CALF Options History — December 2023

In December 2023, CALF traded between $44.30 and $48.89. ATM implied volatility averaged 22.0%, placing in the 19.3% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 0.1% (HV 20d: 21.9%). Max pain ranged from $42.00 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.40.

Notable Days

2023-12-27: Highest Volume — 159 contracts
2023-12-13: Largest IV drop — 63.9% change
2023-12-12: Highest IV Rank — 62.2%
2023-12-04: Largest Expected Move — 6.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.61	$44.30	$48.89	$44.41	$48.22
Max Pain	$42.65	$42.00	$45.00	$43.00	$45.00
ATM IV	22.0%	13.0%	48.3%	20.5%	13.0%
Expected Move	5.3%	3.7%	6.0%	5.9%	3.7%
HV 20d	21.9%	17.5%	25.1%	25.1%	22.1%
HV 60d	21.2%	20.3%	22.3%	20.5%	21.3%
IV Rank	19.3%	4.7%	62.2%	16.8%	4.7%
IV Percentile	33.0%	0.8%	98.0%	28.6%	0.8%
Term Structure	-0.8%	-7.1%	7.7%	-5.2%	7.7%
VWIV	18.2%	14.5%	24.0%	21.1%	14.5%
Skew 25d	2.2%	-4.9%	11.6%	2.6%	-3.8%
Skew 10d	2.5%	-10.4%	20.4%	20.4%	-8.4%
Call IV 25d	18.5%	13.4%	22.3%	22.3%	14.4%
Put IV 25d	20.6%	10.6%	28.6%	24.9%	10.6%
Bid-Ask Spread %	119.99	98.67	129.66	124.45	110.23
Gamma HHI	0.41	0.17	0.67	0.47	0.19
Net GEX	45.4K	30.2K	73.8K	50.1K	59.1K
Net DEX	-819.2K	-1.6M	-400.6K	-400.6K	-1.6M
Net VEX	-1.9K	-4.0K	-1.2K	-1.6K	-4.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.40	0.00	2.67	1.43	0.26
Total Volume	34.5	1	159	17	106
Total OI	330.75	252	580	252	580

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
2023-12-01	$44.41	$43.00	20.5%	5.9%	25.1%	16.8%	21.1%	2.6%	-5.2%	50.1K	-400.6K	-1.6K	1.43	124.45	N/A	N/A	7	10	199	53
2023-12-04	$45.02	$42.00	22.0%	6.0%	24.0%	19.3%	17.1%	8.6%	-6.6%	54.8K	-517.4K	-1.6K	0.80	120.56	N/A	N/A	10	8	202	63
2023-12-05	$44.42	$42.00	21.1%	5.4%	24.2%	17.9%	24.0%	6.9%	-2.1%	50.2K	-473.6K	-1.7K	2.67	127.49	N/A	N/A	6	16	227	71
2023-12-06	$44.30	$42.00	27.9%	5.6%	24.2%	28.9%	18.2%	3.6%	-6.8%	38.1K	-450.5K	-1.8K	0.53	125.70	N/A	N/A	15	8	232	87
2023-12-07	$44.56	$42.00	25.6%	5.7%	23.2%	25.2%	0.0%	11.6%	-4.3%	53.4K	-546.9K	-1.9K	0.10	128.20	N/A	N/A	10	1	250	90
2023-12-08	$44.98	$42.00	23.6%	4.6%	22.6%	21.9%	19.7%	1.9%	3.6%	73.8K	-648.4K	-1.9K	0.50	123.59	N/A	N/A	2	1	260	91
2023-12-11	$45.20	$42.00	38.0%	5.3%	22.3%	45.4%	19.1%	4.6%	-1.3%	59.1K	-679.8K	-1.9K	1.00	124.51	N/A	N/A	2	2	262	92
2023-12-12	$44.94	$42.00	48.3%	5.5%	22.6%	62.2%	20.6%	4.0%	-1.9%	48.3K	-636.6K	-2.0K	0.00	129.66	N/A	N/A	2	0	263	94
2023-12-13	$45.88	$42.00	17.4%	5.0%	17.5%	11.9%	17.3%	2.5%	-1.7%	59.5K	-794.1K	-1.7K	0.00	123.24	N/A	N/A	31	0	264	94
2023-12-14	$47.44	$42.00	18.6%	5.3%	20.5%	13.7%	17.2%	4.6%	-1.9%	33.6K	-948.8K	-1.3K	0.00	123.32	N/A	N/A	31	0	242	94
2023-12-15	$47.17	$43.00	18.5%	5.3%	19.4%	13.6%	0.0%	0.9%	-0.9%	30.3K	-785.0K	-1.6K	0.00	125.47	N/A	N/A	10	0	226	94
2023-12-18	$46.97	$43.00	19.4%	5.6%	19.4%	15.1%	0.0%	0.8%	-2.4%	33.3K	-726.0K	-1.6K	0.00	126.91	N/A	N/A	1	0	217	36
2023-12-19	$48.34	$43.00	17.5%	5.0%	21.3%	12.0%	0.0%	-0.8%	1.2%	31.8K	-880.1K	-1.2K	0.00	121.63	N/A	N/A	15	0	218	36
2023-12-20	$47.67	$43.00	15.2%	4.3%	21.7%	8.2%	14.9%	-0.7%	3.6%	32.7K	-842.2K	-1.5K	0.00	123.02	N/A	N/A	20	0	225	36
2023-12-21	$48.03	$43.00	17.2%	4.9%	21.7%	11.5%	0.0%	-4.9%	4.2%	38.7K	-882.5K	-1.6K	0.33	112.10	N/A	N/A	6	2	235	36
2023-12-22	$48.36	$43.00	17.4%	5.0%	21.6%	11.9%	15.6%	2.6%	3.6%	30.2K	-923.2K	-1.6K	0.03	101.47	N/A	N/A	35	1	241	38
2023-12-26	$48.89	$43.00	21.0%	6.0%	21.7%	17.6%	16.1%	1.6%	-7.1%	33.8K	-1.0M	-1.7K	0.03	119.17	N/A	N/A	69	2	274	38
2023-12-27	$48.75	$43.00	20.3%	5.8%	21.4%	16.6%	18.5%	-0.8%	-2.4%	40.4K	-1.3M	-2.4K	0.13	110.40	N/A	N/A	141	18	340	40
2023-12-28	$48.59	$43.00	17.5%	5.0%	21.6%	11.9%	18.4%	-2.4%	5.0%	56.4K	-1.4M	-3.0K	0.26	98.67	N/A	N/A	81	21	417	58
2023-12-29	$48.22	$45.00	13.0%	3.7%	22.1%	4.7%	14.5%	-3.8%	7.7%	59.1K	-1.6M	-4.0K	0.26	110.23	N/A	N/A	84	22	501	79