CALF Options History — September 2023

In September 2023, CALF traded between $40.63 and $43.55. ATM implied volatility averaged 21.8%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 5.0% (HV 20d: 16.8%). 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 10 of 20 days. Put/call ratio averaged 0.60.

Notable Days

2023-09-26: Highest Volume — 15 contracts
2023-09-11: Largest IV spike — 105.0% change
2023-09-11: Highest IV Rank — 49.1%
2023-09-25: Largest Expected Move — 6.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.78	$40.63	$43.55	$43.55	$41.73
Max Pain	$39.10	$39.00	$41.00	$41.00	$39.00
ATM IV	21.8%	16.3%	42.5%	17.0%	22.3%
Expected Move	5.4%	4.2%	6.6%	4.9%	6.4%
HV 20d	16.8%	13.2%	20.1%	13.2%	20.1%
HV 60d	16.5%	15.9%	16.9%	15.9%	16.4%
IV Rank	18.3%	9.4%	49.1%	10.4%	19.9%
IV Percentile	28.2%	4.0%	92.9%	5.2%	37.7%
Term Structure	-0.9%	-9.3%	3.4%	0.7%	-5.8%
VWIV	19.8%	16.7%	23.5%	23.5%	18.9%
Skew 25d	1.6%	-8.2%	13.8%	6.6%	-3.0%
Skew 10d	-5.1%	-13.1%	8.0%	-12.4%	-5.3%
Call IV 25d	17.2%	11.2%	22.8%	18.2%	21.0%
Put IV 25d	18.7%	11.8%	26.1%	24.9%	18.0%
Bid-Ask Spread %	116.78	106.28	127.32	106.28	118.83
Gamma HHI	0.26	0.21	0.41	0.24	0.21
Net GEX	26.9K	22.1K	31.0K	26.9K	29.1K
Net DEX	-422.9K	-539.6K	-358.0K	-539.6K	-465.3K
Net VEX	-593	-840	-383	-647	-558
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.60	0.00	3.00	3.00	0.00
Total Volume	2.2	0	15	0	0
Total OI	211.25	205	224	208	224

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
2023-09-01	$43.55	$41.00	17.0%	4.9%	13.2%	10.4%	0.0%	6.6%	0.7%	26.9K	-539.6K	-647	0.00	106.28	N/A	N/A	0	0	170	38
2023-09-05	$42.36	$39.00	27.2%	5.9%	16.1%	25.9%	0.0%	4.0%	1.2%	25.0K	-474.7K	-652	0.00	126.10	N/A	N/A	0	0	170	38
2023-09-06	$42.14	$39.00	24.6%	6.1%	16.1%	22.0%	23.5%	-3.1%	-0.2%	22.3K	-412.8K	-840	3.00	120.00	N/A	N/A	1	3	170	38
2023-09-07	$42.06	$39.00	29.9%	5.7%	16.1%	30.0%	0.0%	3.4%	2.3%	23.2K	-426.5K	-781	0.00	123.97	N/A	N/A	0	0	171	41
2023-09-08	$41.97	$39.00	20.7%	5.0%	15.7%	16.1%	0.0%	1.2%	1.6%	25.0K	-426.8K	-654	0.00	106.75	N/A	N/A	0	0	171	41
2023-09-11	$41.86	$39.00	42.5%	4.2%	15.7%	49.1%	0.0%	2.8%	2.4%	22.1K	-460.6K	-520	0.00	119.56	N/A	N/A	0	0	171	41
2023-09-12	$41.86	$39.00	28.7%	4.9%	15.6%	28.2%	16.7%	10.7%	1.7%	26.5K	-403.3K	-644	0.00	112.64	N/A	N/A	0	7	171	41
2023-09-13	$41.61	$39.00	16.3%	4.7%	15.4%	9.4%	0.0%	-0.2%	-0.7%	24.9K	-398.8K	-655	0.00	113.47	N/A	N/A	0	0	171	39
2023-09-14	$42.36	$39.00	19.7%	5.7%	16.7%	14.5%	0.0%	13.8%	-2.2%	26.0K	-444.5K	-606	0.00	120.27	N/A	N/A	0	0	170	39
2023-09-15	$41.62	$39.00	17.3%	4.9%	17.4%	11.6%	17.7%	2.3%	0.5%	26.6K	-411.5K	-542	0.00	127.32	N/A	N/A	2	0	170	39
2023-09-18	$41.77	$39.00	17.1%	4.9%	17.1%	11.3%	0.0%	-0.9%	-1.6%	28.1K	-417.0K	-516	0.00	106.96	N/A	N/A	0	0	170	35
2023-09-19	$41.78	$39.00	16.9%	4.9%	17.1%	11.1%	21.3%	0.8%	0.8%	29.5K	-416.4K	-473	0.00	121.54	N/A	N/A	0	3	170	35
2023-09-20	$41.46	$39.00	17.5%	5.0%	17.2%	12.0%	0.0%	-2.7%	-9.3%	26.8K	-412.4K	-551	0.00	114.30	N/A	N/A	0	0	170	38
2023-09-21	$41.09	$39.00	21.3%	6.1%	17.3%	18.2%	0.0%	-0.1%	-1.6%	26.8K	-362.7K	-602	0.00	121.17	N/A	N/A	0	0	170	38
2023-09-22	$41.00	$39.00	17.8%	5.1%	17.0%	12.4%	0.0%	4.9%	2.5%	29.4K	-368.6K	-504	0.00	113.63	N/A	N/A	0	0	170	38
2023-09-25	$41.25	$39.00	22.9%	6.6%	17.1%	20.8%	21.0%	-6.8%	-6.3%	29.3K	-358.0K	-539	0.00	107.98	N/A	N/A	12	0	170	38
2023-09-26	$40.63	$39.00	16.3%	4.7%	17.7%	10.0%	0.0%	4.1%	3.4%	31.0K	-358.6K	-516	0.00	117.48	N/A	N/A	15	0	175	38
2023-09-27	$41.28	$39.00	20.8%	6.0%	18.2%	17.4%	0.0%	1.5%	-3.7%	29.0K	-394.6K	-669	0.00	119.77	N/A	N/A	0	0	185	38
2023-09-28	$42.19	$39.00	19.8%	5.7%	19.8%	15.8%	18.9%	-8.2%	-3.0%	30.8K	-504.4K	-383	0.00	117.57	N/A	N/A	1	0	185	38
2023-09-29	$41.73	$39.00	22.3%	6.4%	20.1%	19.9%	0.0%	-3.0%	-5.8%	29.1K	-465.3K	-558	0.00	118.83	N/A	N/A	0	0	186	38