CALF Options History — November 2022

In November 2022, CALF traded between $36.48 and $39.31. ATM implied volatility averaged 32.6%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 3.7% (HV 20d: 28.9%). Max pain ranged from $35.00 to $39.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.43.

Notable Days

2022-11-01: Highest Volume — 42 contracts
2022-11-02: Largest IV spike — 49.8% change
2022-11-02: Highest IV Rank — 30.4%
2022-11-02: Largest Expected Move — 12.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.29	$36.48	$39.31	$37.76	$39.16
Max Pain	$35.33	$35.00	$39.00	$39.00	$35.00
ATM IV	32.6%	24.6%	42.7%	28.5%	36.0%
Expected Move	8.9%	7.0%	12.2%	8.2%	10.3%
HV 20d	28.9%	23.1%	33.2%	23.1%	31.0%
HV 60d	30.8%	29.3%	32.0%	30.5%	30.7%
IV Rank	15.4%	2.0%	30.4%	10.9%	18.2%
IV Percentile	37.9%	2.0%	83.3%	19.0%	58.7%
Term Structure	-3.3%	-10.3%	10.6%	-1.2%	-9.7%
VWIV	31.9%	28.1%	35.1%	31.7%	28.1%
Skew 25d	4.9%	-1.6%	13.2%	11.3%	7.9%
Skew 10d	4.5%	-1.0%	10.1%	6.2%	3.5%
Call IV 25d	29.5%	19.9%	35.1%	31.2%	31.9%
Put IV 25d	34.4%	23.4%	45.3%	42.5%	39.8%
Bid-Ask Spread %	131.62	125.66	137.19	129.92	134.00
Gamma HHI	0.22	0.17	0.32	0.32	0.17
Net GEX	1.6K	-364	3.5K	1.8K	-364
Net DEX	-70.4K	-106.9K	-12.5K	-71.0K	-24.2K
Net VEX	-338	-448	-147	-357	-404
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.43	0.00	0.62	0.62	0.00
Total Volume	31.81	0	42	42	2
Total OI	80	70	105	70	105

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
2022-11-01	$37.76	$39.00	28.5%	8.2%	23.1%	10.9%	31.7%	11.3%	-1.2%	1.8K	-71.0K	-357	0.62	129.92	N/A	N/A	26	16	48	22
2022-11-02	$36.77	$38.00	42.7%	12.2%	25.6%	30.4%	0.0%	13.2%	-8.7%	1.0K	-45.9K	-396	0.44	130.50	N/A	N/A	25	11	49	27
2022-11-03	$36.72	$35.00	38.9%	8.4%	25.6%	25.2%	29.6%	-0.7%	-0.4%	963	-46.6K	-388	0.44	127.59	N/A	N/A	25	11	49	27
2022-11-04	$37.07	$35.00	41.9%	9.1%	23.9%	29.2%	35.0%	4.0%	0.9%	1.3K	-53.9K	-380	0.44	127.69	N/A	N/A	25	11	49	27
2022-11-07	$37.67	$35.00	32.1%	8.7%	24.3%	15.9%	35.1%	2.6%	-2.6%	1.6K	-66.5K	-368	0.44	135.40	N/A	N/A	25	11	49	27
2022-11-08	$37.83	$35.00	36.2%	8.3%	24.1%	21.4%	34.9%	2.1%	-0.9%	1.6K	-68.3K	-363	0.44	129.97	N/A	N/A	25	11	49	27
2022-11-09	$36.48	$35.00	32.1%	9.2%	28.2%	15.9%	29.3%	-1.6%	-4.1%	826	-42.9K	-373	0.42	131.83	N/A	N/A	26	11	49	27
2022-11-10	$38.50	$35.00	30.6%	8.8%	33.2%	13.8%	34.2%	1.8%	-4.0%	2.1K	-85.1K	-315	0.42	134.38	N/A	N/A	26	11	49	27
2022-11-11	$39.04	$35.00	28.0%	8.0%	31.4%	10.2%	33.0%	2.7%	-0.8%	2.5K	-85.0K	-320	0.42	125.95	N/A	N/A	26	11	49	27
2022-11-14	$38.86	$35.00	29.4%	8.4%	31.2%	12.1%	34.7%	1.2%	-1.6%	2.8K	-89.0K	-326	0.42	131.72	N/A	N/A	26	11	49	27
2022-11-15	$39.27	$35.00	31.3%	9.0%	31.1%	14.7%	32.6%	3.2%	-6.4%	3.0K	-96.8K	-314	0.41	133.87	N/A	N/A	27	11	49	27
2022-11-16	$38.42	$35.00	25.1%	7.2%	31.3%	6.3%	29.9%	4.6%	10.6%	2.7K	-80.4K	-325	0.41	130.26	N/A	N/A	27	11	50	27
2022-11-17	$38.42	$35.00	28.4%	8.1%	31.0%	9.9%	31.7%	0.5%	-3.9%	2.7K	-83.3K	-309	0.41	131.31	N/A	N/A	27	11	51	27
2022-11-18	$38.89	$35.00	31.1%	8.9%	29.9%	13.6%	32.4%	12.1%	-3.0%	3.5K	-92.7K	-298	0.52	132.65	N/A	N/A	27	14	51	27
2022-11-21	$38.50	$35.00	24.6%	7.0%	30.2%	2.0%	28.8%	3.5%	1.3%	1.3K	-78.8K	-321	0.41	125.66	N/A	N/A	27	11	47	30
2022-11-22	$39.17	$35.00	28.1%	8.1%	30.0%	7.1%	29.4%	7.6%	-1.5%	1.2K	-106.9K	-147	0.56	134.66	N/A	N/A	27	15	48	30
2022-11-23	$39.15	$35.00	32.3%	9.2%	30.0%	12.9%	28.1%	-1.3%	-4.8%	1.0K	-86.7K	-306	0.52	131.67	N/A	N/A	27	14	48	34
2022-11-25	$39.31	$35.00	33.2%	9.5%	30.0%	14.2%	0.0%	3.8%	-7.4%	1.1K	-87.9K	-317	0.00	134.93	N/A	N/A	0	0	48	37
2022-11-28	$38.48	$35.00	36.8%	10.5%	30.7%	19.3%	0.0%	13.1%	-10.3%	555	-74.8K	-319	0.00	132.82	N/A	N/A	0	20	48	37
2022-11-29	$38.72	$35.00	36.6%	10.5%	30.8%	19.1%	0.0%	11.6%	-9.8%	-315	-12.5K	-448	0.00	137.19	N/A	N/A	0	0	48	57
2022-11-30	$39.16	$35.00	36.0%	10.3%	31.0%	18.2%	0.0%	7.9%	-9.7%	-364	-24.2K	-404	0.00	134.00	N/A	N/A	2	0	48	57