CALF Options History — January 2022

Name: CALF Options Analytics - January 2022
Creator: Options Analysis Suite

In January 2022, CALF traded between $39.31 and $43.89. ATM implied volatility averaged 32.7%. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 10.3% (HV 20d: 22.4%). Max pain ranged from $41.00 to $41.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.21.

Notable Days

2022-01-10: Highest Volume — 26 contracts
2022-01-25: Largest IV spike — 37.1% change
2022-01-26: Largest Expected Move — 14.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.56	$39.31	$43.89	$43.22	$40.21
Max Pain	$41.00	$41.00	$41.00	$41.00	$41.00
ATM IV	32.7%	25.8%	51.2%	27.8%	35.4%
Expected Move	9.1%	6.4%	14.7%	8.0%	10.1%
HV 20d	22.4%	20.1%	24.6%	24.6%	24.0%
HV 60d	25.3%	24.4%	26.3%	24.4%	24.5%
Term Structure	-0.7%	-9.8%	3.0%	-1.7%	-1.9%
VWIV	29.8%	26.4%	31.9%	31.2%	26.4%
Skew 25d	4.5%	-6.7%	14.3%	2.3%	4.4%
Skew 10d	6.4%	-2.2%	20.6%	5.2%	7.0%
Call IV 25d	29.1%	21.2%	39.0%	29.8%	34.8%
Put IV 25d	33.6%	24.9%	46.3%	32.1%	39.2%
Bid-Ask Spread %	131.86	121.72	153.73	145.84	129.85
Gamma HHI	0.40	0.31	0.58	0.31	0.58
Net GEX	881	-146	1.7K	1.3K	1.0K
Net DEX	-15.4K	-32.0K	3.7K	-28.9K	-9.2K
Net VEX	-173	-228	-114	-223	-118
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.21	0.06	0.30	0.25	0.06
Total Volume	23.65	19	26	25	19
Total OI	24.6	20	27	26	20

Daily Data (20 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
2022-01-03	$43.22	$41.00	27.8%	8.0%	24.6%	0.0%	31.2%	2.3%	-1.7%	1.3K	-28.9K	-223	0.25	145.84	N/A	N/A	20	5	21	5
2022-01-04	$43.89	$41.00	26.7%	7.7%	22.5%	0.0%	31.9%	2.8%	-3.8%	1.7K	-32.0K	-228	0.25	153.73	N/A	N/A	20	5	21	5
2022-01-05	$42.90	$41.00	30.3%	8.7%	23.2%	0.0%	26.4%	-6.7%	-4.2%	1.2K	-26.1K	-219	0.25	146.60	N/A	N/A	20	5	21	5
2022-01-06	$43.15	$0.00	28.7%	7.5%	23.3%	0.0%	0.0%	4.3%	0.9%	1.4K	-26.4K	-217	0.25	122.18	N/A	N/A	20	5	21	5
2022-01-07	$42.66	$0.00	29.8%	7.8%	23.2%	0.0%	0.0%	4.8%	0.0%	1.1K	-23.8K	-209	0.25	123.59	N/A	N/A	20	5	21	5
2022-01-10	$42.12	$0.00	34.8%	8.0%	23.5%	0.0%	0.0%	3.3%	-1.6%	471	-16.8K	-189	0.30	125.46	N/A	N/A	20	6	21	5
2022-01-11	$42.71	$0.00	32.6%	6.4%	23.3%	0.0%	0.0%	3.2%	2.2%	1.1K	-19.9K	-204	0.30	125.05	N/A	N/A	20	6	21	6
2022-01-12	$42.58	$0.00	29.4%	8.4%	23.2%	0.0%	0.0%	5.0%	-2.6%	1.1K	-16.6K	-197	0.30	143.93	N/A	N/A	20	6	21	6
2022-01-13	$42.69	$0.00	25.8%	7.4%	22.9%	0.0%	0.0%	6.1%	0.6%	1.1K	-21.2K	-205	0.30	128.65	N/A	N/A	20	6	21	6
2022-01-14	$42.50	$0.00	25.8%	7.4%	21.3%	0.0%	0.0%	2.7%	3.0%	924	-18.6K	-200	0.30	125.02	N/A	N/A	20	6	21	6
2022-01-18	$41.61	$0.00	27.6%	7.9%	22.6%	0.0%	0.0%	3.8%	0.2%	372	-13.1K	-186	0.30	127.38	N/A	N/A	20	6	21	6
2022-01-19	$41.16	$0.00	30.4%	8.7%	21.0%	0.0%	0.0%	0.5%	0.6%	-146	-5.2K	-153	0.30	125.04	N/A	N/A	20	6	21	6
2022-01-20	$40.05	$0.00	31.9%	9.2%	20.6%	0.0%	0.0%	7.0%	2.3%	-71	2.5K	-131	0.30	122.92	N/A	N/A	20	6	21	6
2022-01-21	$39.65	$0.00	34.8%	10.0%	20.1%	0.0%	0.0%	8.5%	-4.5%	-73	3.7K	-126	0.30	128.26	N/A	N/A	20	6	21	6
2022-01-24	$40.60	$0.00	31.6%	9.0%	21.7%	0.0%	0.0%	14.3%	1.4%	1.1K	-12.3K	-139	0.06	121.72	N/A	N/A	18	1	19	1
2022-01-25	$40.80	$0.00	43.3%	12.4%	20.9%	0.0%	0.0%	9.8%	-9.8%	1.2K	-14.1K	-146	0.06	137.52	N/A	N/A	18	1	19	1
2022-01-26	$39.85	$0.00	51.2%	14.7%	22.1%	0.0%	0.0%	4.1%	1.8%	1.0K	-12.7K	-135	0.06	142.55	N/A	N/A	18	1	19	1
2022-01-27	$39.46	$0.00	38.0%	10.9%	22.1%	0.0%	0.0%	5.5%	2.6%	907	-8.7K	-114	0.06	127.43	N/A	N/A	18	1	19	1
2022-01-28	$39.31	$0.00	38.1%	10.9%	22.1%	0.0%	0.0%	4.2%	1.2%	859	-8.9K	-115	0.06	134.47	N/A	N/A	18	1	19	1
2022-01-31	$40.21	$0.00	35.4%	10.1%	24.0%	0.0%	0.0%	4.4%	-1.9%	1.0K	-9.2K	-118	0.06	129.85	N/A	N/A	18	1	19	1