CALF Options History — February 2023 In February 2023, CALF traded between $38.99 and $41.24. ATM implied volatility averaged 25.7%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 4.8% (HV 20d: 20.9%). Max pain ranged from $37.00 to $40.00. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 4.05.
Notable Days 2023-02-27 : Highest Volume — 1,386 contracts2023-02-28 : Largest IV drop — 28.3% change2023-02-06 : Highest IV Rank — 23.0%2023-02-27 : Largest Expected Move — 8.4%Monthly Statistics Metric Avg Min Max Open Close Price $40.10 $38.99 $41.24 $40.77 $39.53 Max Pain $39.84 $37.00 $40.00 $37.00 $40.00 ATM IV 25.7% 20.0% 33.8% 26.6% 21.1% Expected Move 6.9% 5.7% 8.4% 7.6% 6.0% HV 20d 20.9% 19.2% 23.2% 19.4% 22.5% HV 60d 22.0% 20.6% 24.9% 24.8% 21.2% IV Rank 12.6% 5.1% 23.0% 13.7% 6.5% IV Percentile 15.9% 2.0% 50.4% 13.5% 3.6% Term Structure -1.7% -13.6% 6.6% -6.2% 6.6% VWIV 28.1% 19.8% 39.2% 29.0% 39.2% Skew 25d 0.4% -9.7% 4.8% 2.9% -1.2% Skew 10d -0.0% -15.5% 17.0% 17.0% -12.1% Call IV 25d 23.5% 17.7% 36.7% 28.9% 26.1% Put IV 25d 23.9% 18.6% 31.8% 31.8% 24.9% Bid-Ask Spread % 121.22 111.78 126.94 126.94 120.33 Gamma HHI 0.35 0.30 0.45 0.41 0.45 Net GEX 1.1K -170.2K 19.4K 13.5K -170.2K Net DEX -203.0K -359.0K 1.0M -295.8K 1.0M Net VEX -2.2K -5.8K -855 -903 -5.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 4.05 0.00 32.00 0.14 32.00 Total Volume 133.474 0 1,386 8 5 Total OI 301.105 114 1,080 114 1,080
Daily Data (19 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 2023-02-01 $40.77 $37.00 26.6% 7.6% 19.4% 13.7% 29.0% 2.9% -6.2% 13.5K -295.8K -903 0.14 126.94 N/A N/A 7 1 110 4 2023-02-02 $41.16 $40.00 28.1% 6.1% 19.4% 15.6% 0.0% 2.9% 0.1% 12.6K -329.8K -855 0.00 123.16 N/A N/A 10 0 114 5 2023-02-03 $41.24 $40.00 28.7% 6.2% 19.2% 16.4% 0.0% 3.9% 1.6% 13.2K -359.0K -951 0.00 123.89 N/A N/A 0 0 124 5 2023-02-06 $40.50 $40.00 33.8% 7.0% 19.6% 23.0% 0.0% 1.2% 0.5% 13.8K -325.8K -981 0.00 126.03 N/A N/A 0 0 124 5 2023-02-07 $40.82 $40.00 32.3% 6.3% 19.5% 21.1% 0.0% 4.8% -1.9% 14.4K -322.5K -999 0.00 123.35 N/A N/A 1 0 124 5 2023-02-08 $40.27 $40.00 24.0% 6.9% 20.5% 10.4% 25.0% 4.2% 0.5% 14.5K -318.7K -989 0.33 121.51 N/A N/A 3 1 125 5 2023-02-09 $39.77 $40.00 20.0% 5.7% 21.2% 5.1% 0.0% 4.3% 1.4% 15.8K -310.3K -975 0.00 120.93 N/A N/A 0 0 128 5 2023-02-10 $39.86 $40.00 21.7% 6.2% 20.7% 7.4% 0.0% -0.5% 0.1% 15.9K -284.9K -1.0K 0.00 121.74 N/A N/A 0 0 128 5 2023-02-13 $40.27 $40.00 22.2% 6.4% 20.9% 8.0% 0.0% -5.6% 1.9% 16.9K -299.8K -998 0.00 117.39 N/A N/A 0 0 128 5 2023-02-14 $40.35 $40.00 24.2% 6.9% 20.6% 10.5% 0.0% 1.9% -0.5% 16.4K -306.9K -975 0.00 119.25 N/A N/A 0 0 128 5 2023-02-15 $40.64 $40.00 20.7% 5.9% 19.8% 6.1% 0.0% 3.6% -2.5% 19.4K -319.9K -963 2.66 115.26 N/A N/A 190 506 128 5 2023-02-16 $40.50 $40.00 21.9% 6.3% 19.9% 7.6% 19.8% -2.3% -6.0% -25.0K -226.7K -4.2K 1.27 125.92 N/A N/A 168 213 318 363 2023-02-17 $40.37 $40.00 25.6% 7.3% 19.6% 12.3% 0.0% 1.0% -9.7% -11.9K -159.1K -3.3K 0.00 124.20 N/A N/A 42 0 255 258 2023-02-21 $39.03 $40.00 26.5% 7.6% 22.5% 13.6% 0.0% -2.6% -0.4% 11.6K -248.1K -3.7K 0.00 121.96 N/A N/A 3 0 247 157 2023-02-22 $38.99 $40.00 27.6% 7.9% 22.4% 15.0% 0.0% 0.6% -1.9% 12.0K -202.6K -3.7K 0.00 124.63 N/A N/A 0 0 250 157 2023-02-23 $39.53 $40.00 27.0% 7.7% 22.8% 14.2% 0.0% -2.9% -13.6% 14.0K -197.4K -3.6K 0.00 111.78 N/A N/A 0 0 250 157 2023-02-24 $39.05 $40.00 27.7% 7.9% 23.2% 15.1% 0.0% 0.8% -0.8% 11.8K -140.7K -3.6K 0.00 121.75 N/A N/A 0 0 250 157 2023-02-27 $39.31 $40.00 29.4% 8.4% 23.1% 17.3% 27.4% -9.7% -2.3% 12.3K -225.8K -3.6K 32.00 113.17 N/A N/A 42 1,344 250 157 2023-02-28 $39.53 $40.00 21.1% 6.0% 22.5% 6.5% 39.2% -1.2% 6.6% -170.2K 1.0M -5.8K 0.00 120.33 N/A N/A 0 5 251 829
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