CALF Options History — January 2024

In January 2024, CALF traded between $45.59 and $48.20. ATM implied volatility averaged 20.6%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 2.2% (HV 20d: 18.3%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 4.37.

Notable Days

  • 2024-01-19: Highest Volume — 199 contracts
  • 2024-01-22: Largest IV spike — 27.8% change
  • 2024-01-17: Highest IV Rank — 25.3%
  • 2024-01-17: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.94$45.59$48.20$47.75$47.20
Max Pain$48.62$45.00$50.00$45.00$50.00
ATM IV20.6%15.9%25.7%25.2%20.4%
Expected Move5.7%4.6%7.4%7.2%5.8%
HV 20d18.3%14.5%22.1%20.9%17.2%
HV 60d21.1%20.6%21.8%21.3%21.3%
IV Rank17.0%9.3%25.3%24.5%16.7%
IV Percentile34.1%4.0%69.4%65.9%33.3%
Term Structure-2.0%-9.4%8.3%-6.8%-9.4%
VWIV20.5%12.7%26.3%25.3%25.4%
Skew 25d1.7%-9.4%12.0%-0.4%-9.4%
Skew 10d-3.4%-14.9%7.1%-11.2%-1.1%
Call IV 25d18.8%12.4%27.2%21.5%27.2%
Put IV 25d20.5%15.4%24.3%21.1%17.9%
Bid-Ask Spread %122.15105.73130.37111.98124.63
Gamma HHI0.180.150.250.250.17
Net GEX77.4K63.4K100.9K87.9K68.7K
Net DEX-1.3M-1.8M-775.7K-1.6M-1.4M
Net VEX-6.5K-8.5K-4.7K-4.8K-8.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.370.0083.000.040.02
Total Volume45.47661997659
Total OI883.816521,0626801,062

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-01-02$47.75$45.0025.2%7.2%20.9%24.5%25.3%-0.4%-6.8%87.9K-1.6M-4.8K0.04111.98N/AN/A73358496
2024-01-03$46.83$45.0020.8%6.0%22.1%17.4%21.5%-7.3%-2.1%76.5K-1.4M-4.7K0.94105.73N/AN/A161555399
2024-01-04$46.98$46.0021.3%5.7%21.3%18.3%17.3%4.4%1.1%77.7K-1.4M-4.7K0.03123.82N/AN/A301566107
2024-01-05$46.75$46.0022.8%5.1%21.4%20.6%15.1%1.9%1.6%81.4K-1.3M-4.8K0.03120.71N/AN/A632584108
2024-01-08$47.11$46.0024.3%5.3%21.5%23.0%21.8%-4.7%-0.3%98.7K-1.5M-5.1K0.06116.45N/AN/A523638110
2024-01-09$46.72$46.0021.7%6.5%21.7%18.9%17.1%-2.7%-4.8%100.9K-1.4M-5.5K2.60110.00N/AN/A1026685113
2024-01-10$46.72$48.0017.6%5.1%21.6%12.2%23.8%4.8%1.6%96.2K-1.4M-5.7K1.05124.33N/AN/A2223694139
2024-01-11$46.59$50.0017.8%5.1%21.5%12.4%20.3%1.9%-0.7%89.1K-1.2M-5.6K83.00125.43N/AN/A183674162
2024-01-12$46.48$50.0019.3%5.5%20.4%14.9%0.0%0.1%0.5%72.4K-1.1M-6.4K0.00125.81N/AN/A100674245
2024-01-16$45.91$50.0022.8%6.5%16.8%20.7%26.3%0.8%-5.7%70.7K-863.4K-6.1K0.00130.26N/AN/A140674245
2024-01-17$45.59$50.0025.7%7.4%16.8%25.3%0.0%-0.8%-4.9%82.2K-775.7K-5.9K0.07130.37N/AN/A302688243
2024-01-18$46.31$50.0021.7%6.2%17.9%18.9%21.4%4.2%-4.8%79.8K-1.1M-6.0K0.14129.49N/AN/A71697244
2024-01-19$46.66$49.0015.9%4.6%14.5%9.3%20.6%10.0%8.3%64.0K-1.2M-5.8K0.11129.51N/AN/A17920697245
2024-01-22$47.55$50.0020.3%5.8%15.5%16.5%19.9%5.1%-1.0%63.4K-1.5M-7.4K2.32124.99N/AN/A2865690206
2024-01-23$47.02$50.0018.4%5.3%15.7%13.4%12.7%4.0%-1.6%64.8K-1.2M-8.0K0.17123.55N/AN/A61707271
2024-01-24$46.78$50.0017.0%4.9%15.5%11.2%0.0%12.0%-2.1%67.5K-1.1M-8.1K0.00121.96N/AN/A120713272
2024-01-25$47.25$50.0017.7%5.1%15.4%12.4%17.5%2.4%-1.6%70.2K-1.3M-8.1K0.00123.44N/AN/A60725272
2024-01-26$47.47$50.0017.4%5.0%15.5%11.9%0.0%2.3%-1.2%68.5K-1.3M-8.2K0.00121.45N/AN/A370725272
2024-01-29$47.89$50.0021.5%6.2%15.9%18.5%19.7%1.6%-3.8%71.3K-1.6M-8.2K0.11119.46N/AN/A182762272
2024-01-30$48.20$50.0022.1%6.3%15.9%19.6%22.5%5.8%-4.6%74.5K-1.8M-8.2K1.19121.82N/AN/A1619775272
2024-01-31$47.20$50.0020.4%5.8%17.2%16.7%25.4%-9.4%-9.4%68.7K-1.4M-8.5K0.02124.63N/AN/A581771291