CALF Options History — March 2022

In March 2022, CALF traded between $39.38 and $42.23. ATM implied volatility averaged 36.1%, placing in the 28.3% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 8.0% (HV 20d: 28.2%). Max pain ranged from $46.00 to $46.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 2 of 23 days. Put/call ratio averaged 0.05.

Notable Days

  • 2022-03-23: Highest Volume — 21 contracts
  • 2022-03-08: Largest IV drop — 35.9% change
  • 2022-03-17: Highest IV Rank — 39.3%
  • 2022-03-07: Largest Expected Move — 18.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.86$39.38$42.23$40.30$40.17
Max Pain$46.00$46.00$46.00$46.00$46.00
ATM IV36.1%27.2%64.4%37.9%32.3%
Expected Move10.7%6.9%18.5%10.9%7.8%
HV 20d28.2%24.9%29.8%24.9%28.8%
HV 60d25.2%24.3%26.6%24.3%26.5%
IV Rank28.3%17.0%39.3%39.3%28.4%
IV Percentile53.7%33.6%76.2%76.2%52.9%
Term Structure-3.9%-13.1%4.9%0.5%-7.0%
VWIV34.8%33.3%36.7%36.7%33.3%
Skew 25d5.8%-6.6%26.6%5.0%2.0%
Skew 10d8.2%-4.4%39.9%10.7%3.7%
Call IV 25d34.8%27.5%49.9%36.1%34.9%
Put IV 25d40.6%27.0%60.5%41.1%36.9%
Bid-Ask Spread %128.19103.50149.00125.64125.56
Gamma HHI0.550.510.590.550.52
Net GEX1.2K9001.7K1.2K901
Net DEX-12.5K-21.7K-6.2K-15.3K-6.2K
Net VEX-112-141-79-130-79
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.050.050.050.050.05
Total Volume20.30420212021
Total OI20.30420212021

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-03-01$40.30$0.0037.9%10.9%24.9%0.0%0.0%5.0%0.5%1.2K-15.3K-1300.05125.64N/AN/A191191
2022-03-02$41.74$0.0032.7%9.4%26.3%0.0%0.0%7.0%-1.5%1.4K-14.7K-1300.05125.43N/AN/A191191
2022-03-03$41.25$0.0038.0%10.9%26.6%0.0%0.0%19.1%-5.0%1.3K-13.2K-1210.05129.44N/AN/A191191
2022-03-04$40.59$0.0050.0%14.3%26.3%0.0%0.0%1.1%-7.0%1.1K-14.3K-1250.05132.80N/AN/A191191
2022-03-07$39.38$0.0064.4%18.5%28.4%0.0%0.0%9.4%-2.1%924-9.0K-980.05140.96N/AN/A191191
2022-03-08$39.79$0.0041.3%15.3%28.7%0.0%0.0%-6.6%-4.8%900-9.7K-1030.05131.01N/AN/A191191
2022-03-09$40.51$0.0029.0%14.8%28.4%0.0%0.0%-0.5%4.9%1.0K-10.4K-1050.05137.91N/AN/A191191
2022-03-10$40.49$0.0036.8%13.4%28.0%0.0%0.0%5.4%-3.1%1.1K-10.4K-1040.05133.57N/AN/A191191
2022-03-11$40.09$0.0036.9%15.3%27.7%0.0%0.0%2.9%-7.1%1.0K-10.1K-1040.05139.16N/AN/A191191
2022-03-14$39.70$46.0039.9%10.3%27.9%0.0%36.7%10.6%-2.7%1.0K-14.6K-1200.05105.00N/AN/A191191
2022-03-15$40.14$46.0036.6%10.0%28.2%0.0%34.4%12.6%-2.5%1.0K-14.6K-1180.05103.50N/AN/A191191
2022-03-16$41.22$46.0033.2%9.5%28.8%0.0%33.3%26.6%-1.4%1.3K-18.5K-1380.05106.04N/AN/A191191
2022-03-17$42.16$0.0037.2%14.1%29.8%39.3%0.0%25.9%-0.9%1.6K-21.7K-1410.05134.03N/AN/A191191
2022-03-18$42.23$0.0027.2%8.3%29.0%17.0%0.0%-3.3%-2.2%1.3K-13.3K-1130.05123.50N/AN/A191191
2022-03-21$41.54$0.0033.6%8.4%29.6%31.3%0.0%-2.1%-13.1%1.3K-11.6K-1050.05131.82N/AN/A191191
2022-03-22$41.88$0.0030.0%7.9%28.9%23.4%0.0%4.6%-2.7%1.4K-10.8K-970.05121.66N/AN/A191191
2022-03-23$41.02$0.0035.6%8.7%29.2%35.9%0.0%-4.9%-5.6%1.3K-14.2K-1250.05137.56N/AN/A201201
2022-03-24$41.13$0.0033.1%8.0%28.9%30.2%0.0%4.5%-5.2%1.3K-12.6K-1150.05132.96N/AN/A201201
2022-03-25$40.90$0.0032.4%8.9%27.8%28.5%0.0%3.9%-1.7%1.3K-10.9K-1050.05149.00N/AN/A201201
2022-03-28$40.71$0.0034.1%7.5%27.8%32.3%0.0%4.3%-8.5%1.2K-8.8K-920.05133.25N/AN/A201201
2022-03-29$42.10$0.0027.4%6.9%29.1%17.4%0.0%4.0%-1.9%1.7K-13.7K-1120.05123.56N/AN/A201201
2022-03-30$40.83$0.0031.9%7.5%28.6%27.5%0.0%2.5%-8.5%1.2K-8.9K-920.05124.93N/AN/A201201
2022-03-31$40.17$0.0032.3%7.8%28.8%28.4%0.0%2.0%-7.0%901-6.2K-790.05125.56N/AN/A201201