CALF Options History — August 2022

In August 2022, CALF traded between $36.82 and $40.38. ATM implied volatility averaged 30.8%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 3.5% (HV 20d: 27.2%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 0.64.

Notable Days

2022-08-01: Highest Volume — 39 contracts
2022-08-30: Largest IV spike — 48.1% change
2022-08-09: Highest IV Rank — 31.6%
2022-08-30: Largest Expected Move — 11.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.77	$36.82	$40.38	$38.34	$36.82
Max Pain	$38.26	$38.00	$40.00	$40.00	$38.00
ATM IV	30.8%	23.2%	42.9%	32.8%	38.1%
Expected Move	8.2%	6.6%	11.2%	9.4%	10.9%
HV 20d	27.2%	23.6%	29.5%	26.6%	28.8%
HV 60d	34.9%	32.7%	37.2%	37.2%	33.6%
IV Rank	15.1%	4.9%	31.6%	17.9%	25.1%
IV Percentile	40.1%	10.0%	86.2%	48.4%	76.8%
Term Structure	-1.8%	-11.7%	5.1%	-4.0%	-11.7%
VWIV	32.0%	24.4%	58.3%	28.9%	58.3%
Skew 25d	3.0%	-8.8%	15.5%	12.5%	3.7%
Skew 10d	9.1%	-4.5%	27.4%	3.3%	-4.5%
Call IV 25d	28.3%	19.1%	40.8%	25.4%	40.8%
Put IV 25d	31.3%	18.5%	44.5%	37.9%	44.5%
Bid-Ask Spread %	130.23	124.48	133.53	128.45	133.09
Gamma HHI	0.22	0.16	0.32	0.24	0.16
Net GEX	7.4K	3.7K	14.6K	4.9K	3.7K
Net DEX	-110.6K	-167.0K	-60.7K	-77.4K	-60.7K
Net VEX	-577	-632	-482	-598	-559
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.64	0.00	1.60	1.60	0.56
Total Volume	12.087	0	39	39	39
Total OI	102.043	95	113	95	103

Daily Data (23 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
2022-08-01	$38.34	$40.00	32.8%	9.4%	26.6%	17.9%	0.0%	12.5%	-4.0%	4.9K	-77.4K	-598	1.60	128.45	N/A	N/A	15	24	63	32
2022-08-02	$37.89	$40.00	34.4%	9.9%	27.4%	20.1%	0.0%	8.4%	-7.7%	5.1K	-79.8K	-632	1.60	132.42	N/A	N/A	15	24	68	32
2022-08-03	$38.57	$40.00	34.6%	9.9%	26.4%	20.4%	0.0%	15.5%	-9.6%	6.3K	-95.6K	-619	0.93	132.46	N/A	N/A	15	14	68	32
2022-08-04	$38.29	$38.00	36.8%	8.0%	25.0%	23.3%	28.9%	6.4%	-2.1%	6.0K	-92.3K	-600	0.93	133.11	N/A	N/A	15	14	68	31
2022-08-05	$38.53	$38.00	35.0%	7.4%	25.0%	20.8%	26.0%	6.1%	-0.3%	6.5K	-96.7K	-603	0.88	130.52	N/A	N/A	16	14	68	31
2022-08-08	$39.08	$38.00	40.2%	7.8%	23.6%	27.9%	27.8%	5.1%	-0.2%	8.0K	-114.2K	-583	0.93	131.01	N/A	N/A	15	14	69	31
2022-08-09	$37.81	$38.00	42.9%	7.5%	27.5%	31.6%	0.0%	2.8%	3.2%	5.3K	-82.1K	-596	0.20	130.94	N/A	N/A	10	2	69	31
2022-08-10	$39.16	$38.00	26.9%	7.7%	29.5%	10.0%	0.0%	6.5%	-1.4%	9.5K	-130.5K	-580	0.00	129.49	N/A	N/A	0	0	79	29
2022-08-11	$39.30	$38.00	27.2%	7.8%	28.8%	10.4%	26.8%	-1.8%	0.5%	11.3K	-130.3K	-551	0.00	126.39	N/A	N/A	15	0	79	29
2022-08-12	$39.96	$38.00	24.9%	7.1%	28.5%	7.2%	0.0%	-8.8%	3.4%	10.7K	-148.2K	-528	0.00	128.03	N/A	N/A	0	0	69	29
2022-08-15	$39.92	$38.00	24.4%	7.0%	28.7%	6.5%	0.0%	-7.1%	2.9%	11.6K	-146.9K	-517	0.00	128.94	N/A	N/A	0	0	69	29
2022-08-16	$40.38	$38.00	23.2%	6.6%	25.3%	4.9%	0.0%	-2.3%	5.1%	9.7K	-167.0K	-482	0.00	128.35	N/A	N/A	0	0	69	29
2022-08-17	$39.64	$38.00	25.8%	7.4%	26.2%	8.4%	0.0%	-8.3%	0.8%	8.3K	-139.6K	-506	0.00	128.44	N/A	N/A	15	0	69	29
2022-08-18	$40.03	$38.00	25.3%	7.2%	26.2%	7.8%	0.0%	-6.4%	3.3%	14.6K	-166.1K	-625	0.00	131.40	N/A	N/A	0	0	84	29
2022-08-19	$39.32	$38.00	26.5%	7.6%	26.6%	9.4%	0.0%	-2.5%	0.4%	10.8K	-138.3K	-602	0.00	125.44	N/A	N/A	0	0	84	29
2022-08-22	$38.40	$38.00	24.9%	7.1%	28.4%	7.3%	0.0%	7.3%	0.1%	5.2K	-98.4K	-616	0.00	130.86	N/A	N/A	0	0	73	29
2022-08-23	$38.70	$38.00	32.7%	9.4%	27.9%	17.8%	0.0%	8.3%	-6.2%	5.7K	-105.2K	-594	0.00	132.76	N/A	N/A	0	0	73	29
2022-08-24	$38.65	$38.00	27.6%	7.9%	26.0%	10.9%	0.0%	5.6%	-1.5%	5.8K	-102.6K	-575	0.00	124.48	N/A	N/A	0	0	73	29
2022-08-25	$39.45	$38.00	33.1%	9.5%	26.6%	18.3%	24.4%	3.5%	-8.4%	7.2K	-125.5K	-572	0.00	129.90	N/A	N/A	1	0	73	29
2022-08-26	$38.22	$38.00	24.6%	7.1%	29.1%	6.9%	0.0%	7.2%	5.1%	5.0K	-94.1K	-598	0.00	132.81	N/A	N/A	1	0	74	29
2022-08-29	$37.96	$38.00	26.3%	7.6%	29.0%	9.2%	0.0%	2.4%	-2.3%	5.0K	-85.4K	-568	0.00	133.53	N/A	N/A	0	0	74	29
2022-08-30	$37.31	$38.00	39.0%	11.2%	29.3%	26.3%	0.0%	4.3%	-9.7%	4.2K	-66.4K	-574	0.00	132.44	N/A	N/A	0	0	74	29
2022-08-31	$36.82	$38.00	38.1%	10.9%	28.8%	25.1%	58.3%	3.7%	-11.7%	3.7K	-60.7K	-559	0.56	133.09	N/A	N/A	25	14	74	29