CALF Options History — May 2022

In May 2022, CALF traded between $35.58 and $40.38. ATM implied volatility averaged 37.8%, placing in the 28.7% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 1.3% (HV 20d: 36.5%). Max pain ranged from $36.00 to $37.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 2.05.

Notable Days

2022-05-05: Highest Volume — 40 contracts
2022-05-26: Largest IV spike — 39.0% change
2022-05-09: Highest IV Rank — 72.8%
2022-05-11: Largest Expected Move — 14.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.75	$35.58	$40.38	$38.58	$38.39
Max Pain	$36.94	$36.00	$37.00	$36.00	$37.00
ATM IV	37.8%	25.1%	65.9%	39.6%	37.5%
Expected Move	10.0%	7.2%	14.5%	11.4%	10.8%
HV 20d	36.5%	29.0%	42.9%	29.0%	42.5%
HV 60d	30.8%	27.5%	33.4%	27.5%	33.3%
IV Rank	28.7%	8.8%	72.8%	31.6%	28.3%
IV Percentile	63.5%	18.4%	98.8%	85.4%	74.6%
Term Structure	-1.1%	-9.5%	8.5%	1.2%	-4.1%
VWIV	38.7%	38.7%	38.7%	38.7%	38.7%
Skew 25d	3.5%	-7.6%	14.1%	7.3%	1.2%
Skew 10d	7.3%	-5.2%	30.9%	8.8%	30.9%
Call IV 25d	33.7%	21.6%	43.1%	36.4%	37.4%
Put IV 25d	37.1%	28.1%	47.2%	43.7%	38.6%
Bid-Ask Spread %	124.31	113.97	136.55	124.15	135.78
Gamma HHI	0.32	0.25	0.52	0.52	0.29
Net GEX	-2.6K	-7.1K	-317	-849	-2.5K
Net DEX	28.5K	-4.0K	69.1K	10.8K	13.9K
Net VEX	-405	-497	-114	-125	-429
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.05	0.00	2.75	0.00	2.63
Total Volume	29.048	3	40	4	29
Total OI	70.619	34	80	34	79

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
2022-05-02	$38.58	$0.00	39.6%	11.4%	29.0%	31.6%	0.0%	7.3%	1.2%	-849	10.8K	-125	0.00	124.15	N/A	N/A	4	0	19	15
2022-05-03	$39.25	$0.00	38.1%	10.9%	29.7%	29.2%	0.0%	4.1%	-3.9%	-317	6.3K	-131	0.00	129.60	N/A	N/A	3	0	20	15
2022-05-04	$40.38	$0.00	38.8%	11.1%	29.9%	30.2%	0.0%	6.3%	-2.5%	-1.1K	-4.0K	-114	1.50	136.55	N/A	N/A	14	21	20	15
2022-05-05	$38.63	$36.00	45.7%	10.1%	33.5%	41.1%	38.7%	6.6%	-1.7%	-1.1K	16.8K	-441	1.86	119.12	N/A	N/A	14	26	32	36
2022-05-06	$38.39	$37.00	54.9%	10.5%	33.5%	55.6%	0.0%	14.1%	-4.4%	-1.6K	19.6K	-497	1.50	116.59	N/A	N/A	14	21	32	41
2022-05-09	$37.51	$37.00	65.9%	13.7%	34.4%	72.8%	0.0%	4.1%	-8.8%	-1.6K	26.6K	-494	1.50	120.35	N/A	N/A	14	21	32	41
2022-05-10	$37.08	$37.00	49.7%	10.1%	34.6%	47.4%	0.0%	2.9%	2.6%	-2.1K	41.5K	-454	1.50	116.05	N/A	N/A	14	21	32	41
2022-05-11	$36.48	$37.00	50.4%	14.5%	34.7%	48.5%	0.0%	13.9%	-4.4%	-1.6K	44.0K	-455	1.50	121.50	N/A	N/A	14	21	32	41
2022-05-12	$36.78	$37.00	33.4%	9.6%	33.4%	21.8%	0.0%	1.6%	4.6%	-3.0K	49.6K	-437	1.50	113.97	N/A	N/A	14	21	32	41
2022-05-13	$38.01	$37.00	31.3%	9.0%	35.9%	18.5%	0.0%	5.3%	-1.8%	-2.7K	32.8K	-437	2.63	114.45	N/A	N/A	8	21	32	41
2022-05-16	$37.71	$37.00	33.8%	9.7%	36.0%	22.4%	0.0%	2.7%	-4.1%	-2.3K	23.9K	-491	2.75	124.34	N/A	N/A	8	22	38	41
2022-05-17	$38.90	$37.00	32.0%	9.2%	36.0%	19.5%	0.0%	11.9%	-3.2%	-2.0K	8.9K	-491	2.75	131.66	N/A	N/A	8	22	38	42
2022-05-18	$36.85	$37.00	31.9%	9.1%	40.2%	19.4%	0.0%	2.4%	2.2%	-3.0K	41.9K	-477	2.75	123.69	N/A	N/A	8	22	38	42
2022-05-19	$36.99	$37.00	26.6%	7.6%	39.6%	11.0%	0.0%	-0.3%	8.5%	-3.7K	42.5K	-463	2.75	123.47	N/A	N/A	8	22	38	42
2022-05-20	$36.25	$37.00	35.2%	10.1%	39.3%	24.6%	0.0%	3.4%	-2.6%	-3.1K	56.0K	-441	2.75	115.92	N/A	N/A	8	22	38	42
2022-05-23	$36.46	$37.00	30.1%	8.6%	39.3%	16.5%	0.0%	-1.5%	5.8%	-3.9K	50.3K	-436	2.63	121.05	N/A	N/A	8	21	38	41
2022-05-24	$35.58	$37.00	26.7%	7.7%	38.6%	11.2%	0.0%	1.1%	8.0%	-3.6K	69.1K	-386	2.63	124.37	N/A	N/A	8	21	38	41
2022-05-25	$37.21	$37.00	25.1%	7.2%	42.2%	8.8%	0.0%	-7.6%	-0.3%	-7.1K	33.1K	-427	2.63	129.17	N/A	N/A	8	21	38	41
2022-05-26	$38.43	$37.00	34.9%	10.0%	42.9%	24.1%	0.0%	-6.8%	-9.5%	-3.8K	9.4K	-447	2.63	133.65	N/A	N/A	8	21	38	41
2022-05-27	$38.93	$37.00	33.1%	9.5%	42.3%	21.2%	0.0%	0.2%	-4.9%	-2.9K	5.2K	-431	2.63	135.07	N/A	N/A	8	21	38	41
2022-05-31	$38.39	$37.00	37.5%	10.8%	42.5%	28.3%	0.0%	1.2%	-4.1%	-2.5K	13.9K	-429	2.63	135.78	N/A	N/A	8	21	38	41