CALF Options History — October 2022

In October 2022, CALF traded between $33.64 and $37.65. ATM implied volatility averaged 37.8%, placing in the 24.6% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 5.3% (HV 20d: 32.5%). Max pain ranged from $37.00 to $39.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.53.

Notable Days

2022-10-13: Highest Volume — 40 contracts
2022-10-12: Largest IV drop — 32.8% change
2022-10-11: Highest IV Rank — 44.7%
2022-10-03: Largest Expected Move — 11.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.37	$33.64	$37.65	$33.64	$37.65
Max Pain	$38.70	$37.00	$39.00	$37.00	$39.00
ATM IV	37.8%	31.2%	52.6%	40.8%	38.7%
Expected Move	10.1%	8.9%	11.7%	11.7%	11.1%
HV 20d	32.5%	25.2%	37.4%	35.5%	25.2%
HV 60d	30.5%	29.6%	31.3%	30.5%	30.6%
IV Rank	24.6%	15.6%	44.7%	28.8%	25.5%
IV Percentile	64.0%	31.7%	95.6%	81.3%	75.0%
Term Structure	-1.8%	-9.0%	11.0%	-9.0%	-7.3%
VWIV	37.3%	31.6%	44.3%	44.3%	33.3%
Skew 25d	6.0%	2.2%	15.8%	6.1%	10.6%
Skew 10d	13.6%	3.4%	34.3%	7.0%	4.7%
Call IV 25d	33.4%	25.7%	42.0%	42.0%	32.2%
Put IV 25d	39.4%	33.7%	48.0%	48.0%	42.8%
Bid-Ask Spread %	129.15	120.82	134.11	127.83	132.54
Gamma HHI	0.27	0.22	0.36	0.23	0.30
Net GEX	685	63	2.0K	76	2.0K
Net DEX	-16.9K	-70.7K	16.8K	16.8K	-70.7K
Net VEX	-345	-373	-295	-351	-351
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.53	0.36	0.58	0.58	0.44
Total Volume	36.333	27	40	38	36
Total OI	78.714	61	88	83	68

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
2022-10-03	$33.64	$37.00	40.8%	11.7%	35.5%	28.8%	44.3%	6.1%	-9.0%	76	16.8K	-351	0.58	127.83	N/A	N/A	24	14	54	29
2022-10-04	$34.75	$37.00	35.8%	10.3%	37.4%	21.9%	37.1%	15.1%	-4.0%	143	-528	-365	0.58	126.62	N/A	N/A	24	14	54	29
2022-10-05	$34.97	$37.00	35.5%	10.2%	37.2%	21.6%	40.3%	15.8%	-0.6%	289	-1.8K	-373	0.58	120.82	N/A	N/A	24	14	54	29
2022-10-06	$35.03	$0.00	42.0%	9.2%	37.1%	30.3%	31.6%	4.0%	-1.2%	440	-5.8K	-370	0.56	129.37	N/A	N/A	25	14	54	29
2022-10-07	$34.24	$39.00	45.0%	9.9%	36.9%	34.4%	0.0%	2.8%	-5.6%	349	1.9K	-368	0.58	129.68	N/A	N/A	24	14	55	29
2022-10-10	$34.38	$39.00	49.0%	9.1%	36.6%	39.8%	0.0%	4.2%	4.0%	313	2.6K	-355	0.58	129.48	N/A	N/A	24	14	55	29
2022-10-11	$34.29	$39.00	52.6%	9.9%	32.5%	44.7%	0.0%	2.4%	-4.0%	333	3.9K	-352	0.58	126.09	N/A	N/A	24	14	55	29
2022-10-12	$34.56	$39.00	35.4%	10.1%	31.8%	21.4%	0.0%	4.5%	-2.8%	514	-1.5K	-366	0.58	131.09	N/A	N/A	24	14	55	29
2022-10-13	$35.20	$39.00	32.8%	9.4%	32.6%	17.9%	33.3%	4.7%	-1.4%	663	-9.8K	-356	0.54	128.66	N/A	N/A	26	14	55	29
2022-10-14	$34.34	$39.00	36.4%	10.4%	32.1%	22.6%	0.0%	2.2%	-5.4%	527	-3.1K	-371	0.54	131.19	N/A	N/A	26	14	59	29
2022-10-17	$35.05	$39.00	34.5%	9.9%	32.6%	20.0%	0.0%	5.6%	-1.9%	63	-5.7K	-350	0.54	130.22	N/A	N/A	26	14	59	29
2022-10-18	$35.52	$39.00	34.8%	10.0%	32.6%	20.5%	0.0%	3.8%	-2.7%	851	-19.3K	-361	0.54	132.34	N/A	N/A	26	14	59	29
2022-10-19	$34.80	$39.00	36.9%	10.6%	33.1%	23.3%	0.0%	3.0%	-6.2%	469	-5.9K	-347	0.54	132.54	N/A	N/A	26	14	59	29
2022-10-20	$34.56	$39.00	37.8%	10.8%	32.7%	24.5%	0.0%	3.5%	8.8%	364	-3.6K	-336	0.54	134.02	N/A	N/A	26	14	59	29
2022-10-21	$35.58	$39.00	34.9%	10.0%	31.5%	20.6%	0.0%	6.8%	-4.2%	867	-7.7K	-331	0.54	127.78	N/A	N/A	26	14	59	29
2022-10-24	$36.00	$39.00	36.3%	10.4%	31.1%	22.5%	0.0%	5.8%	11.0%	1.0K	-36.0K	-323	0.50	134.11	N/A	N/A	18	9	41	20
2022-10-25	$36.71	$39.00	31.2%	8.9%	31.5%	15.6%	0.0%	2.6%	3.4%	1.2K	-47.3K	-317	0.50	128.58	N/A	N/A	18	9	41	20
2022-10-26	$36.92	$39.00	33.0%	9.5%	29.3%	18.1%	0.0%	5.1%	0.7%	1.3K	-51.3K	-300	0.50	123.51	N/A	N/A	18	9	41	20
2022-10-27	$36.93	$39.00	35.5%	10.2%	26.3%	21.5%	0.0%	7.8%	-5.1%	1.3K	-53.2K	-301	0.50	127.70	N/A	N/A	18	9	41	20
2022-10-28	$37.59	$39.00	35.2%	10.1%	26.5%	21.0%	0.0%	10.5%	-4.9%	1.4K	-55.9K	-295	0.36	127.97	N/A	N/A	25	9	41	20
2022-10-31	$37.65	$39.00	38.7%	11.1%	25.2%	25.5%	0.0%	10.6%	-7.3%	2.0K	-70.7K	-351	0.44	132.54	N/A	N/A	25	11	48	20