CALF Options History — February 2024

In February 2024, CALF traded between $46.72 and $48.95. ATM implied volatility averaged 20.5%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 0.9% (HV 20d: 21.4%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.66.

Notable Days

  • 2024-02-08: Highest Volume — 128 contracts
  • 2024-02-05: Largest IV spike — 36.5% change
  • 2024-02-21: Highest IV Rank — 24.5%
  • 2024-02-21: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.73$46.72$48.95$47.75$48.42
Max Pain$48.50$45.00$50.00$45.00$50.00
ATM IV20.5%16.8%25.2%18.4%17.9%
Expected Move5.8%4.8%7.2%5.2%5.1%
HV 20d21.4%16.2%24.9%16.2%23.4%
HV 60d20.7%18.7%21.2%20.8%20.5%
IV Rank16.8%10.8%24.5%13.4%12.7%
IV Percentile37.1%7.1%73.0%17.1%15.5%
Term Structure-2.0%-7.2%2.9%2.9%0.4%
VWIV20.9%14.9%28.1%14.9%19.6%
Skew 25d4.1%-6.2%11.6%0.3%9.6%
Skew 10d1.9%-11.7%13.6%0.9%1.9%
Call IV 25d18.7%11.1%24.9%19.8%15.6%
Put IV 25d22.8%13.8%30.1%20.1%25.2%
Bid-Ask Spread %125.52118.41134.77125.89124.44
Gamma HHI0.170.150.220.180.15
Net GEX58.7K30.8K87.8K65.7K49.5K
Net DEX-1.3M-1.8M-820.0K-1.5M-1.8M
Net VEX-8.0K-8.4K-7.5K-8.4K-7.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.660.0017.290.000.00
Total Volume30.521282917
Total OI1,107.751,0131,1841,0791,143

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-02-01$47.75$45.0018.4%5.2%16.2%13.4%0.0%0.3%2.9%65.7K-1.5M-8.4K0.00125.89N/AN/A290787292
2024-02-02$47.58$45.0017.2%5.2%16.3%11.5%0.0%0.5%-0.1%66.0K-1.4M-8.0K0.00126.42N/AN/A60766292
2024-02-05$46.77$45.0023.5%5.5%17.4%21.8%0.0%-0.3%-5.0%68.1K-1.1M-8.1K0.05131.24N/AN/A422772292
2024-02-06$46.72$45.0023.7%5.4%17.1%22.1%0.0%-1.5%-3.5%72.2K-1.1M-7.8K0.10133.60N/AN/A101767294
2024-02-07$46.94$45.0019.7%5.7%17.0%15.6%0.0%-2.4%-4.7%71.1K-1.1M-7.7K1.25134.77N/AN/A2025767295
2024-02-08$47.47$45.0019.5%5.6%17.4%15.3%14.9%5.7%-0.0%82.7K-1.2M-7.9K17.29127.51N/AN/A7121778320
2024-02-09$47.97$50.0018.8%5.4%17.7%14.2%0.0%10.1%2.3%61.8K-1.2M-8.0K0.00126.34N/AN/A500778376
2024-02-12$48.95$50.0020.2%5.8%18.8%16.4%21.4%-6.2%-6.6%34.4K-1.6M-7.5K0.38122.40N/AN/A2911769376
2024-02-13$47.11$50.0020.4%5.8%23.3%16.6%0.0%4.2%-0.8%55.2K-820.0K-8.0K3.00125.53N/AN/A412769383
2024-02-14$47.91$50.0016.8%4.8%23.7%10.8%17.0%11.6%0.8%56.1K-1.1M-8.1K0.07126.32N/AN/A141771395
2024-02-15$48.84$50.0021.9%6.3%24.0%19.1%23.1%1.4%-5.8%30.8K-1.6M-8.1K0.63124.14N/AN/A1610782394
2024-02-16$48.03$50.0022.1%6.3%24.9%19.5%21.9%1.8%-2.9%87.8K-1.2M-8.0K0.71122.26N/AN/A1410781403
2024-02-20$47.25$50.0023.9%6.9%24.7%22.4%24.1%8.3%-3.2%54.9K-1.1M-7.9K0.04118.42N/AN/A512712301
2024-02-21$47.11$50.0025.2%7.2%24.4%24.5%28.1%8.1%-0.1%58.2K-1.2M-8.3K5.50118.41N/AN/A422763303
2024-02-22$47.39$50.0021.8%6.3%24.4%19.0%0.0%1.5%2.0%54.4K-1.3M-8.3K0.00122.46N/AN/A02763324
2024-02-23$47.78$50.0018.1%5.2%24.3%13.0%17.0%6.0%-4.3%49.3K-1.4M-8.1K2.50125.81N/AN/A615763326
2024-02-26$48.11$50.0021.4%6.1%24.4%18.4%0.0%10.9%-2.7%47.6K-1.5M-8.0K0.00124.25N/AN/A60767341
2024-02-27$48.45$50.0017.6%5.0%24.3%12.1%20.3%2.5%-0.8%50.6K-1.8M-7.7K0.06123.59N/AN/A342772341
2024-02-28$47.97$50.0021.4%6.1%24.5%18.4%22.1%10.7%-7.2%56.8K-1.6M-8.0K0.00126.55N/AN/A150794343
2024-02-29$48.42$50.0017.9%5.1%23.4%12.7%19.6%9.6%0.4%49.5K-1.8M-7.7K0.00124.44N/AN/A170800343