CALF Options History — March 2024

In March 2024, CALF traded between $46.70 and $49.09. ATM implied volatility averaged 22.1%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 3.9% (HV 20d: 18.2%). 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 9 of 20 days. Put/call ratio averaged 0.69.

Notable Days

  • 2024-03-27: Highest Volume — 200 contracts
  • 2024-03-06: Largest IV spike — 74.8% change
  • 2024-03-12: Highest IV Rank — 57.1%
  • 2024-03-11: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.90$46.70$49.09$48.64$49.09
Max Pain$45.25$45.00$50.00$50.00$45.00
ATM IV22.1%14.6%45.1%22.5%18.2%
Expected Move5.2%4.2%6.7%6.4%5.2%
HV 20d18.2%13.8%23.4%23.2%15.2%
HV 60d19.4%18.3%20.5%20.4%18.7%
IV Rank23.3%7.3%57.1%20.1%21.1%
IV Percentile37.6%2.4%98.8%57.9%20.6%
Term Structure-0.8%-9.5%8.0%-5.5%0.2%
VWIV16.5%11.2%20.5%16.2%16.0%
Skew 25d2.5%-6.3%9.9%9.9%-0.8%
Skew 10d-0.6%-7.1%10.2%0.6%1.2%
Call IV 25d16.8%12.1%22.0%16.2%22.0%
Put IV 25d19.3%14.2%26.0%26.0%21.2%
Bid-Ask Spread %120.73114.74126.45124.90119.28
Gamma HHI0.160.140.190.150.19
Net GEX80.6K46.9K105.7K46.9K96.4K
Net DEX-2.1M-2.7M-1.5M-1.9M-2.6M
Net VEX-7.4K-8.3K-6.4K-7.9K-6.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.005.670.000.00
Total Volume33.650200920
Total OI1,196.41,1151,2841,1501,237

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-03-01$48.64$50.0022.5%6.4%23.2%20.1%16.2%9.9%-5.5%46.9K-1.9M-7.9K0.00124.90N/AN/A90807343
2024-03-04$48.22$45.0022.5%5.1%23.4%20.1%17.0%-0.4%-0.5%52.8K-1.9M-7.6K0.54120.21N/AN/A3720812343
2024-03-05$47.59$45.0018.3%5.2%23.0%13.3%0.0%-1.8%-3.0%59.8K-1.6M-7.9K0.00118.39N/AN/A180822343
2024-03-06$47.48$45.0031.9%5.1%23.0%35.5%20.0%6.5%-1.2%66.7K-1.5M-7.7K0.00124.07N/AN/A1040835343
2024-03-07$47.81$45.0019.5%5.1%23.1%15.3%0.0%-0.5%2.5%73.5K-2.3M-8.2K0.00121.81N/AN/A180935309
2024-03-08$47.48$45.0030.4%5.1%22.9%33.1%17.0%2.8%1.8%73.8K-2.0M-8.1K0.00120.69N/AN/A50925309
2024-03-11$47.34$45.0041.0%6.7%22.6%50.3%20.5%-6.3%-3.1%67.0K-1.8M-8.3K0.00117.80N/AN/A30925309
2024-03-12$47.34$45.0045.1%4.8%21.2%57.1%0.0%8.6%2.3%76.8K-2.0M-7.9K0.00126.45N/AN/A00926309
2024-03-13$47.64$45.0014.6%4.2%16.3%7.3%18.0%3.6%8.0%70.2K-2.0M-7.4K3.63122.68N/AN/A829926309
2024-03-14$46.70$45.0016.1%4.6%16.7%10.0%11.2%5.0%0.3%79.0K-1.7M-7.6K1.25124.55N/AN/A45926309
2024-03-15$47.34$45.0017.2%4.9%15.9%18.5%15.7%5.5%-1.7%81.1K-1.9M-7.6K0.00125.14N/AN/A80928309
2024-03-18$47.28$45.0016.1%4.6%14.8%15.6%19.2%7.0%-0.3%91.2K-2.0M-7.2K0.59120.71N/AN/A1710872243
2024-03-19$47.61$45.0019.7%5.6%13.8%25.0%11.2%6.2%-0.2%94.0K-2.2M-6.6K0.00117.87N/AN/A110875253
2024-03-20$48.31$45.0018.9%5.4%14.6%23.0%14.8%2.4%1.6%91.6K-2.4M-6.9K0.00122.79N/AN/A110886253
2024-03-21$48.70$45.0014.6%4.2%14.8%11.8%0.0%-0.4%0.2%105.7K-2.7M-6.6K0.00116.68N/AN/A50891253
2024-03-22$48.22$45.0019.5%5.6%15.0%24.5%15.3%-0.3%-9.5%95.1K-2.5M-6.9K0.50121.09N/AN/A63896253
2024-03-25$48.28$45.0016.8%4.8%14.9%17.3%0.0%0.6%-2.6%104.4K-2.6M-6.4K5.67114.74N/AN/A18102899256
2024-03-26$48.03$45.0020.6%5.9%14.7%27.5%17.8%2.4%-4.6%90.8K-2.4M-7.4K1.00115.40N/AN/A11917358
2024-03-27$48.81$45.0018.0%5.2%15.4%20.6%17.0%0.9%0.0%96.2K-2.7M-7.2K0.00119.38N/AN/A2000917367
2024-03-28$49.09$45.0018.2%5.2%15.2%21.1%16.0%-0.8%0.2%96.4K-2.6M-6.7K0.00119.28N/AN/A200870367