CALF Options History — November 2023

In November 2023, CALF traded between $40.05 and $43.36. ATM implied volatility averaged 22.2%, placing in the 19.7% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 0.0% (HV 20d: 22.2%). Max pain ranged from $39.00 to $43.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.70.

Notable Days

  • 2023-11-13: Highest Volume — 72 contracts
  • 2023-11-08: Largest IV drop — 32.3% change
  • 2023-11-01: Highest IV Rank — 32.6%
  • 2023-11-01: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.14$40.05$43.36$40.05$43.14
Max Pain$40.10$39.00$43.00$40.00$43.00
ATM IV22.2%17.7%30.1%30.1%18.3%
Expected Move6.2%5.1%8.6%8.6%5.3%
HV 20d22.2%16.6%25.2%16.6%24.1%
HV 60d19.3%16.4%21.0%16.4%19.7%
IV Rank19.7%12.3%32.6%32.6%13.3%
IV Percentile37.9%9.1%82.5%82.5%13.1%
Term Structure-3.2%-11.3%1.6%-11.3%-2.4%
VWIV18.9%13.6%26.3%16.9%13.6%
Skew 25d4.0%-12.6%14.1%14.1%2.8%
Skew 10d1.8%-12.5%14.4%-0.7%1.5%
Call IV 25d17.2%11.0%25.7%15.1%11.0%
Put IV 25d21.2%12.8%29.2%29.2%13.7%
Bid-Ask Spread %124.4795.28131.75119.5895.28
Gamma HHI0.390.250.580.540.42
Net GEX16.2K2.7K36.2K5.2K36.2K
Net DEX-133.7K-277.6K-29.8K-29.8K-250.2K
Net VEX-705-1.5K-158-158-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.700.0010.000.004.00
Total Volume14.524072115
Total OI136.7623824738247

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-11-01$40.05$40.0030.1%8.6%16.6%32.6%0.0%14.1%-11.3%5.2K-29.8K-1580.00119.58N/AN/A110371
2023-11-02$40.86$39.0025.3%6.1%18.0%24.8%0.0%10.5%-7.6%7.8K-57.3K-2710.00128.36N/AN/A100481
2023-11-03$41.95$39.0022.6%6.8%20.1%20.4%16.9%8.8%-4.6%10.1K-98.9K-4273.33122.62N/AN/A620581
2023-11-06$41.45$39.0027.8%6.5%20.4%28.7%0.0%4.3%1.0%8.3K-79.8K-4370.00131.62N/AN/A0116421
2023-11-07$41.33$39.0028.3%5.9%19.6%29.7%0.0%4.8%-1.2%8.0K-68.7K-4470.00130.20N/AN/A006432
2023-11-08$40.72$39.0019.2%5.5%20.3%14.7%0.0%-0.2%-2.6%5.5K-48.2K-4340.00130.56N/AN/A006432
2023-11-09$40.34$39.0021.9%6.3%18.9%19.1%0.0%-3.1%-3.1%2.7K-32.6K-4130.00131.75N/AN/A006432
2023-11-10$41.00$39.0020.0%5.7%19.7%16.1%0.0%0.4%-0.2%6.4K-51.9K-3940.00131.23N/AN/A006432
2023-11-13$41.03$39.0020.7%5.9%19.4%17.2%20.1%0.9%-6.1%7.0K-54.7K-3745.00126.09N/AN/A12606432
2023-11-14$42.98$39.0020.4%5.8%25.2%16.7%14.7%6.6%-4.2%11.8K-146.9K-5360.00129.72N/AN/A307652
2023-11-15$43.14$39.0023.0%6.6%24.4%21.0%0.0%5.8%-1.3%13.7K-166.8K-6160.00126.35N/AN/A5007952
2023-11-16$42.45$39.0017.7%5.1%24.3%12.3%14.2%3.3%1.6%20.8K-182.2K-8630.00130.54N/AN/A25012052
2023-11-17$43.03$39.0021.5%6.2%24.4%18.6%0.0%9.5%-4.1%28.4K-232.7K-9180.00129.46N/AN/A1014352
2023-11-20$43.36$39.0021.2%6.1%24.1%18.0%20.9%3.4%-0.6%22.4K-203.4K-9090.00115.02N/AN/A0412931
2023-11-21$42.95$42.0019.0%5.4%24.6%14.4%18.3%10.3%-0.8%20.3K-187.2K-95110.00127.12N/AN/A11012935
2023-11-22$42.95$42.0023.5%6.7%24.4%21.8%0.0%8.8%-5.7%21.0K-156.9K-9050.17119.30N/AN/A6112945
2023-11-24$43.11$42.0020.6%5.9%24.1%17.0%0.0%9.5%-5.5%24.8K-174.6K-9691.00125.24N/AN/A2213446
2023-11-27$43.19$42.0020.2%5.8%23.9%16.4%0.0%-8.1%-1.3%23.2K-164.5K-9520.00118.25N/AN/A0013648
2023-11-28$42.88$42.0019.6%5.6%24.2%15.4%26.3%-12.6%-1.1%21.5K-143.4K-8900.00129.77N/AN/A60013648
2023-11-29$42.95$42.0025.2%7.2%24.3%24.6%25.3%3.4%-5.8%35.4K-277.6K-1.5K0.25115.77N/AN/A4119448
2023-11-30$43.14$43.0018.3%5.3%24.1%13.3%13.6%2.8%-2.4%36.2K-250.2K-1.4K4.0095.28N/AN/A1419849