CALF Options History — December 2022

In December 2022, CALF traded between $35.31 and $39.11. ATM implied volatility averaged 31.7%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 8.7% (HV 20d: 23.1%). Max pain ranged from $34.00 to $36.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 2.83.

Notable Days

2022-12-16: Highest Volume — 1,831 contracts
2022-12-21: Largest IV spike — 64.7% change
2022-12-12: Highest IV Rank — 66.8%
2022-12-02: Largest Expected Move — 9.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.06	$35.31	$39.11	$39.09	$35.87
Max Pain	$35.62	$34.00	$36.00	$35.00	$36.00
ATM IV	31.7%	16.0%	70.1%	26.5%	20.5%
Expected Move	6.8%	4.6%	9.7%	7.6%	5.9%
HV 20d	23.1%	19.6%	31.3%	29.1%	22.3%
HV 60d	28.3%	25.9%	31.0%	30.6%	25.9%
IV Rank	15.9%	0.0%	66.8%	4.7%	5.8%
IV Percentile	33.5%	0.0%	98.8%	7.5%	2.4%
Term Structure	1.9%	-16.2%	11.2%	-2.3%	6.1%
VWIV	28.6%	10.6%	47.7%	30.2%	10.6%
Skew 25d	-1.4%	-15.4%	13.7%	-0.2%	-8.5%
Skew 10d	-0.1%	-13.8%	8.8%	1.8%	-3.2%
Call IV 25d	29.1%	18.4%	34.8%	24.8%	34.7%
Put IV 25d	27.7%	16.9%	33.3%	24.6%	26.1%
Bid-Ask Spread %	126.51	117.45	136.09	135.00	122.53
Gamma HHI	0.37	0.16	0.56	0.16	0.56
Net GEX	-4.9K	-14.4K	55	55	-9.1K
Net DEX	19.0K	-27.7K	82.0K	-24.2K	-20.2K
Net VEX	-375	-484	-227	-471	-227
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.83	1.67	4.00	4.00	1.67
Total Volume	88.238	0	1,831	0	0
Total OI	115.714	102	121	107	102

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
2022-12-01	$39.09	$35.00	26.5%	7.6%	29.1%	4.7%	0.0%	-0.2%	-2.3%	55	-24.2K	-471	0.00	135.00	N/A	N/A	0	0	50	57
2022-12-02	$39.11	$35.00	34.0%	9.7%	29.1%	15.3%	0.0%	-0.8%	-16.2%	-163	-27.7K	-411	0.00	134.81	N/A	N/A	0	0	50	57
2022-12-05	$37.93	$34.00	33.4%	7.8%	31.3%	14.5%	30.2%	2.6%	-1.6%	-558	-5.2K	-435	4.00	128.60	N/A	N/A	1	4	50	57
2022-12-06	$37.97	$34.00	44.4%	7.9%	30.8%	30.1%	0.0%	1.7%	-1.1%	-1.3K	881	-453	0.00	129.34	N/A	N/A	0	0	50	61
2022-12-07	$38.02	$34.00	42.0%	7.6%	30.8%	26.8%	32.1%	6.9%	-0.9%	-1.5K	-5.1K	-431	0.00	124.17	N/A	N/A	0	5	50	61
2022-12-08	$37.95	$36.00	49.6%	8.0%	27.7%	37.6%	29.1%	0.4%	-3.8%	-2.3K	11.5K	-484	0.00	127.23	N/A	N/A	0	2	50	69
2022-12-09	$37.52	$36.00	51.3%	7.8%	20.1%	40.0%	0.0%	-5.1%	-5.1%	-5.2K	543	-352	0.00	129.96	N/A	N/A	0	0	50	71
2022-12-12	$37.83	$36.00	70.1%	6.7%	19.6%	66.8%	0.0%	11.7%	4.4%	-2.9K	14.3K	-467	0.00	130.54	N/A	N/A	0	0	50	71
2022-12-13	$38.11	$36.00	57.1%	6.7%	19.8%	48.2%	0.0%	13.7%	-0.4%	-1.9K	4.0K	-448	0.00	119.97	N/A	N/A	0	0	50	71
2022-12-14	$37.72	$36.00	27.1%	7.8%	19.6%	5.5%	0.0%	-0.0%	-3.4%	-2.9K	11.7K	-427	0.00	128.29	N/A	N/A	0	0	50	71
2022-12-15	$36.84	$36.00	28.2%	8.1%	19.8%	7.1%	0.0%	7.2%	10.8%	-4.6K	32.7K	-425	0.00	129.96	N/A	N/A	0	0	50	71
2022-12-16	$36.42	$36.00	19.8%	5.7%	20.1%	0.0%	47.7%	-1.0%	9.2%	-4.9K	46.3K	-415	1.67	136.09	N/A	N/A	686	1,145	50	71
2022-12-19	$35.88	$36.00	18.0%	5.2%	19.7%	0.0%	0.0%	-9.7%	6.6%	-9.4K	35.5K	-272	0.00	127.40	N/A	N/A	0	0	47	70
2022-12-20	$35.89	$36.00	18.1%	5.2%	19.6%	0.1%	0.0%	-10.7%	6.6%	-9.5K	35.8K	-259	0.00	123.69	N/A	N/A	0	0	47	70
2022-12-21	$36.52	$36.00	29.8%	8.5%	19.7%	15.6%	0.0%	-5.7%	-6.5%	-6.0K	35.9K	-343	0.00	128.13	N/A	N/A	0	0	47	70
2022-12-22	$35.78	$36.00	17.3%	5.0%	20.5%	0.0%	0.0%	-3.8%	6.9%	-7.2K	54.7K	-330	0.00	117.45	N/A	N/A	0	0	47	70
2022-12-23	$36.22	$36.00	20.4%	5.8%	21.2%	4.1%	0.0%	-4.0%	6.1%	-7.0K	39.5K	-325	0.00	119.84	N/A	N/A	0	0	47	70
2022-12-27	$36.25	$36.00	21.5%	6.2%	20.2%	5.5%	0.0%	-7.9%	8.6%	-6.9K	39.3K	-317	0.00	123.81	N/A	N/A	0	0	47	70
2022-12-28	$35.31	$36.00	21.8%	6.2%	21.5%	5.9%	21.8%	-0.0%	11.2%	-6.1K	82.0K	-336	0.00	117.46	N/A	N/A	0	4	47	70
2022-12-29	$35.97	$36.00	16.0%	4.6%	22.3%	0.0%	10.6%	-15.4%	5.8%	-14.4K	36.7K	-242	0.00	122.35	N/A	N/A	0	6	47	74
2022-12-30	$35.87	$36.00	20.5%	5.9%	22.3%	5.8%	0.0%	-8.5%	6.1%	-9.1K	-20.2K	-227	0.00	122.53	N/A	N/A	0	0	47	55