CALF Options History — January 2023 In January 2023, CALF traded between $35.55 and $39.56. ATM implied volatility averaged 28.1%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 6.9% (HV 20d: 21.2%). Max pain ranged from $36.00 to $37.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2023-01-05 : Highest Volume — 71 contracts2023-01-11 : Largest IV drop — 49.6% change2023-01-09 : Highest IV Rank — 35.2%2023-01-23 : Largest Expected Move — 8.5%Monthly Statistics Metric Avg Min Max Open Close Price $37.75 $35.55 $39.56 $35.55 $39.56 Max Pain $36.87 $36.00 $37.00 $36.00 $37.00 ATM IV 28.1% 21.4% 43.3% 22.8% 26.4% Expected Move 7.5% 6.1% 8.5% 6.5% 7.6% HV 20d 21.2% 16.7% 23.7% 22.3% 18.1% HV 60d 25.0% 24.1% 26.1% 26.0% 24.1% IV Rank 15.6% 7.0% 35.2% 8.7% 13.4% IV Percentile 20.3% 2.8% 84.9% 3.6% 10.7% Term Structure -2.9% -8.2% 4.2% 3.1% -4.8% VWIV 21.8% 21.2% 22.4% 22.4% 21.2% Skew 25d 1.6% -6.8% 4.3% -1.6% -4.3% Skew 10d 4.0% -4.5% 8.2% 7.2% 3.3% Call IV 25d 28.8% 20.4% 36.7% 33.8% 30.8% Put IV 25d 30.4% 21.0% 34.8% 32.2% 26.4% Bid-Ask Spread % 129.57 113.01 138.80 113.01 129.47 Gamma HHI 0.45 0.37 0.66 0.55 0.40 Net GEX 3.0K -9.3K 12.9K -8.3K 12.9K Net DEX -184.5K -252.2K 702 702 -248.1K Net VEX -811 -981 -215 -249 -954 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 5.25 0 71 0 0 Total OI 139.05 88 175 102 113
Daily Data (20 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 2023-01-03 $35.55 $36.00 22.8% 6.5% 22.3% 8.7% 0.0% -1.6% 3.1% -8.3K 702 -249 0.00 113.01 N/A N/A 0 0 47 55 2023-01-04 $35.73 $36.00 22.2% 6.4% 20.3% 8.1% 0.0% -6.8% 4.1% -9.2K -12.3K -220 0.00 121.86 N/A N/A 0 0 47 55 2023-01-05 $35.69 $0.00 22.4% 7.2% 20.3% 8.2% 0.0% 2.6% 0.2% -9.3K -8.5K -215 0.00 127.89 N/A N/A 71 0 47 55 2023-01-06 $36.69 $0.00 31.1% 6.9% 23.0% 19.5% 0.0% -2.7% 0.0% -8.3K -183.1K -901 0.00 125.25 N/A N/A 0 1 118 55 2023-01-09 $36.64 $0.00 43.3% 8.0% 23.0% 35.2% 0.0% 2.6% -2.1% -161 -166.8K -981 0.00 134.51 N/A N/A 0 0 118 55 2023-01-10 $37.05 $0.00 42.5% 7.9% 23.2% 34.2% 0.0% 2.3% -3.4% -23 -186.3K -931 0.00 138.80 N/A N/A 0 0 118 55 2023-01-11 $37.40 $0.00 21.4% 6.1% 23.2% 7.0% 22.4% 0.6% 4.2% 782 -209.2K -923 0.00 131.04 N/A N/A 0 1 118 55 2023-01-12 $37.98 $37.00 26.6% 7.6% 23.7% 13.6% 0.0% 2.1% -3.0% 2.5K -215.0K -929 0.00 132.83 N/A N/A 0 3 118 56 2023-01-13 $38.23 $37.00 24.6% 7.1% 23.5% 11.1% 0.0% 2.7% -1.5% 3.1K -231.7K -906 0.00 131.60 N/A N/A 1 0 118 56 2023-01-17 $38.01 $37.00 28.7% 8.2% 21.9% 16.4% 0.0% 2.5% -5.9% 2.8K -228.1K -891 0.00 137.79 N/A N/A 0 0 119 56 2023-01-18 $37.52 $37.00 26.7% 7.7% 22.0% 13.8% 0.0% 2.1% -5.1% 1.8K -240.2K -862 0.00 131.64 N/A N/A 0 0 119 56 2023-01-19 $37.45 $37.00 28.4% 8.1% 21.2% 16.0% 0.0% 3.7% -1.6% 1.6K -194.5K -875 0.00 134.07 N/A N/A 2 0 118 56 2023-01-20 $37.97 $37.00 29.0% 8.3% 21.6% 16.8% 0.0% 3.7% -3.0% 2.7K -220.0K -857 0.00 135.51 N/A N/A 0 2 119 56 2023-01-23 $38.76 $37.00 29.5% 8.5% 21.9% 17.4% 21.2% 4.2% -7.8% 8.0K -187.6K -844 0.00 131.95 N/A N/A 1 0 84 4 2023-01-24 $38.62 $37.00 27.7% 7.9% 20.3% 15.1% 0.0% 4.0% -8.2% 8.1K -196.1K -836 0.00 130.18 N/A N/A 22 0 85 4 2023-01-25 $38.91 $37.00 26.0% 7.4% 20.1% 12.9% 0.0% 4.3% -6.4% 12.6K -223.6K -972 0.00 123.15 N/A N/A 0 0 107 4 2023-01-26 $39.05 $37.00 26.4% 7.6% 20.0% 13.5% 0.0% 3.2% -5.1% 12.4K -242.3K -972 0.00 125.56 N/A N/A 0 0 107 4 2023-01-27 $39.40 $37.00 27.6% 7.9% 16.7% 14.9% 0.0% 2.8% -4.2% 12.6K -252.2K -953 0.00 128.49 N/A N/A 1 0 107 4 2023-01-30 $38.81 $37.00 28.1% 8.1% 17.4% 15.6% 0.0% 3.9% -7.0% 12.6K -244.7K -942 0.00 126.76 N/A N/A 0 0 109 4 2023-01-31 $39.56 $37.00 26.4% 7.6% 18.1% 13.4% 0.0% -4.3% -4.8% 12.9K -248.1K -954 0.00 129.47 N/A N/A 0 0 109 4
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