CALF Options History — November 2021 In November 2021, CALF traded between $43.22 and $47.18. ATM implied volatility averaged 26.4%. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 1.3% (HV 20d: 25.1%). Max pain ranged from $43.00 to $47.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2021-11-22 : Highest Volume — 8 contracts2021-11-24 : Largest IV spike — 26.3% change2021-11-30 : Largest Expected Move — 11.2%Monthly Statistics Metric Avg Min Max Open Close Price $45.96 $43.22 $47.18 $44.53 $43.22 Max Pain $46.43 $43.00 $47.00 $43.00 $47.00 ATM IV 26.4% 20.5% 38.9% 21.1% 38.9% Expected Move 7.3% 5.8% 11.2% 6.0% 11.2% HV 20d 25.1% 22.1% 29.4% 22.1% 27.5% HV 60d 24.5% 23.8% 25.4% 23.8% 25.3% Term Structure -1.3% -5.9% 1.0% 1.0% -5.5% VWIV 24.9% 19.1% 38.6% 19.1% 38.6% Skew 25d 2.7% -3.7% 7.7% -0.8% 6.8% Skew 10d 3.4% -2.4% 9.4% 1.0% 9.4% Call IV 25d 24.8% 17.5% 37.2% 24.9% 36.3% Put IV 25d 27.5% 21.8% 43.2% 24.1% 43.2% Bid-Ask Spread % 129.25 123.74 141.74 128.91 123.74 Gamma HHI 0.63 0.50 1.00 1.00 0.55 Net GEX 1.4K 771 2.2K 2.0K 771 Net DEX -27.9K -39.5K -6.3K -22.6K -6.3K Net VEX -27 -53 -14 -23 -34 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 6.81 4 8 4 8 Total OI 8.619 4 11 7 7
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2021-11-01 $44.53 $43.00 21.1% 6.0% 22.1% 0.0% 0.0% -0.8% 1.0% 2.0K -22.6K -23 0.00 128.91 N/A N/A 4 0 7 0 2021-11-02 $44.50 $43.00 25.8% 7.4% 22.1% 0.0% 0.0% -3.7% -5.6% 2.2K -23.5K -21 0.00 131.63 N/A N/A 4 0 7 0 2021-11-03 $46.17 $43.00 24.9% 7.1% 23.8% 0.0% 0.0% 0.6% -2.9% 1.0K -28.2K -14 0.00 129.90 N/A N/A 7 0 7 0 2021-11-04 $45.96 $47.00 24.5% 5.9% 22.7% 0.0% 19.1% 3.1% 0.3% 1.9K -34.5K -30 0.00 127.06 N/A N/A 7 0 10 0 2021-11-05 $46.90 $47.00 24.8% 5.8% 23.3% 0.0% 20.1% 4.2% 0.3% 1.5K -37.8K -26 0.00 128.85 N/A N/A 7 0 10 0 2021-11-08 $46.92 $47.00 29.2% 6.0% 23.2% 0.0% 21.3% 2.0% 0.7% 1.5K -38.2K -25 0.00 129.88 N/A N/A 7 0 10 0 2021-11-09 $47.03 $47.00 27.0% 6.2% 23.2% 0.0% 20.8% 5.5% 0.8% 1.4K -38.7K -23 0.00 128.57 N/A N/A 7 0 10 0 2021-11-10 $46.09 $47.00 22.0% 6.3% 24.7% 0.0% 20.3% 1.7% 0.9% 1.7K -35.8K -25 0.00 126.12 N/A N/A 7 0 10 0 2021-11-11 $46.78 $47.00 22.2% 6.4% 24.9% 0.0% 22.7% 4.8% -1.9% 1.4K -38.2K -22 0.00 125.78 N/A N/A 7 0 10 0 2021-11-12 $46.79 $47.00 21.1% 6.1% 24.9% 0.0% 20.7% 4.6% 0.6% 1.4K -38.1K -22 0.00 130.40 N/A N/A 7 0 10 0 2021-11-15 $46.71 $47.00 21.4% 6.1% 25.0% 0.0% 21.2% 2.3% 0.3% 1.5K -37.7K -20 0.00 130.03 N/A N/A 7 0 10 0 2021-11-16 $47.18 $47.00 20.5% 5.9% 24.7% 0.0% 20.3% 1.3% 0.3% 1.3K -39.5K -18 0.00 126.49 N/A N/A 7 0 10 0 2021-11-17 $46.38 $47.00 21.2% 6.1% 25.8% 0.0% 21.5% 0.2% -0.4% 1.5K -36.9K -18 0.00 130.98 N/A N/A 7 0 10 0 2021-11-18 $46.63 $47.00 21.3% 6.1% 25.8% 0.0% 21.3% 3.1% -0.4% 1.4K -38.2K -16 0.00 125.48 N/A N/A 5 0 10 0 2021-11-19 $45.88 $47.00 23.9% 6.8% 26.6% 0.0% 23.6% 1.0% -3.3% 1.9K -37.0K -20 0.00 131.97 N/A N/A 5 0 11 0 2021-11-22 $46.89 $47.00 23.1% 6.6% 27.3% 0.0% 22.5% 7.7% -0.1% 1.2K -9.3K -20 0.00 132.31 N/A N/A 8 0 4 0 2021-11-23 $46.40 $47.00 29.0% 8.3% 26.3% 0.0% 27.9% 2.3% 0.7% 1.3K -14.2K -53 0.00 130.36 N/A N/A 8 0 7 0 2021-11-24 $46.03 $47.00 36.6% 10.5% 25.0% 0.0% 34.9% 2.7% -3.3% 1.1K -13.6K -51 0.00 141.74 N/A N/A 8 0 7 0 2021-11-26 $44.21 $47.00 38.8% 11.1% 29.4% 0.0% 36.8% 3.4% -3.6% 905 -9.2K -44 0.00 127.25 N/A N/A 8 0 7 0 2021-11-29 $44.02 $47.00 36.8% 10.5% 29.4% 0.0% 34.8% 4.7% -5.9% 958 -8.5K -41 0.00 126.75 N/A N/A 8 0 7 0 2021-11-30 $43.22 $47.00 38.9% 11.2% 27.5% 0.0% 38.6% 6.8% -5.5% 771 -6.3K -34 0.00 123.74 N/A N/A 8 0 7 0
« Oct 2021 | All History | Dec 2021 » Home CALF History November 2021