CALF Options History — June 2022

In June 2022, CALF traded between $33.43 and $39.62. ATM implied volatility averaged 36.5%, placing in the 26.6% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded below realized volatility by 4.7% (HV 20d: 41.2%). Max pain ranged from $35.00 to $46.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 2.33.

Notable Days

2022-06-17: Highest Volume — 54 contracts
2022-06-16: Largest IV spike — 41.8% change
2022-06-14: Highest IV Rank — 41.7%
2022-06-14: Largest Expected Move — 13.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.06	$33.43	$39.62	$38.37	$33.44
Max Pain	$39.81	$35.00	$46.00	$37.00	$35.00
ATM IV	36.5%	28.7%	46.1%	34.5%	43.6%
Expected Move	10.0%	8.0%	13.2%	9.9%	12.5%
HV 20d	41.2%	37.0%	44.7%	42.0%	41.2%
HV 60d	35.3%	32.6%	37.6%	32.8%	37.6%
IV Rank	26.6%	14.4%	41.7%	23.5%	37.8%
IV Percentile	66.1%	31.7%	91.4%	60.1%	88.9%
Term Structure	-2.4%	-10.3%	45.3%	-9.3%	-8.9%
VWIV	35.2%	23.2%	49.2%	29.5%	37.0%
Skew 25d	-1.9%	-10.4%	5.0%	-10.4%	1.2%
Skew 10d	1.0%	-10.1%	14.3%	-2.4%	4.4%
Call IV 25d	37.9%	25.9%	47.9%	39.9%	47.9%
Put IV 25d	36.1%	28.2%	49.1%	29.5%	49.1%
Bid-Ask Spread %	125.95	121.22	131.72	130.40	121.85
Gamma HHI	0.36	0.25	0.44	0.33	0.41
Net GEX	-2.3K	-7.4K	-595	-5.6K	-595
Net DEX	35.7K	-5.7K	117.1K	6.7K	33.9K
Net VEX	-451	-682	-216	-407	-631
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.33	1.70	2.88	2.75	1.72
Total Volume	38.524	30	54	30	49
Total OI	84.857	78	96	79	96

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
2022-06-01	$38.37	$37.00	34.5%	9.9%	42.0%	23.5%	29.5%	-10.4%	-9.3%	-5.6K	6.7K	-407	2.75	130.40	N/A	N/A	8	22	38	41
2022-06-02	$38.91	$46.00	38.5%	8.0%	40.9%	29.7%	0.0%	-2.8%	-3.2%	-2.6K	5.7K	-420	2.75	126.60	N/A	N/A	8	22	38	42
2022-06-03	$38.68	$46.00	31.0%	8.1%	37.8%	18.0%	0.0%	-2.2%	-2.4%	-3.2K	8.0K	-415	2.75	127.75	N/A	N/A	8	22	38	42
2022-06-06	$39.08	$46.00	42.9%	8.0%	37.9%	36.6%	0.0%	-2.6%	-4.8%	-1.5K	-5.5K	-383	2.75	128.18	N/A	N/A	8	22	38	42
2022-06-07	$39.62	$46.00	36.0%	8.5%	37.0%	25.8%	0.0%	2.9%	-2.1%	-1.1K	-5.7K	-408	2.75	128.95	N/A	N/A	8	22	38	42
2022-06-08	$38.73	$46.00	28.7%	8.2%	37.8%	14.4%	0.0%	5.0%	0.1%	-2.4K	5.1K	-401	2.75	122.41	N/A	N/A	8	22	38	42
2022-06-09	$38.41	$46.00	30.6%	8.8%	37.4%	17.4%	0.0%	-4.5%	-5.0%	-2.9K	9.1K	-394	2.75	128.63	N/A	N/A	8	22	38	42
2022-06-10	$37.00	$46.00	34.2%	9.8%	39.9%	23.0%	0.0%	-4.3%	-7.3%	-4.5K	35.6K	-389	2.75	131.72	N/A	N/A	8	22	38	42
2022-06-13	$35.03	$46.00	35.9%	10.3%	42.5%	25.8%	0.0%	0.2%	-10.3%	-3.8K	79.5K	-302	2.75	121.23	N/A	N/A	8	22	36	42
2022-06-14	$35.41	$46.00	46.1%	13.2%	42.8%	41.7%	49.2%	-5.3%	-8.8%	-4.6K	75.2K	-309	2.88	121.45	N/A	N/A	8	23	36	42
2022-06-15	$35.89	$35.00	31.2%	8.9%	41.3%	18.2%	33.7%	-10.0%	-2.4%	-7.4K	72.4K	-313	2.88	126.21	N/A	N/A	8	23	36	43
2022-06-16	$33.43	$35.00	44.2%	12.7%	44.3%	38.7%	35.1%	-3.1%	45.3%	-2.7K	102.9K	-228	2.88	127.82	N/A	N/A	8	23	36	43
2022-06-17	$33.87	$35.00	36.5%	10.5%	44.7%	26.7%	31.2%	-5.9%	6.8%	-647	117.1K	-216	1.70	123.97	N/A	N/A	20	34	36	43
2022-06-21	$34.22	$35.00	37.2%	10.7%	44.6%	27.8%	30.6%	-5.3%	-6.4%	-751	44.7K	-427	1.72	126.66	N/A	N/A	18	31	45	33
2022-06-22	$33.78	$35.00	33.3%	9.6%	44.6%	21.7%	23.2%	-7.4%	-7.1%	-764	48.3K	-574	1.72	121.22	N/A	N/A	18	31	54	42
2022-06-23	$33.98	$35.00	37.6%	10.8%	44.0%	28.3%	40.0%	3.4%	-4.0%	-658	39.2K	-617	1.72	126.01	N/A	N/A	18	31	54	42
2022-06-24	$35.01	$35.00	38.1%	10.9%	42.2%	29.2%	39.1%	3.9%	-7.3%	-650	24.1K	-644	1.72	129.69	N/A	N/A	18	31	54	42
2022-06-27	$35.56	$35.00	33.8%	9.7%	40.7%	22.4%	36.0%	2.8%	-4.5%	-634	7.3K	-682	1.72	125.37	N/A	N/A	18	31	54	42
2022-06-28	$34.77	$35.00	35.8%	10.2%	40.7%	25.4%	36.6%	2.3%	-5.4%	-656	15.8K	-672	1.72	125.72	N/A	N/A	18	31	54	42
2022-06-29	$34.09	$35.00	36.5%	10.5%	41.0%	26.6%	36.9%	3.1%	-3.6%	-729	30.7K	-636	1.72	123.00	N/A	N/A	18	31	54	42
2022-06-30	$33.44	$35.00	43.6%	12.5%	41.2%	37.8%	37.0%	1.2%	-8.9%	-595	33.9K	-631	1.72	121.85	N/A	N/A	18	31	54	42