CALF Options History — May 2023

In May 2023, CALF traded between $35.75 and $37.91. ATM implied volatility averaged 22.0%, placing in the 8.6% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 0.6% (HV 20d: 21.4%). Max pain ranged from $32.00 to $33.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.16.

Notable Days

  • 2023-05-02: Highest Volume — 170 contracts
  • 2023-05-16: Largest IV spike — 24.8% change
  • 2023-05-31: Highest IV Rank — 14.6%
  • 2023-05-31: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.08$35.75$37.91$37.05$36.61
Max Pain$32.19$32.00$33.00$33.00$32.00
ATM IV22.0%18.1%26.7%24.8%26.7%
Expected Move6.4%5.2%7.7%7.1%7.7%
HV 20d21.4%19.2%23.6%21.9%19.3%
HV 60d22.7%22.2%23.3%22.2%22.2%
IV Rank8.6%3.6%14.6%12.2%14.6%
IV Percentile12.1%2.0%33.3%17.5%33.3%
Term Structure-1.9%-9.8%6.3%-4.9%-6.6%
VWIV23.0%19.0%36.4%20.3%19.3%
Skew 25d3.5%-1.9%11.1%2.3%0.4%
Skew 10d0.1%-14.2%12.3%-4.3%-9.3%
Call IV 25d17.7%14.2%22.3%20.2%19.6%
Put IV 25d21.2%15.8%26.8%22.4%20.0%
Bid-Ask Spread %112.8098.88123.41111.00119.46
Gamma HHI0.300.220.380.220.31
Net GEX18.9K13.6K23.9K16.1K19.4K
Net DEX110.8K-32.0K239.1K27.6K239.1K
Net VEX-3.1K-3.7K-2.4K-3.7K-2.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.160.000.980.980.00
Total Volume9.909017000
Total OI625.591536677672541

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-05-01$37.05$33.0024.8%7.1%21.9%12.2%0.0%2.3%-4.9%16.1K27.6K-3.7K0.00111.00N/AN/A00448224
2023-05-02$36.34$33.0025.6%7.3%22.1%13.2%20.3%-1.5%6.3%13.6K159.4K-3.3K0.98109.27N/AN/A8684448224
2023-05-03$36.12$33.0023.2%6.6%19.3%10.1%36.4%-1.9%2.5%17.3K150.3K-3.3K0.00113.37N/AN/A50450224
2023-05-04$35.75$0.0020.9%6.5%19.5%7.2%0.0%11.1%1.0%14.6K222.2K-3.0K0.00121.46N/AN/A00445224
2023-05-05$37.01$0.0022.8%6.5%23.2%9.6%0.0%6.4%2.2%19.1K64.6K-3.5K0.00121.50N/AN/A10445224
2023-05-08$37.04$0.0023.1%7.2%22.3%10.0%0.0%4.1%-3.7%21.1K43.1K-3.4K0.00117.48N/AN/A140446224
2023-05-09$36.90$0.0024.1%6.7%21.5%11.2%0.0%4.1%-3.8%18.5K139.0K-3.1K0.00113.31N/AN/A00432224
2023-05-10$37.02$0.0024.5%7.0%21.5%11.9%0.0%10.3%-3.0%16.4K120.4K-3.1K0.00109.79N/AN/A00432224
2023-05-11$36.80$0.0020.4%5.9%21.3%6.6%19.0%1.1%1.6%17.5K156.0K-3.0K0.00115.07N/AN/A01432224
2023-05-12$36.67$32.0018.2%5.2%21.3%3.8%0.0%2.3%2.6%18.0K122.7K-3.1K0.00123.41N/AN/A00432225
2023-05-15$37.16$32.0018.6%5.3%22.0%4.3%20.0%3.2%0.1%19.8K142.1K-2.9K0.50120.37N/AN/A21432225
2023-05-16$36.77$32.0023.3%6.7%22.2%10.2%19.3%8.0%-5.2%20.3K173.1K-2.8K0.00119.58N/AN/A018433226
2023-05-17$37.44$32.0018.1%5.2%23.3%3.6%0.0%5.0%0.7%22.2K138.8K-2.9K0.00105.33N/AN/A00433244
2023-05-18$37.91$32.0019.6%5.6%23.6%5.6%0.0%-1.2%-2.7%23.9K58.5K-3.1K0.0098.88N/AN/A00433244
2023-05-19$37.63$32.0022.0%6.3%23.6%8.6%0.0%3.4%-4.7%21.3K-32.0K-3.2K0.00102.87N/AN/A10433244
2023-05-22$37.82$32.0020.0%5.7%23.6%6.1%0.0%1.8%-3.2%19.7K71.0K-3.0K0.00114.17N/AN/A10321215
2023-05-23$37.89$32.0019.7%5.6%20.8%5.6%0.0%5.9%-3.9%19.8K8.5K-3.1K0.00110.23N/AN/A00322215
2023-05-24$37.53$32.0018.9%5.4%20.1%4.7%0.0%9.1%0.3%19.4K83.4K-3.0K0.00115.64N/AN/A10322215
2023-05-25$37.38$32.0021.8%6.3%19.9%8.4%0.0%-0.6%-3.9%17.5K115.0K-2.9K0.00106.79N/AN/A00323215
2023-05-26$37.62$32.0021.7%6.2%19.2%8.2%0.0%-0.8%-2.7%19.9K126.0K-2.8K0.00102.64N/AN/A00323215
2023-05-30$37.22$32.0026.4%7.6%19.6%14.3%0.0%4.7%-9.8%21.5K108.2K-2.7K0.00110.09N/AN/A30323215
2023-05-31$36.61$32.0026.7%7.7%19.3%14.6%0.0%0.4%-6.6%19.4K239.1K-2.4K0.00119.46N/AN/A00326215