CALF Options History — July 2023

In July 2023, CALF traded between $39.55 and $43.80. ATM implied volatility averaged 18.8%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 0.4% (HV 20d: 19.1%). Max pain ranged from $39.00 to $41.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.06.

Notable Days

2023-07-19: Highest Volume — 8 contracts
2023-07-31: Largest IV spike — 67.2% change
2023-07-31: Highest IV Rank — 20.8%
2023-07-31: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.97	$39.55	$43.80	$40.95	$43.80
Max Pain	$40.80	$39.00	$41.00	$39.00	$41.00
ATM IV	18.8%	12.7%	26.3%	18.9%	23.8%
Expected Move	5.1%	3.6%	6.8%	5.4%	6.8%
HV 20d	19.1%	17.1%	22.4%	22.4%	18.4%
HV 60d	22.2%	21.4%	22.9%	21.9%	21.4%
IV Rank	11.9%	3.8%	20.8%	10.5%	20.8%
IV Percentile	11.2%	0.4%	36.1%	5.6%	33.3%
Term Structure	-0.4%	-10.5%	9.5%	-3.4%	-10.5%
VWIV	16.6%	12.8%	20.7%	15.7%	20.7%
Skew 25d	1.3%	-4.0%	5.9%	-4.0%	-3.9%
Skew 10d	1.2%	-7.5%	16.7%	-4.1%	11.7%
Call IV 25d	16.9%	12.8%	20.4%	17.1%	20.4%
Put IV 25d	18.2%	13.1%	22.2%	13.1%	16.5%
Bid-Ask Spread %	111.89	92.52	126.36	92.52	121.82
Gamma HHI	0.23	0.19	0.31	0.31	0.25
Net GEX	27.2K	11.5K	53.7K	16.2K	11.7K
Net DEX	-739.5K	-1.1M	-399.0K	-841.7K	-494.1K
Net VEX	-1.2K	-2.1K	-524	-1.7K	-528
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.06	0.00	0.50	0.00	0.00
Total Volume	1.05	0	8	0	0
Total OI	459.05	189	603	600	189

Daily Data (20 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
2023-07-03	$40.95	$39.00	18.9%	5.4%	22.4%	10.5%	0.0%	-4.0%	-3.4%	16.2K	-841.7K	-1.7K	0.00	92.52	N/A	N/A	0	0	415	185
2023-07-05	$40.49	$39.00	20.9%	6.0%	21.7%	12.9%	0.0%	2.6%	-3.8%	27.6K	-705.2K	-2.0K	0.00	113.26	N/A	N/A	0	0	415	185
2023-07-06	$39.55	$41.00	26.3%	4.9%	20.6%	19.4%	0.0%	2.9%	-2.4%	25.8K	-399.0K	-2.1K	0.00	122.67	N/A	N/A	0	0	415	185
2023-07-07	$40.34	$41.00	20.1%	4.9%	19.4%	11.9%	0.0%	1.3%	5.2%	27.3K	-634.8K	-2.0K	0.00	114.35	N/A	N/A	0	0	415	185
2023-07-10	$40.80	$41.00	21.6%	4.5%	19.4%	13.7%	0.0%	2.0%	3.7%	24.9K	-783.0K	-1.7K	0.00	122.01	N/A	N/A	2	0	415	185
2023-07-11	$41.34	$41.00	14.3%	4.1%	19.4%	4.9%	15.7%	-1.9%	8.2%	29.8K	-966.4K	-1.5K	0.50	110.17	N/A	N/A	2	1	416	185
2023-07-12	$41.74	$41.00	16.4%	4.7%	19.6%	7.5%	0.0%	1.7%	0.2%	39.6K	-1.1M	-1.5K	0.00	119.81	N/A	N/A	1	0	416	186
2023-07-13	$41.89	$41.00	17.3%	5.0%	19.4%	8.6%	0.0%	1.3%	-1.0%	42.3K	-1.1M	-1.4K	0.00	126.36	N/A	N/A	0	0	417	186
2023-07-14	$41.45	$41.00	15.9%	4.6%	19.1%	8.7%	17.2%	2.1%	9.5%	34.6K	-989.0K	-1.4K	0.00	120.83	N/A	N/A	1	0	413	186
2023-07-17	$41.86	$41.00	18.1%	5.2%	19.0%	12.1%	0.0%	-2.4%	-5.2%	36.3K	-826.6K	-1.2K	0.00	108.62	N/A	N/A	0	0	351	186
2023-07-18	$42.47	$41.00	12.7%	3.6%	18.9%	3.8%	0.0%	-1.2%	1.2%	45.6K	-980.9K	-917	0.00	110.93	N/A	N/A	1	0	351	186
2023-07-19	$42.77	$41.00	14.8%	4.3%	18.9%	7.1%	12.8%	5.2%	3.7%	53.7K	-1.0M	-803	0.00	94.08	N/A	N/A	8	0	347	186
2023-07-20	$42.36	$41.00	19.3%	5.5%	19.4%	13.9%	0.0%	5.9%	0.3%	33.3K	-846.7K	-1.1K	0.00	92.80	N/A	N/A	0	0	330	186
2023-07-21	$42.38	$41.00	21.2%	6.1%	18.3%	16.8%	20.7%	4.3%	-2.3%	35.0K	-856.6K	-1.0K	0.00	121.15	N/A	N/A	3	0	330	186
2023-07-24	$42.95	$41.00	20.4%	5.9%	17.8%	15.6%	0.0%	3.7%	-0.3%	12.4K	-438.7K	-771	0.00	99.93	N/A	N/A	0	0	135	55
2023-07-25	$43.05	$41.00	18.2%	5.2%	17.8%	12.2%	0.0%	4.8%	-1.5%	12.4K	-448.6K	-763	0.00	114.01	N/A	N/A	1	0	135	55
2023-07-26	$43.14	$41.00	23.1%	6.6%	17.1%	19.6%	0.0%	1.6%	-7.6%	12.4K	-464.9K	-638	0.00	113.89	N/A	N/A	1	0	135	55
2023-07-27	$42.62	$41.00	18.3%	5.2%	18.1%	12.4%	0.0%	2.3%	-2.4%	11.5K	-444.2K	-710	0.00	113.17	N/A	N/A	0	0	134	55
2023-07-28	$43.39	$41.00	14.2%	4.1%	18.3%	6.2%	0.0%	-2.7%	-0.0%	11.9K	-486.8K	-524	0.00	105.33	N/A	N/A	0	0	134	55
2023-07-31	$43.80	$41.00	23.8%	6.8%	18.4%	20.8%	0.0%	-3.9%	-10.5%	11.7K	-494.1K	-528	0.00	121.82	N/A	N/A	0	0	134	55