CALF Options History — July 2022

In July 2022, CALF traded between $33.44 and $38.00. ATM implied volatility averaged 41.2%, placing in the 31.3% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 6.6% (HV 20d: 34.6%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 3.01.

Notable Days

2022-07-19: Highest Volume — 53 contracts
2022-07-13: Largest IV drop — 67.0% change
2022-07-12: Highest IV Rank — 100.0%
2022-07-18: Largest Expected Move — 12.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.39	$33.44	$38.00	$33.84	$38.00
Max Pain	$39.38	$35.00	$40.00	$35.00	$40.00
ATM IV	41.2%	29.9%	93.5%	41.5%	31.6%
Expected Move	9.4%	8.4%	12.4%	11.9%	9.1%
HV 20d	34.6%	26.5%	42.7%	41.0%	26.7%
HV 60d	37.8%	37.3%	38.4%	37.4%	37.7%
IV Rank	31.3%	13.9%	100.0%	34.5%	16.4%
IV Percentile	64.3%	33.6%	100.0%	86.4%	41.3%
Term Structure	-2.6%	-8.4%	2.6%	-8.4%	-6.8%
VWIV	35.2%	26.0%	44.5%	44.5%	26.0%
Skew 25d	6.3%	2.6%	20.7%	4.2%	10.4%
Skew 10d	10.1%	3.7%	34.6%	5.0%	4.5%
Call IV 25d	31.6%	17.4%	48.5%	46.9%	26.4%
Put IV 25d	38.0%	31.7%	51.1%	51.1%	36.8%
Bid-Ask Spread %	129.81	119.20	144.73	125.82	133.31
Gamma HHI	0.35	0.23	0.45	0.41	0.23
Net GEX	186	-784	3.0K	-645	3.0K
Net DEX	6.1K	-50.3K	42.2K	34.8K	-50.3K
Net VEX	-658	-733	-589	-636	-706
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.01	1.65	3.67	1.72	2.40
Total Volume	42.5	34	53	49	34
Total OI	98.45	81	107	96	107

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
2022-07-01	$33.84	$35.00	41.5%	11.9%	41.0%	34.5%	44.5%	4.2%	-8.4%	-645	34.8K	-636	1.72	125.82	N/A	N/A	18	31	54	42
2022-07-05	$34.01	$0.00	46.2%	9.1%	41.2%	41.9%	0.0%	6.4%	2.6%	-764	37.0K	-620	3.10	124.51	N/A	N/A	10	31	54	42
2022-07-06	$33.44	$0.00	51.5%	9.5%	40.9%	50.2%	0.0%	8.3%	-0.8%	-745	42.2K	-592	3.10	126.00	N/A	N/A	10	31	55	42
2022-07-07	$34.55	$0.00	51.5%	8.6%	42.7%	50.3%	0.0%	5.2%	-1.0%	-666	25.0K	-643	3.10	129.11	N/A	N/A	10	31	55	42
2022-07-08	$34.59	$0.00	51.8%	8.5%	42.4%	50.7%	0.0%	4.3%	-1.4%	-736	25.2K	-642	3.10	129.82	N/A	N/A	10	31	55	42
2022-07-11	$33.99	$0.00	59.0%	8.4%	42.6%	61.9%	0.0%	2.7%	0.0%	-757	28.8K	-623	3.10	122.48	N/A	N/A	10	31	55	42
2022-07-12	$33.97	$0.00	93.5%	8.7%	41.0%	100.0%	0.0%	3.6%	-1.5%	-784	32.2K	-606	3.10	124.05	N/A	N/A	10	31	55	42
2022-07-13	$34.12	$0.00	30.9%	8.8%	36.5%	15.3%	0.0%	3.4%	-1.3%	-758	31.5K	-616	3.10	119.20	N/A	N/A	10	31	55	42
2022-07-14	$33.77	$0.00	32.1%	9.2%	36.3%	17.0%	0.0%	4.2%	2.6%	-736	38.5K	-589	3.10	130.53	N/A	N/A	10	31	55	42
2022-07-15	$34.50	$0.00	35.7%	10.2%	36.9%	21.8%	0.0%	4.1%	-4.9%	-579	27.9K	-622	3.10	138.82	N/A	N/A	10	31	55	42
2022-07-18	$34.84	$0.00	43.1%	12.4%	26.5%	31.9%	0.0%	2.6%	0.4%	-589	12.7K	-632	3.33	144.73	N/A	N/A	9	30	40	41
2022-07-19	$36.39	$0.00	29.9%	8.6%	30.1%	14.0%	0.0%	4.9%	-2.3%	-609	-2.5K	-638	1.65	130.51	N/A	N/A	20	33	40	41
2022-07-20	$37.01	$0.00	29.9%	8.6%	30.4%	13.9%	26.0%	6.0%	-1.4%	172	-14.6K	-697	1.65	127.87	N/A	N/A	20	33	51	44
2022-07-21	$36.88	$40.00	31.3%	9.0%	29.9%	15.9%	0.0%	4.6%	-4.5%	1.6K	-23.1K	-733	3.67	131.02	N/A	N/A	9	33	62	44
2022-07-22	$36.39	$40.00	32.4%	9.3%	30.6%	17.4%	0.0%	3.5%	-5.3%	1.2K	-17.6K	-716	3.67	130.91	N/A	N/A	9	33	62	44
2022-07-25	$36.52	$40.00	33.5%	9.6%	28.9%	18.8%	0.0%	6.5%	-3.3%	1.3K	-17.2K	-721	3.67	131.29	N/A	N/A	9	33	62	44
2022-07-26	$36.10	$40.00	34.6%	9.9%	28.9%	20.3%	0.0%	3.1%	-6.5%	1.0K	-13.5K	-708	3.67	134.68	N/A	N/A	9	33	62	44
2022-07-27	$37.23	$40.00	32.6%	9.3%	29.4%	17.6%	0.0%	17.8%	-3.4%	1.6K	-28.7K	-713	3.67	131.74	N/A	N/A	9	33	62	44
2022-07-28	$37.65	$40.00	31.0%	8.9%	28.2%	15.5%	0.0%	20.7%	-5.1%	2.2K	-45.5K	-706	3.30	129.79	N/A	N/A	10	33	63	44
2022-07-29	$38.00	$40.00	31.6%	9.1%	26.7%	16.4%	0.0%	10.4%	-6.8%	3.0K	-50.3K	-706	2.40	133.31	N/A	N/A	10	24	63	44