36 and $44.30. ATM implied volatility averaged 25.9%. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 2.5% (HV 20d: 23.3%). Max pain ranged from $43.00 to $44.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2021-10-28: Highest Volume — 4 contracts
  • 2021-10-13: Largest IV drop — 46.9% change
  • 2021-10-01: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.29$42.36$44.30$43.18$43.04
Max Pain$43.05$43.00$44.00$44.00$43.00
ATM IV25.9%19.6%38.9%37.8%19.9%
Expected Move6.4%5.6%10.8%10.8%5.7%
HV 20d23.3%18.5%28.6%28.6%18.5%
Term Structure-1.2%-12.5%3.3%-12.5%1.0%
Skew 25d4.5%-2.5%25.7%25.7%2.6%
Skew 10d3.7%-1.4%28.6%28.6%3.2%
Call IV 25d21.7%16.9%28.4%16.9%23.2%
Put IV 25d26.1%22.4%42.5%42.5%25.8%
Bid-Ask Spread %129.16119.84157.53157.53128.81
Gamma HHI0.780.511.000.571.00
Net GEX-93-5.6K2.6K-1.6K2.6K
Net DEX-3.9K-21.8K12.7K6.6K-15.2K
Net VEX-43-69-26-69-29
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume0.3810404
Total OI11.19715157

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-10-01$43.18$44.0037.8%10.8%0.0%0.0%0.0%25.7%-12.5%-1.6K6.6K-690.00157.53N/AN/A0078
2021-10-04$43.23$43.0038.9%7.9%0.0%0.0%0.0%7.7%-2.8%-1.6K6.6K-650.00138.79N/AN/A0078
2021-10-05$43.27$43.0029.3%6.8%0.0%0.0%0.0%9.1%-0.6%-1.8K6.0K-630.00119.84N/AN/A0078
2021-10-06$42.36$43.0033.0%6.7%0.0%0.0%0.0%3.2%1.9%-58312.7K-580.00123.66N/AN/A0078
2021-10-07$43.42$43.0032.1%5.7%28.6%0.0%0.0%9.8%3.3%-1.8K5.4K-600.00123.69N/AN/A0078
2021-10-08$43.22$43.0027.2%6.2%27.7%0.0%0.0%5.6%1.0%-1.9K6.7K-570.00122.03N/AN/A0078
2021-10-11$43.11$43.0035.4%6.6%26.9%0.0%0.0%6.7%0.2%-1.9K9.1K-510.00121.76N/AN/A0078
2021-10-12$43.08$43.0036.8%5.7%26.1%0.0%0.0%4.4%-0.8%-1.9K9.9K-490.00129.14N/AN/A0078
2021-10-13$43.01$43.0019.6%5.6%25.3%0.0%0.0%3.8%-2.1%-1.5K10.5K-460.00132.69N/AN/A0078
2021-10-14$43.47$43.0022.3%6.4%24.9%0.0%0.0%6.8%-1.3%-4.2K8.6K-430.00124.55N/AN/A0078
2021-10-15$43.57$43.0020.2%5.8%24.8%0.0%0.0%0.5%-1.5%-5.6K7.9K-380.00129.61N/AN/A0078
2021-10-18$43.68$43.0021.2%6.1%23.1%0.0%0.0%3.1%-2.4%1.8K-18.6K-350.00138.32N/AN/A0070
2021-10-19$43.32$43.0020.5%5.9%23.3%0.0%0.0%2.8%1.0%2.1K-16.4K-350.00129.10N/AN/A0070
2021-10-20$43.59$43.0022.0%6.3%22.1%0.0%0.0%4.0%-2.1%2.1K-17.8K-340.00120.56N/AN/A0070
2021-10-21$43.88$43.0020.7%5.9%21.8%0.0%0.0%0.4%-2.3%2.2K-19.5K-320.00128.30N/AN/A0070
2021-10-22$43.78$43.0020.5%5.9%21.8%0.0%0.0%-0.3%-2.5%2.1K-18.9K-320.00129.53N/AN/A0070
2021-10-25$44.30$43.0021.6%6.2%19.8%0.0%0.0%-1.6%-4.5%2.5K-21.8K-260.00132.17N/AN/A0070
2021-10-26$43.34$43.0021.2%6.1%21.0%0.0%0.0%-2.5%2.2%2.4K-16.4K-300.00125.88N/AN/A0070
2021-10-27$42.43$43.0023.5%6.7%22.2%0.0%0.0%-2.3%-2.2%2.2K-12.2K-290.00125.79N/AN/A0070
2021-10-28$42.88$43.0019.7%5.6%19.0%0.0%0.0%4.5%1.5%2.5K-14.1K-290.00130.59N/AN/A4070
2021-10-29$43.04$43.0019.9%5.7%18.5%0.0%0.0%2.6%1.0%2.6K-15.2K-290.00128.81N/AN/A4070