CALF Options History — August 2023 In August 2023, CALF traded between $41.75 and $43.86. ATM implied volatility averaged 21.6%, placing in the 17.4% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 7.9% (HV 20d: 13.7%). Max pain ranged from $41.00 to $41.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 0.15.
Notable Days 2023-08-14 : Highest Volume — 20 contracts2023-08-09 : Largest IV drop — 52.1% change2023-08-08 : Highest IV Rank — 27.7%2023-08-22 : Largest Expected Move — 6.9%Monthly Statistics Metric Avg Min Max Open Close Price $42.80 $41.75 $43.86 $43.86 $42.77 Max Pain $41.00 $41.00 $41.00 $41.00 $41.00 ATM IV 21.6% 13.6% 28.4% 23.1% 22.7% Expected Move 6.0% 3.9% 6.9% 6.6% 6.5% HV 20d 13.7% 10.7% 18.4% 18.4% 11.6% HV 60d 19.9% 16.4% 21.2% 21.2% 16.4% IV Rank 17.4% 5.3% 27.7% 19.7% 19.1% IV Percentile 26.6% 0.8% 58.7% 30.2% 33.7% Term Structure -1.7% -9.3% 5.0% -3.2% -3.3% VWIV 17.1% 17.1% 17.1% 17.1% 17.1% Skew 25d 3.3% -4.2% 11.1% 4.2% 4.5% Skew 10d 1.2% -13.3% 12.9% 4.1% 2.3% Call IV 25d 18.1% 11.5% 21.9% 20.5% 19.7% Put IV 25d 21.3% 15.4% 27.4% 24.6% 24.2% Bid-Ask Spread % 118.07 95.53 131.87 105.39 131.87 Gamma HHI 0.22 0.18 0.26 0.23 0.23 Net GEX 17.3K 10.7K 28.6K 10.7K 24.3K Net DEX -450.4K -510.3K -377.8K -500.3K -487.7K Net VEX -701 -938 -440 -499 -758 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.15 0.00 1.50 0.00 0.00 Total Volume 3.043 0 20 0 0 Total OI 196.217 183 216 189 208
Daily Data (23 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 2023-08-01 $43.86 $41.00 23.1% 6.6% 18.4% 19.7% 0.0% 4.2% -3.2% 10.7K -500.3K -499 0.00 105.39 N/A N/A 0 0 134 55 2023-08-02 $43.55 $41.00 19.8% 5.7% 18.0% 14.6% 0.0% -0.1% -0.8% 12.0K -471.9K -663 0.00 103.12 N/A N/A 0 0 134 55 2023-08-03 $43.18 $0.00 23.0% 5.7% 15.6% 19.5% 0.0% 5.7% -1.4% 12.3K -451.2K -694 0.00 117.77 N/A N/A 0 0 134 55 2023-08-04 $43.42 $0.00 23.1% 6.4% 14.6% 19.6% 0.0% 10.2% -3.9% 12.6K -467.0K -658 0.00 116.82 N/A N/A 0 0 134 55 2023-08-07 $43.81 $0.00 23.6% 5.8% 14.4% 20.5% 0.0% 7.0% -5.2% 12.1K -490.2K -555 0.00 123.96 N/A N/A 2 0 134 55 2023-08-08 $43.73 $0.00 28.4% 5.9% 14.1% 27.7% 0.0% 2.4% -5.5% 12.7K -483.5K -590 0.00 123.49 N/A N/A 0 0 135 55 2023-08-09 $43.77 $0.00 13.6% 3.9% 13.8% 5.3% 0.0% 6.4% 0.7% 11.6K -510.3K -440 0.00 119.62 N/A N/A 0 1 135 55 2023-08-10 $43.28 $0.00 17.9% 5.1% 14.6% 11.8% 0.0% 2.7% 1.8% 12.7K -464.8K -611 0.00 118.05 N/A N/A 0 0 135 55 2023-08-11 $43.32 $0.00 18.7% 5.4% 13.9% 12.9% 0.0% 1.7% -0.7% 13.2K -482.0K -554 0.00 115.25 N/A N/A 2 0 135 55 2023-08-14 $43.07 $0.00 20.0% 5.7% 13.9% 14.9% 0.0% 3.0% 5.0% 13.1K -425.4K -743 0.00 119.74 N/A N/A 20 0 135 55 2023-08-15 $42.66 $0.00 19.9% 5.7% 13.5% 14.8% 0.0% 11.1% 2.7% 16.7K -457.6K -780 0.00 116.25 N/A N/A 1 0 155 55 2023-08-16 $42.36 $0.00 21.1% 6.0% 13.5% 16.6% 0.0% 2.7% -5.2% 17.6K -454.4K -727 0.00 122.20 N/A N/A 5 0 156 55 2023-08-17 $41.91 $0.00 21.1% 6.1% 13.6% 16.7% 0.0% 6.8% -0.1% 18.6K -398.4K -873 0.00 122.14 N/A N/A 0 0 161 55 2023-08-18 $42.31 $0.00 20.2% 5.8% 14.1% 15.3% 17.1% -2.2% 0.5% 20.2K -434.3K -766 1.50 122.85 N/A N/A 2 3 161 55 2023-08-21 $42.20 $41.00 21.3% 6.1% 13.1% 16.9% 0.0% 5.3% 2.1% 18.6K -399.6K -828 0.00 120.52 N/A N/A 1 0 146 37 2023-08-22 $42.00 $41.00 23.9% 6.9% 13.2% 20.9% 0.0% 3.4% -1.7% 20.2K -406.0K -795 0.00 119.95 N/A N/A 14 0 147 37 2023-08-23 $42.20 $41.00 22.6% 6.5% 13.3% 18.9% 0.0% -4.2% -5.5% 21.1K -418.6K -807 0.00 116.97 N/A N/A 0 0 156 37 2023-08-24 $41.75 $41.00 21.8% 6.3% 13.1% 17.7% 0.0% 2.8% -1.3% 19.7K -388.7K -915 0.17 121.66 N/A N/A 6 1 156 37 2023-08-25 $41.83 $41.00 22.0% 6.3% 11.2% 18.0% 0.0% -3.4% -1.7% 20.7K -377.8K -938 0.00 120.85 N/A N/A 0 0 162 38 2023-08-28 $42.05 $41.00 23.5% 6.7% 10.7% 20.2% 0.0% 0.5% -3.8% 24.0K -436.3K -706 0.00 95.53 N/A N/A 2 0 162 38 2023-08-29 $42.56 $41.00 22.3% 6.4% 11.8% 18.4% 0.0% -2.7% 0.8% 28.6K -463.0K -590 0.00 114.00 N/A N/A 0 0 164 38 2023-08-30 $42.86 $41.00 23.2% 6.6% 11.9% 19.8% 0.0% 7.6% -9.3% 23.8K -489.4K -633 0.00 127.55 N/A N/A 10 0 164 38 2023-08-31 $42.77 $41.00 22.7% 6.5% 11.6% 19.1% 0.0% 4.5% -3.3% 24.3K -487.7K -758 0.00 131.87 N/A N/A 0 0 170 38
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