CALF Options History — October 2023

In October 2023, CALF traded between $39.16 and $41.59. ATM implied volatility averaged 25.6%, placing in the 25.1% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 7.1% (HV 20d: 18.4%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.11.

Notable Days

  • 2023-10-03: Highest Volume — 10 contracts
  • 2023-10-25: Largest IV spike — 33.7% change
  • 2023-10-09: Highest IV Rank — 37.8%
  • 2023-10-26: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.36$39.16$41.59$41.20$39.64
Max Pain$39.70$39.00$40.00$39.00$40.00
ATM IV25.6%16.7%33.3%26.7%29.2%
Expected Move6.9%4.8%8.7%7.7%8.4%
HV 20d18.4%16.2%20.5%19.1%16.2%
HV 60d16.3%15.8%17.0%16.1%16.2%
IV Rank25.1%10.8%37.8%27.1%31.1%
IV Percentile54.6%5.6%83.7%59.5%78.6%
Term Structure-2.3%-11.2%8.1%-3.8%-10.3%
VWIV18.4%9.3%33.1%15.8%12.9%
Skew 25d5.6%-3.3%15.0%-2.7%14.3%
Skew 10d0.8%-13.2%20.6%-2.4%1.5%
Call IV 25d18.9%11.8%26.2%24.5%14.7%
Put IV 25d24.6%17.4%30.6%21.8%29.1%
Bid-Ask Spread %122.10107.52130.41113.09117.23
Gamma HHI0.330.160.570.230.57
Net GEX17.9K2.0K35.2K29.2K4.8K
Net DEX-189.0K-432.1K-13.4K-387.8K-26.2K
Net VEX-289-624-114-624-144
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.110.001.000.000.00
Total Volume1.68201010
Total OI140.6822122422438

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-10-02$41.20$39.0026.7%7.7%19.1%27.1%15.8%-2.7%-3.8%29.2K-387.8K-6240.00113.09N/AN/A1018638
2023-10-03$40.66$39.0026.8%7.7%17.2%27.1%0.0%4.3%-4.2%30.1K-357.2K-5960.00107.52N/AN/A10018638
2023-10-04$40.52$39.0027.1%7.8%17.2%27.6%33.1%1.8%-7.3%31.8K-331.1K-5390.00119.06N/AN/A0118138
2023-10-05$40.27$0.0029.9%5.6%17.2%32.2%0.0%6.0%2.9%33.2K-305.0K-5080.00114.13N/AN/A0118138
2023-10-06$40.50$0.0027.6%6.5%17.5%28.4%0.0%6.3%-3.6%33.8K-328.5K-4760.00125.12N/AN/A0018139
2023-10-09$40.95$0.0033.3%5.3%18.0%37.8%0.0%1.1%8.1%30.6K-364.0K-4700.00117.68N/AN/A0018139
2023-10-10$41.59$0.0026.6%6.1%19.0%26.8%0.0%8.7%-1.6%29.8K-432.1K-3740.00121.96N/AN/A0018139
2023-10-11$41.55$0.0019.7%5.6%18.9%15.5%0.0%7.8%-4.0%30.2K-430.5K-3470.00130.41N/AN/A0018139
2023-10-12$40.61$0.0022.1%6.3%19.3%19.4%0.0%8.0%3.5%35.2K-333.9K-3610.00127.13N/AN/A1018139
2023-10-13$40.50$0.0021.3%6.1%18.4%18.2%0.0%2.8%1.2%30.0K-286.1K-3570.00126.73N/AN/A0017039
2023-10-16$40.92$0.0016.7%4.8%18.8%10.8%0.0%-3.3%4.1%32.2K-330.2K-2360.00127.79N/AN/A0016839
2023-10-17$41.39$0.0021.2%6.1%19.3%18.1%0.0%4.5%-2.5%9.0K-50.5K-1500.00129.07N/AN/A007839
2023-10-18$40.75$0.0022.3%6.4%19.9%19.8%0.0%1.6%-1.7%6.5K-34.7K-1360.00124.39N/AN/A007839
2023-10-19$40.09$0.0026.6%7.6%20.4%26.9%0.0%1.4%-6.4%4.7K-20.2K-1160.00127.05N/AN/A207839
2023-10-20$39.89$0.0024.7%7.1%20.5%23.8%24.4%6.4%4.7%3.3K-13.4K-1161.00129.02N/AN/A228039
2023-10-23$39.59$40.0026.8%7.7%20.4%27.2%15.2%7.5%-3.7%2.0K-14.5K-1140.00128.88N/AN/A40201
2023-10-24$39.80$40.0022.1%6.3%19.9%19.4%9.3%12.0%-0.1%2.8K-17.8K-1230.00121.74N/AN/A90241
2023-10-25$39.56$40.0029.5%8.5%19.0%31.6%0.0%15.0%-11.2%3.8K-24.3K-1450.00121.40N/AN/A00331
2023-10-26$39.36$40.0030.2%8.7%16.7%32.7%0.0%14.1%-5.4%3.9K-22.8K-1350.00116.74N/AN/A00331
2023-10-27$39.16$40.0023.4%6.7%16.5%21.6%0.0%3.7%-3.3%3.5K-22.5K-1390.00123.03N/AN/A30331
2023-10-30$39.45$40.0028.3%8.1%16.5%29.7%12.9%2.7%-5.1%4.1K-24.9K-1520.00117.04N/AN/A10361
2023-10-31$39.64$40.0029.2%8.4%16.2%31.1%0.0%14.3%-10.3%4.8K-26.2K-1440.00117.23N/AN/A00371