CALF Options History — December 2021 In December 2021, CALF traded between $41.11 and $44.51. ATM implied volatility averaged 37.6%. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 10.2% (HV 20d: 27.4%). Max pain ranged from $41.00 to $47.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.41.
Notable Days 2021-12-31 : Highest Volume — 25 contracts2021-12-15 : Largest IV drop — 49.5% change2021-12-03 : Largest Expected Move — 15.6%Monthly Statistics Metric Avg Min Max Open Close Price $42.84 $41.11 $44.51 $42.38 $42.90 Max Pain $43.05 $41.00 $47.00 $47.00 $41.00 ATM IV 37.6% 24.8% 64.2% 49.7% 26.5% Expected Move 9.7% 7.1% 15.6% 14.3% 7.6% HV 20d 27.4% 25.1% 29.9% 28.2% 25.1% HV 60d 25.6% 24.8% 26.1% 25.4% 24.8% Term Structure -1.2% -10.1% 3.2% -7.6% 0.5% VWIV 32.1% 19.3% 47.0% 43.9% 27.4% Skew 25d 6.5% 0.3% 16.9% 7.7% 7.0% Skew 10d 7.9% 2.8% 26.4% 9.1% 4.8% Call IV 25d 27.7% 22.0% 45.5% 40.8% 22.0% Put IV 25d 34.2% 26.2% 52.0% 48.5% 29.0% Bid-Ask Spread % 131.31 114.52 146.74 125.34 146.74 Gamma HHI 0.41 0.34 0.54 0.54 0.41 Net GEX 434 -576 1.4K 643 -81 Net DEX -4.9K -13.5K 5.5K -6.0K -1.7K Net VEX -47 -56 -33 -35 -50 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.41 0.00 1.00 0.00 0.25 Total Volume 11.182 10 25 10 25 Total OI 9.727 7 14 7 11
Daily Data (22 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 2021-12-01 $42.38 $47.00 49.7% 14.3% 28.2% 0.0% 43.9% 7.7% -7.6% 643 -6.0K -35 0.00 125.34 N/A N/A 10 0 7 0 2021-12-02 $43.12 $47.00 48.0% 13.8% 25.3% 0.0% 40.0% 14.4% -9.0% 998 -11.2K -49 0.00 124.06 N/A N/A 10 0 9 0 2021-12-03 $42.48 $47.00 54.5% 15.6% 25.7% 0.0% 47.0% 6.6% -10.1% 882 -10.2K -46 0.00 125.77 N/A N/A 10 0 9 0 2021-12-06 $43.84 $44.00 42.7% 10.9% 27.3% 0.0% 37.9% 16.9% -3.5% 1.1K -12.5K -49 0.00 114.52 N/A N/A 10 0 9 0 2021-12-07 $44.51 $44.00 37.1% 8.9% 28.1% 0.0% 32.9% 8.8% -0.3% 1.4K -13.5K -50 0.00 127.85 N/A N/A 10 0 9 0 2021-12-08 $44.39 $44.00 39.1% 9.1% 28.0% 0.0% 32.1% 5.3% -2.0% 1.4K -12.9K -50 0.00 132.17 N/A N/A 10 0 9 0 2021-12-09 $43.81 $44.00 39.9% 9.1% 27.5% 0.0% 32.1% 0.5% -1.1% 1.2K -10.6K -45 0.00 129.96 N/A N/A 10 0 9 0 2021-12-10 $43.59 $44.00 41.7% 9.1% 26.8% 0.0% 31.4% 5.1% -0.1% 1.1K -9.9K -44 0.00 125.85 N/A N/A 10 0 9 0 2021-12-13 $42.82 $44.00 50.8% 8.9% 27.2% 0.0% 30.4% 4.6% 0.9% 901 -7.6K -36 0.00 127.76 N/A N/A 10 0 9 0 2021-12-14 $42.50 $44.00 64.2% 9.8% 27.2% 0.0% 32.2% 4.7% -1.5% 773 -7.2K -35 0.00 128.64 N/A N/A 10 0 9 0 2021-12-15 $42.95 $44.00 32.5% 9.3% 27.2% 0.0% 25.6% 9.6% -0.4% 880 -7.7K -37 0.00 127.61 N/A N/A 10 0 9 0 2021-12-16 $41.97 $44.00 35.9% 10.3% 27.7% 0.0% 37.0% 5.1% 0.7% 567 -5.9K -33 0.50 124.62 N/A N/A 10 5 9 0 2021-12-17 $42.19 $41.00 33.4% 9.6% 27.7% 0.0% 31.3% 11.5% -0.7% -210 2.1K -56 0.50 131.71 N/A N/A 10 5 9 5 2021-12-20 $41.11 $41.00 38.3% 11.0% 28.4% 0.0% 36.4% 8.4% -0.7% -277 5.5K -51 1.00 120.77 N/A N/A 5 5 5 5 2021-12-21 $42.22 $41.00 34.4% 9.9% 29.1% 0.0% 33.2% 5.0% -0.5% -209 2.0K -55 1.00 136.08 N/A N/A 5 5 5 5 2021-12-22 $42.70 $41.00 29.4% 8.4% 29.6% 0.0% 26.6% 4.0% 1.8% -286 972 -53 1.00 130.75 N/A N/A 5 5 5 5 2021-12-23 $41.98 $41.00 24.8% 7.1% 29.9% 0.0% 19.3% 0.3% 3.2% -389 2.1K -48 1.00 133.79 N/A N/A 5 5 5 5 2021-12-27 $42.63 $41.00 27.2% 7.8% 27.5% 0.0% 27.7% 6.3% 1.5% -576 774 -43 0.83 142.28 N/A N/A 6 5 5 5 2021-12-28 $42.71 $41.00 25.6% 7.3% 27.5% 0.0% 27.0% 3.0% 2.4% -137 -1.1K -53 1.00 140.94 N/A N/A 5 5 6 5 2021-12-29 $42.79 $41.00 25.9% 7.4% 26.8% 0.0% 28.2% 6.8% 1.4% -123 -1.5K -53 1.00 145.55 N/A N/A 5 5 6 5 2021-12-30 $42.80 $41.00 26.2% 7.5% 25.8% 0.0% 26.8% 2.2% -1.1% -117 -1.5K -52 1.00 146.14 N/A N/A 5 5 6 5 2021-12-31 $42.90 $41.00 26.5% 7.6% 25.1% 0.0% 27.4% 7.0% 0.5% -81 -1.7K -50 0.25 146.74 N/A N/A 20 5 6 5
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