CALF Options History — April 2023 In April 2023, CALF traded between $36.03 and $38.44. ATM implied volatility averaged 22.4%, placing in the 8.7% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 0.9% (HV 20d: 23.3%). Max pain ranged from $33.00 to $42.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.76.
Notable Days 2023-04-24 : Highest Volume — 95 contracts2023-04-20 : Largest IV spike — 33.6% change2023-04-05 : Highest IV Rank — 18.9%2023-04-05 : Largest Expected Move — 8.8%Monthly Statistics Metric Avg Min Max Open Close Price $37.47 $36.03 $38.44 $38.44 $37.02 Max Pain $35.14 $33.00 $42.00 $35.00 $33.00 ATM IV 22.4% 15.3% 30.6% 28.8% 22.2% Expected Move 6.1% 4.4% 8.8% 8.3% 6.4% HV 20d 23.3% 18.5% 27.9% 25.7% 22.6% HV 60d 22.8% 22.3% 23.2% 22.6% 22.3% IV Rank 8.7% 0.0% 18.9% 16.5% 8.9% IV Percentile 10.9% 0.0% 39.3% 32.1% 10.7% Term Structure -0.7% -9.8% 6.1% -2.6% -1.4% VWIV 18.6% 16.7% 20.3% 16.7% 18.9% Skew 25d 4.6% -2.8% 20.1% 6.3% 3.4% Skew 10d -0.7% -16.6% 5.6% 4.4% 2.5% Call IV 25d 17.2% 13.1% 25.3% 25.3% 18.1% Put IV 25d 21.9% 16.6% 35.2% 31.6% 21.5% Bid-Ask Spread % 119.44 111.51 147.31 119.86 115.30 Gamma HHI 0.26 0.21 0.31 0.24 0.26 Net GEX 18.2K 13.2K 21.5K 18.5K 18.4K Net DEX -44.6K -227.3K 233.5K -227.3K 85.8K Net VEX -4.0K -4.6K -3.0K -4.6K -3.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.76 0.00 3.33 0.00 3.33 Total Volume 8.421 0 95 0 0 Total OI 571.474 538 672 546 672
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 2023-04-03 $38.44 $35.00 28.8% 8.3% 25.7% 16.5% 0.0% 6.3% -2.6% 18.5K -227.3K -4.6K 0.00 119.86 N/A N/A 0 0 349 197 2023-04-04 $37.22 $35.00 29.3% 8.4% 27.9% 17.1% 0.0% -2.5% -9.6% 15.3K -107.8K -4.3K 0.00 117.95 N/A N/A 0 0 349 197 2023-04-05 $37.14 $35.00 30.6% 8.8% 27.8% 18.9% 16.7% 20.1% -9.8% 17.9K 39.0K -4.0K 0.00 121.48 N/A N/A 7 0 349 197 2023-04-06 $36.80 $0.00 26.4% 4.6% 27.8% 13.4% 0.0% 1.5% 2.3% 17.7K 35.7K -4.0K 0.00 122.68 N/A N/A 0 0 344 197 2023-04-10 $37.44 $0.00 25.9% 5.8% 26.6% 12.7% 0.0% 1.7% -0.5% 17.4K 10.3K -4.0K 0.00 125.66 N/A N/A 0 0 344 197 2023-04-11 $38.03 $0.00 23.9% 5.2% 26.4% 10.2% 0.0% 9.8% 4.1% 18.2K -137.3K -4.3K 0.00 117.51 N/A N/A 7 0 344 197 2023-04-12 $37.79 $0.00 21.1% 6.0% 26.5% 6.5% 0.0% 5.0% 0.4% 18.6K -134.0K -4.3K 0.00 115.19 N/A N/A 0 0 351 197 2023-04-13 $38.08 $0.00 20.7% 5.9% 25.0% 6.0% 0.0% 8.2% -0.2% 16.6K -147.1K -4.3K 0.00 147.31 N/A N/A 0 0 351 197 2023-04-14 $37.96 $0.00 20.9% 6.0% 23.4% 6.4% 0.0% -2.8% 1.4% 17.8K -174.3K -4.3K 1.25 117.79 N/A N/A 4 5 351 197 2023-04-17 $37.99 $0.00 20.3% 5.8% 21.5% 5.6% 0.0% 4.0% 0.3% 18.4K -165.9K -4.3K 0.00 119.52 N/A N/A 3 0 353 200 2023-04-18 $38.05 $0.00 19.1% 5.5% 21.2% 4.0% 0.0% 4.9% 1.1% 20.2K -157.7K -4.2K 0.00 121.22 N/A N/A 0 0 356 200 2023-04-19 $37.97 $0.00 15.3% 4.4% 20.0% 0.0% 0.0% 2.2% 1.1% 21.3K -83.1K -4.1K 0.00 111.51 N/A N/A 0 0 353 200 2023-04-20 $37.75 $0.00 20.4% 5.8% 19.3% 6.6% 0.0% 11.4% 6.1% 21.5K -116.9K -4.0K 0.00 112.21 N/A N/A 0 0 353 200 2023-04-21 $37.47 $0.00 21.1% 6.0% 18.5% 7.4% 0.0% 5.8% -1.5% 17.7K -79.9K -4.1K 0.00 116.12 N/A N/A 0 0 353 200 2023-04-24 $37.75 $0.00 16.7% 4.8% 18.5% 1.8% 20.3% 1.9% -1.0% 21.1K 4.5K -3.8K 0.00 118.20 N/A N/A 95 0 343 195 2023-04-25 $36.65 $42.00 18.8% 5.4% 20.7% 4.5% 18.9% 1.1% -2.2% 18.1K 139.9K -3.3K 3.33 120.83 N/A N/A 9 30 438 195 2023-04-26 $36.03 $33.00 20.5% 5.9% 21.5% 6.7% 0.0% 5.3% -0.8% 17.1K 233.5K -3.0K 0.00 113.33 N/A N/A 0 0 447 224 2023-04-27 $36.43 $33.00 24.5% 7.0% 21.8% 11.8% 0.0% 0.8% 0.1% 13.2K 135.9K -3.6K 0.00 115.75 N/A N/A 0 0 447 224 2023-04-28 $37.02 $33.00 22.2% 6.4% 22.6% 8.9% 0.0% 3.4% -1.4% 18.4K 85.8K -3.6K 0.00 115.30 N/A N/A 0 0 448 224
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