CALF Options History — March 2023

In March 2023, CALF traded between $36.30 and $40.29. ATM implied volatility averaged 32.7%, placing in the 21.6% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 9.6% (HV 20d: 23.2%). Max pain ranged from $31.00 to $40.00. Net GEX was positive for 10 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 3.61.

Notable Days

  • 2023-03-06: Highest Volume — 1,660 contracts
  • 2023-03-13: Largest IV spike — 63.7% change
  • 2023-03-13: Highest IV Rank — 71.6%
  • 2023-03-20: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.80$36.30$40.29$39.64$37.94
Max Pain$33.91$31.00$40.00$40.00$35.00
ATM IV32.7%23.3%71.5%23.6%29.5%
Expected Move7.7%5.7%10.2%6.8%8.5%
HV 20d23.2%18.5%26.3%21.5%26.3%
HV 60d22.1%20.4%23.1%21.2%22.5%
IV Rank21.6%9.4%71.6%9.8%17.4%
IV Percentile37.0%7.9%98.8%7.9%34.1%
Term Structure-2.2%-8.2%16.1%-2.1%-8.0%
VWIV32.3%24.1%42.9%24.1%30.0%
Skew 25d3.7%-15.4%13.2%5.5%10.0%
Skew 10d3.7%-15.2%19.8%-14.2%-10.5%
Call IV 25d24.1%16.7%32.3%22.3%23.5%
Put IV 25d27.7%16.2%34.7%27.8%33.5%
Bid-Ask Spread %119.99111.37129.38117.69125.11
Gamma HHI0.370.250.490.460.26
Net GEX-53.4K-190.8K18.7K-190.8K18.2K
Net DEX767.5K-216.5K2.4M892.1K-159.3K
Net VEX-4.9K-6.5K-4.1K-5.7K-4.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.610.0015.000.001.67
Total Volume74.65201,66000
Total OI891.4355171,2131,085546

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-03-01$39.64$40.0023.6%6.8%21.5%9.8%0.0%5.5%-2.1%-190.8K892.1K-5.7K0.00117.69N/AN/A00251834
2023-03-02$39.84$40.0028.2%8.1%18.5%15.8%0.0%-1.8%-4.6%-169.1K977.2K-5.7K0.00114.36N/AN/A00251834
2023-03-03$40.29$40.0027.4%7.9%18.6%14.7%0.0%-15.4%-5.7%-128.4K689.8K-5.5K0.00111.37N/AN/A00251834
2023-03-06$39.33$31.0027.5%6.4%20.3%14.9%0.0%2.5%2.6%-154.1K1.1M-5.3K0.00116.56N/AN/A1,6600252834
2023-03-07$39.05$31.0033.0%6.0%19.5%22.0%0.0%6.9%-2.0%-119.7K982.6K-6.5K0.00123.15N/AN/A00368834
2023-03-08$39.14$31.0033.7%6.5%19.2%22.9%0.0%-2.5%-3.5%-120.5K985.3K-6.4K0.00121.00N/AN/A00368834
2023-03-09$38.70$31.0032.6%5.7%19.1%21.4%0.0%7.5%-0.9%-157.4K1.2M-6.2K0.00121.11N/AN/A00368834
2023-03-10$37.55$31.0043.7%8.7%21.3%35.7%0.0%3.5%-2.6%-72.0K1.4M-5.9K0.00118.76N/AN/A00368834
2023-03-13$36.94$31.0071.5%9.4%21.7%71.6%0.0%3.7%-4.1%-74.6K1.8M-5.1K0.00123.59N/AN/A10368834
2023-03-14$37.16$31.0069.7%8.2%21.4%69.3%24.1%2.2%-2.4%-74.5K1.7M-5.2K5.00129.38N/AN/A15368834
2023-03-15$36.30$31.0030.6%8.8%22.3%18.9%0.0%4.8%-3.5%-39.3K2.3M-4.2K0.00121.60N/AN/A10369829
2023-03-16$37.26$31.0025.7%7.4%24.6%12.5%0.0%3.0%16.1%-80.1K2.2M-4.4K0.00121.23N/AN/A018368829
2023-03-17$36.38$31.0028.5%8.2%25.6%16.2%42.9%8.6%-0.0%-12.4K2.4M-4.1K0.00118.12N/AN/A02368845
2023-03-20$36.80$35.0035.5%10.2%26.3%25.2%0.0%11.5%-7.8%15.1K-56.2K-4.2K0.00115.48N/AN/A00345172
2023-03-21$37.58$35.0023.3%6.7%25.4%9.4%0.0%-2.7%-0.2%16.2K-216.5K-4.5K0.00119.76N/AN/A01345172
2023-03-22$37.03$35.0027.1%7.8%25.8%14.3%0.0%7.1%-2.8%16.9K-191.1K-4.4K0.00122.36N/AN/A04345173
2023-03-23$36.44$35.0030.4%8.7%25.4%18.6%0.0%5.9%-2.0%14.3K-98.1K-4.3K15.00121.53N/AN/A115345177
2023-03-24$36.70$35.0027.7%7.9%25.5%15.1%30.0%2.1%-4.9%13.9K44.5K-4.2K1.67116.77N/AN/A35346192
2023-03-27$37.30$35.0028.0%8.0%26.2%15.5%0.0%5.3%-3.9%16.9K-18.3K-4.3K0.00119.23N/AN/A00349197
2023-03-28$37.23$35.0023.6%6.8%26.1%9.8%0.0%8.3%1.9%16.8K-98.3K-4.5K0.00112.96N/AN/A00349197
2023-03-29$37.44$35.0023.6%6.8%26.2%9.8%0.0%13.2%-2.0%18.7K-49.1K-4.3K0.00124.67N/AN/A00349197
2023-03-30$37.38$35.0028.7%8.2%26.0%16.4%0.0%-4.2%-8.2%18.7K-83.2K-4.4K0.00123.96N/AN/A00349197
2023-03-31$37.94$35.0029.5%8.5%26.3%17.4%0.0%10.0%-8.0%18.2K-159.3K-4.6K0.00125.11N/AN/A00349197