CALF Options History — May 2024

In May 2024, CALF traded between $45.56 and $46.95. ATM implied volatility averaged 24.9%, placing in the 38.6% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 8.9% (HV 20d: 16.0%). Max pain ranged from $44.00 to $47.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 1.97.

Notable Days

  • 2024-05-09: Highest Volume — 56 contracts
  • 2024-05-15: Largest IV drop — 66.7% change
  • 2024-05-14: Highest IV Rank — 100.0%
  • 2024-05-03: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.36$45.56$46.95$45.89$46.42
Max Pain$46.55$44.00$47.00$46.00$45.00
ATM IV24.9%16.1%48.5%26.2%23.1%
Expected Move5.5%3.7%8.1%7.5%6.6%
HV 20d16.0%11.9%19.5%19.5%12.7%
HV 60d17.5%16.4%19.9%19.9%16.7%
IV Rank38.6%15.6%100.0%42.0%33.7%
IV Percentile58.3%6.0%100.0%84.9%70.6%
Term Structure-3.7%-9.7%5.0%-9.7%-5.9%
VWIV15.6%11.0%20.4%12.5%20.4%
Skew 25d4.1%-2.1%16.7%8.6%1.2%
Skew 10d1.0%-13.9%19.2%-3.9%-13.9%
Call IV 25d17.0%10.3%23.0%19.3%23.0%
Put IV 25d21.1%16.1%29.3%27.8%24.2%
Bid-Ask Spread %145.51140.34151.62146.99140.34
Gamma HHI0.180.150.220.160.20
Net GEX45.5K34.8K52.7K46.7K45.2K
Net DEX-1.3M-1.4M-1.1M-1.1M-1.4M
Net VEX-5.3K-6.2K-4.7K-6.1K-4.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.970.0013.000.000.00
Total Volume13.409056123
Total OI951.1828811,030928937

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-05-01$45.89$46.0026.2%7.5%19.5%42.0%0.0%8.6%-9.7%46.7K-1.1M-6.1K0.00146.99N/AN/A120661267
2024-05-02$46.17$46.0022.2%6.4%19.5%31.5%0.0%11.1%-6.0%49.0K-1.2M-6.0K0.00147.11N/AN/A00673267
2024-05-03$46.31$46.0028.1%8.1%19.4%47.1%12.5%16.7%-9.4%49.7K-1.3M-6.2K0.08144.87N/AN/A121673267
2024-05-06$46.59$44.0027.3%3.7%19.5%44.9%13.8%4.2%5.0%48.8K-1.4M-5.9K1.00145.83N/AN/A1414672275
2024-05-07$46.73$47.0028.2%5.1%19.5%47.3%16.4%0.7%-2.6%51.2K-1.4M-5.9K0.33145.48N/AN/A31684286
2024-05-08$46.36$47.0030.5%5.3%17.1%53.3%0.0%2.6%-2.2%48.2K-1.3M-5.9K0.00148.66N/AN/A00687285
2024-05-09$46.86$47.0027.6%5.0%17.4%45.7%0.0%1.4%-1.8%44.1K-1.4M-5.0K13.00147.19N/AN/A452687285
2024-05-10$46.42$47.0038.2%5.1%16.7%73.4%14.0%2.0%-2.7%38.3K-1.2M-5.7K1.00140.65N/AN/A11691337
2024-05-13$46.55$47.0040.6%3.7%16.4%79.7%0.0%5.3%2.5%43.1K-1.2M-5.6K3.50148.85N/AN/A27692338
2024-05-14$46.83$47.0048.5%5.3%16.5%100.0%0.0%1.1%-5.8%52.7K-1.4M-5.2K10.00143.86N/AN/A220692308
2024-05-15$46.95$47.0016.1%4.6%16.0%15.6%11.0%8.0%-1.2%40.6K-1.4M-4.9K0.50143.95N/AN/A21694328
2024-05-16$46.77$47.0016.7%4.8%16.0%17.0%17.4%-0.4%-6.0%40.4K-1.3M-4.7K0.00145.39N/AN/A90695329
2024-05-17$46.30$47.0018.5%5.3%16.5%21.8%16.5%-2.1%-3.1%34.8K-1.2M-5.1K1.24145.91N/AN/A1721697329
2024-05-20$46.45$47.0019.8%5.7%15.9%25.0%15.5%5.5%-4.3%46.7K-1.3M-5.0K0.21143.26N/AN/A143616265
2024-05-21$46.66$47.0018.6%5.3%13.7%22.0%0.0%3.8%-2.8%50.0K-1.3M-4.8K0.00144.95N/AN/A04621267
2024-05-22$46.09$47.0018.4%5.3%13.8%21.7%18.4%3.4%-3.7%49.9K-1.3M-4.9K0.29141.48N/AN/A72621263
2024-05-23$45.70$47.0018.6%5.3%13.9%22.1%0.0%4.0%-5.1%46.1K-1.1M-5.2K0.00144.02N/AN/A03621265
2024-05-24$46.20$47.0020.1%5.8%14.1%25.9%0.0%1.4%-4.3%45.6K-1.2M-5.0K3.75151.62N/AN/A415621268
2024-05-28$46.16$47.0020.7%5.9%13.8%27.6%0.0%1.5%-5.6%44.9K-1.2M-4.8K0.00146.47N/AN/A180621283
2024-05-29$45.56$47.0019.0%5.5%11.9%23.2%20.4%7.7%-1.5%42.1K-1.1M-5.1K0.54143.03N/AN/A137638283
2024-05-30$45.86$45.0021.1%6.0%12.2%28.5%0.0%3.0%-4.8%44.0K-1.2M-5.1K0.00151.24N/AN/A60651286
2024-05-31$46.42$45.0023.1%6.6%12.7%33.7%0.0%1.2%-5.9%45.2K-1.4M-4.9K0.00140.34N/AN/A30651286