CALF Options History — June 2023

In June 2023, CALF traded between $36.84 and $40.78. ATM implied volatility averaged 23.1%, placing in the 10.5% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 2.6% (HV 20d: 25.7%). Max pain ranged from $32.00 to $39.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.21.

Notable Days

  • 2023-06-06: Highest Volume — 72 contracts
  • 2023-06-14: Largest IV drop — 52.5% change
  • 2023-06-13: Highest IV Rank — 33.4%
  • 2023-06-02: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.36$36.84$40.78$36.84$40.78
Max Pain$38.33$32.00$39.00$32.00$39.00
ATM IV23.1%10.2%41.4%23.7%10.2%
Expected Move5.5%2.9%7.2%6.8%2.9%
HV 20d25.7%19.2%27.4%19.2%26.2%
HV 60d23.3%21.9%24.7%22.2%21.9%
IV Rank10.5%0.0%33.4%10.8%0.0%
IV Percentile22.5%0.0%84.9%20.6%0.0%
Term Structure0.1%-6.3%6.6%-3.6%6.6%
VWIV17.6%13.7%24.2%24.2%13.7%
Skew 25d2.3%-4.8%11.5%-0.1%2.2%
Skew 10d0.3%-9.1%14.1%2.2%9.5%
Call IV 25d17.0%13.1%25.5%17.8%17.4%
Put IV 25d19.3%13.3%26.5%17.7%19.6%
Bid-Ask Spread %113.8287.18126.4687.18118.71
Gamma HHI0.280.160.440.330.17
Net GEX28.6K18.7K38.8K18.7K38.8K
Net DEX-338.5K-850.1K235.9K235.9K-850.1K
Net VEX-2.6K-3.1K-1.8K-2.4K-1.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.210.001.000.000.00
Total Volume5.714072020
Total OI591.619541623541580

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-06-01$36.84$32.0023.7%6.8%19.2%10.8%0.0%-0.1%-3.6%18.7K235.9K-2.4K0.0087.18N/AN/A00326215
2023-06-02$38.41$32.0025.1%7.2%23.6%12.5%0.0%-0.9%-3.1%22.3K-11.0K-2.9K0.00116.59N/AN/A00326215
2023-06-05$37.73$39.0027.3%5.2%21.7%15.4%0.0%2.1%1.8%22.3K54.7K-2.7K0.00119.58N/AN/A00326215
2023-06-06$39.02$39.0031.4%5.3%24.6%20.6%24.2%-2.3%-0.4%25.6K-90.0K-2.8K0.00122.21N/AN/A720326215
2023-06-07$40.12$39.0022.5%5.3%26.0%9.2%15.8%-4.8%2.1%28.7K-425.8K-2.9K0.00118.56N/AN/A50397215
2023-06-08$39.77$39.0024.8%5.0%26.4%12.2%0.0%1.7%0.6%25.6K-434.3K-3.1K0.00112.94N/AN/A00402215
2023-06-09$39.40$39.0029.1%6.1%26.6%17.7%0.0%4.9%2.3%24.7K-378.6K-3.0K0.00106.44N/AN/A00402215
2023-06-12$39.51$39.0038.6%5.8%26.5%29.9%21.2%0.6%-4.6%28.7K-370.4K-3.0K1.00126.46N/AN/A11402215
2023-06-13$39.91$39.0041.4%5.1%26.3%33.4%15.0%2.2%-1.1%26.9K-426.0K-2.8K0.00115.16N/AN/A40402216
2023-06-14$39.36$39.0019.7%5.6%26.6%5.6%15.7%0.9%0.3%26.1K-391.3K-2.9K0.00123.15N/AN/A10405216
2023-06-15$39.81$39.0014.9%4.3%26.2%0.0%13.7%0.5%5.2%35.2K-381.7K-2.5K0.50114.21N/AN/A21405216
2023-06-16$39.42$39.0019.8%5.7%26.4%6.2%0.0%2.8%1.2%24.9K-355.8K-2.8K0.00112.55N/AN/A00406217
2023-06-20$39.44$39.0019.5%5.6%26.1%5.8%0.0%5.9%-0.0%25.3K-318.7K-2.6K0.00108.50N/AN/A130402197
2023-06-21$39.74$39.0018.8%5.4%26.2%5.0%0.0%6.2%0.7%33.4K-344.9K-2.5K0.00112.18N/AN/A00415197
2023-06-22$39.16$39.0019.0%5.5%26.9%5.3%0.0%4.2%-0.9%26.6K-277.0K-2.6K0.00120.92N/AN/A00415197
2023-06-23$38.77$39.0019.9%5.7%26.9%6.3%0.0%4.0%-1.2%28.6K-255.3K-2.5K0.00116.28N/AN/A00415176
2023-06-26$39.09$39.0020.8%6.0%26.9%7.4%0.0%11.5%-2.3%34.0K-421.7K-2.4K0.00115.26N/AN/A00415165
2023-06-27$39.78$39.0022.8%6.5%27.4%10.0%0.0%-1.3%-6.3%34.4K-454.5K-2.3K0.00111.80N/AN/A00415165
2023-06-28$39.88$39.0019.3%5.5%27.0%5.6%0.0%7.5%-0.7%34.7K-488.0K-2.3K0.00115.89N/AN/A00415165
2023-06-29$40.52$39.0016.8%4.8%26.2%2.4%0.0%-0.5%6.1%36.2K-723.0K-2.1K0.0095.62N/AN/A00415165
2023-06-30$40.78$39.0010.2%2.9%26.2%0.0%0.0%2.2%6.6%38.8K-850.1K-1.8K0.00118.71N/AN/A020415165