CALF Options History — April 2024

In April 2024, CALF traded between $45.41 and $48.83. ATM implied volatility averaged 21.5%, placing in the 29.7% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 2.6% (HV 20d: 18.9%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.38.

Notable Days

  • 2024-04-23: Highest Volume — 46 contracts
  • 2024-04-05: Largest IV spike — 42.4% change
  • 2024-04-30: Highest IV Rank — 47.6%
  • 2024-04-30: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.99$45.41$48.83$48.83$46.03
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV21.5%16.3%28.3%20.5%28.3%
Expected Move6.0%4.7%8.1%5.9%8.1%
HV 20d18.9%15.3%20.9%15.3%20.5%
HV 60d19.5%18.2%20.2%18.2%20.2%
IV Rank29.7%16.1%47.6%27.2%47.6%
IV Percentile51.9%6.3%91.3%44.4%91.3%
Term Structure-2.4%-10.3%9.5%-3.3%-7.2%
VWIV19.9%13.4%27.0%19.5%26.7%
Skew 25d3.3%-5.2%11.9%-1.6%8.6%
Skew 10d3.7%-11.9%16.6%11.8%-11.9%
Call IV 25d17.4%12.4%22.4%20.5%14.5%
Put IV 25d20.6%16.4%32.0%18.9%23.2%
Bid-Ask Spread %138.75118.89149.74118.89144.82
Gamma HHI0.150.130.200.180.15
Net GEX58.0K14.8K102.6K95.0K49.7K
Net DEX-1.6M-2.7M-970.7K-2.7M-1.3M
Net VEX-6.4K-6.9K-5.8K-5.9K-6.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.008.500.002.60
Total Volume13.591146218
Total OI1,160.7738611,3201,255910

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-04-01$48.83$45.0020.5%5.9%15.3%27.2%19.5%-1.6%-3.3%95.0K-2.7M-5.9K0.00118.89N/AN/A20888367
2024-04-02$47.75$45.0023.4%6.7%17.0%34.6%21.6%2.2%-7.3%86.0K-2.1M-6.9K1.43121.47N/AN/A710890367
2024-04-03$48.48$45.0023.1%6.6%17.2%33.9%0.0%11.0%-10.3%69.3K-2.3M-6.5K0.00121.88N/AN/A10888377
2024-04-04$47.97$45.0017.7%5.0%17.6%19.7%0.0%1.4%-2.0%85.2K-2.2M-6.7K0.80135.44N/AN/A108889377
2024-04-05$48.23$45.0025.2%5.4%17.5%39.4%13.4%-4.4%-1.8%91.0K-2.2M-6.8K0.00144.52N/AN/A60898385
2024-04-08$48.47$45.0021.4%6.3%17.4%29.5%21.5%-3.6%-4.1%102.6K-2.3M-6.6K2.00145.83N/AN/A510906385
2024-04-09$48.30$45.0027.6%5.5%17.4%45.7%0.0%0.4%-0.7%74.9K-2.2M-6.5K0.00136.93N/AN/A380911375
2024-04-10$46.97$45.0019.5%5.6%20.2%24.4%15.7%4.0%-0.9%66.5K-1.7M-6.7K8.50143.25N/AN/A217922375
2024-04-11$47.25$45.0019.8%5.7%20.2%25.3%0.0%6.3%-0.3%71.0K-1.8M-6.7K0.00149.74N/AN/A20920384
2024-04-12$46.47$45.0020.0%5.7%19.8%25.7%0.0%-0.1%-2.5%38.3K-1.4M-6.8K7.00136.76N/AN/A17922384
2024-04-15$46.05$45.0021.3%6.1%19.3%29.1%0.0%-5.2%-4.6%52.3K-1.3M-6.7K6.00135.94N/AN/A16922371
2024-04-16$46.03$45.0021.6%6.2%19.3%29.9%0.0%-2.1%-0.5%37.7K-1.3M-6.3K0.00143.04N/AN/A80921371
2024-04-17$45.58$45.0020.2%5.8%19.3%26.3%0.0%4.6%1.1%30.1K-1.1M-6.6K0.00138.23N/AN/A70929371
2024-04-18$45.41$45.0017.0%4.9%18.3%18.0%0.0%4.8%9.5%14.8K-970.7K-6.2K1.20139.60N/AN/A1012929371
2024-04-19$45.58$45.0021.9%6.3%18.0%30.7%22.4%11.6%-3.2%26.6K-1.0M-6.3K0.18139.12N/AN/A224939381
2024-04-22$46.16$45.0021.5%6.2%18.6%29.8%0.0%9.1%-1.6%41.2K-1.1M-6.0K0.00138.96N/AN/A70612249
2024-04-23$47.22$45.0016.3%4.7%20.6%16.1%14.1%10.6%0.4%40.1K-1.4M-5.8K0.00142.39N/AN/A460615249
2024-04-24$46.67$45.0019.9%5.7%20.9%25.6%16.0%0.9%-2.1%47.5K-1.4M-6.0K0.20141.03N/AN/A51637249
2024-04-25$46.39$45.0022.2%6.4%19.9%31.6%0.0%-2.9%-3.8%49.0K-1.2M-5.9K0.36142.78N/AN/A114640250
2024-04-26$46.80$45.0021.5%6.2%20.1%29.8%27.0%4.7%-4.1%51.3K-1.4M-5.9K0.00149.46N/AN/A80650254
2024-04-29$47.13$45.0022.8%6.5%20.3%33.1%21.4%11.9%-4.1%54.5K-1.5M-5.8K0.00142.51N/AN/A30653254
2024-04-30$46.03$45.0028.3%8.1%20.5%47.6%26.7%8.6%-7.2%49.7K-1.3M-6.2K2.60144.82N/AN/A513656254