CALF Options History — September 2022

In September 2022, CALF traded between $32.11 and $36.69. ATM implied volatility averaged 42.1%, placing in the 30.5% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 12.8% (HV 20d: 29.3%). Max pain ranged from $37.00 to $38.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.57.

Notable Days

2022-09-06: Highest Volume — 39 contracts
2022-09-14: Largest IV drop — 57.6% change
2022-09-13: Highest IV Rank — 76.3%
2022-09-29: Largest Expected Move — 12.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.50	$32.11	$36.69	$35.99	$32.66
Max Pain	$37.10	$37.00	$38.00	$38.00	$37.00
ATM IV	42.1%	32.0%	76.0%	41.3%	41.8%
Expected Move	9.9%	6.9%	12.1%	11.8%	12.0%
HV 20d	29.3%	23.6%	33.8%	29.7%	33.3%
HV 60d	30.4%	29.0%	33.7%	33.7%	29.9%
IV Rank	30.5%	16.8%	76.3%	29.4%	30.0%
IV Percentile	73.4%	41.3%	99.2%	84.3%	83.3%
Term Structure	-4.6%	-11.9%	0.7%	-11.9%	-8.1%
VWIV	36.0%	22.9%	46.3%	26.9%	46.3%
Skew 25d	5.4%	-6.3%	20.1%	18.3%	2.5%
Skew 10d	-1.2%	-35.7%	27.6%	-27.1%	-1.1%
Call IV 25d	34.0%	18.4%	46.8%	28.7%	43.9%
Put IV 25d	39.4%	32.3%	47.0%	47.0%	46.4%
Bid-Ask Spread %	130.51	121.58	137.02	133.98	131.07
Gamma HHI	0.20	0.16	0.24	0.16	0.22
Net GEX	1.2K	-28	3.3K	2.7K	117
Net DEX	-6.9K	-50.3K	28.8K	-38.5K	22.2K
Net VEX	-425	-531	-331	-531	-348
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.57	0.56	0.58	0.56	0.58
Total Volume	16.476	0	39	0	38
Total OI	92.952	83	102	102	83

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
2022-09-01	$35.99	$38.00	41.3%	11.8%	29.7%	29.4%	0.0%	18.3%	-11.9%	2.7K	-38.5K	-531	0.00	133.98	N/A	N/A	0	0	73	29
2022-09-02	$35.76	$38.00	38.3%	11.0%	29.5%	25.4%	0.0%	20.1%	-10.4%	2.4K	-36.2K	-502	0.00	127.97	N/A	N/A	0	0	73	29
2022-09-06	$35.34	$37.00	47.8%	8.8%	28.8%	38.2%	26.9%	1.8%	-1.6%	2.1K	-27.2K	-489	0.56	130.95	N/A	N/A	25	14	73	29
2022-09-07	$35.79	$37.00	45.0%	6.9%	27.5%	34.4%	22.9%	14.7%	-2.5%	2.1K	-27.6K	-469	0.56	133.96	N/A	N/A	25	14	73	29
2022-09-08	$35.49	$37.00	51.4%	8.5%	23.6%	43.1%	0.0%	2.6%	-1.8%	2.2K	-28.5K	-495	0.00	135.38	N/A	N/A	0	0	73	29
2022-09-09	$36.29	$37.00	50.6%	8.1%	25.3%	41.9%	0.0%	4.0%	-3.1%	2.8K	-40.9K	-474	0.00	137.02	N/A	N/A	0	0	73	29
2022-09-12	$36.69	$37.00	63.1%	8.0%	24.8%	58.9%	0.0%	10.6%	-1.3%	3.3K	-50.3K	-482	0.00	134.08	N/A	N/A	0	0	73	29
2022-09-13	$34.96	$37.00	76.0%	9.5%	29.3%	76.3%	28.2%	2.8%	-6.0%	1.5K	-15.1K	-446	0.56	132.72	N/A	N/A	25	14	73	29
2022-09-14	$35.63	$37.00	32.2%	9.2%	30.0%	17.1%	0.0%	6.7%	-1.0%	2.1K	-22.1K	-454	0.00	133.48	N/A	N/A	0	0	73	29
2022-09-15	$35.42	$37.00	32.1%	9.2%	29.6%	16.9%	0.0%	5.8%	-1.3%	1.7K	-15.5K	-440	0.00	133.13	N/A	N/A	0	0	73	29
2022-09-16	$34.42	$37.00	32.9%	9.4%	30.1%	18.0%	30.8%	4.7%	-2.6%	470	2.0K	-425	0.56	134.27	N/A	N/A	25	14	73	29
2022-09-19	$34.88	$37.00	33.7%	9.7%	30.7%	19.2%	0.0%	2.9%	-4.9%	632	-6.7K	-429	0.00	133.80	N/A	N/A	0	0	54	29
2022-09-20	$34.49	$37.00	34.3%	9.8%	30.1%	19.9%	0.0%	4.1%	-4.4%	501	924	-419	0.00	129.28	N/A	N/A	0	0	54	29
2022-09-21	$34.01	$37.00	34.2%	9.8%	29.8%	19.8%	0.0%	2.1%	-3.6%	-28	6.3K	-371	0.00	127.14	N/A	N/A	0	0	54	29
2022-09-22	$33.47	$37.00	32.0%	9.2%	29.9%	16.8%	0.0%	4.1%	0.7%	24	18.7K	-373	0.00	122.89	N/A	N/A	0	0	54	29
2022-09-23	$32.42	$37.00	37.5%	10.8%	29.3%	24.3%	0.0%	-6.3%	-5.0%	509	15.7K	-388	0.00	125.87	N/A	N/A	0	0	54	29
2022-09-26	$32.11	$37.00	38.5%	11.0%	28.1%	25.6%	38.4%	-2.4%	-7.4%	-13	28.8K	-331	0.58	121.58	N/A	N/A	24	14	54	29
2022-09-27	$32.38	$37.00	42.1%	12.1%	28.8%	30.5%	45.3%	2.5%	-7.1%	96	28.1K	-342	0.58	126.88	N/A	N/A	24	14	54	29
2022-09-28	$33.62	$37.00	37.6%	10.8%	32.7%	24.4%	40.8%	8.1%	-4.1%	230	16.1K	-375	0.58	127.68	N/A	N/A	24	14	54	29
2022-09-29	$32.62	$37.00	42.4%	12.1%	33.8%	30.9%	44.3%	3.4%	-10.0%	137	25.4K	-350	0.58	127.65	N/A	N/A	24	14	54	29
2022-09-30	$32.66	$37.00	41.8%	12.0%	33.3%	30.0%	46.3%	2.5%	-8.1%	117	22.2K	-348	0.58	131.07	N/A	N/A	24	14	54	29