CALF Options History — June 2024 In June 2024, CALF traded between $43.03 and $46.41. ATM implied volatility averaged 20.4%, placing in the 26.6% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 4.5% (HV 20d: 15.9%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 2.52.
Notable Days 2024-06-21 : Highest Volume — 158 contracts2024-06-25 : Largest IV spike — 74.7% change2024-06-10 : Highest IV Rank — 38.4%2024-06-04 : Largest Expected Move — 6.8%Monthly Statistics Metric Avg Min Max Open Close Price $44.42 $43.03 $46.41 $46.41 $43.36 Max Pain $45.00 $45.00 $45.00 $45.00 $45.00 ATM IV 20.4% 13.5% 24.9% 20.0% 17.6% Expected Move 5.7% 3.9% 6.8% 5.7% 5.1% HV 20d 15.9% 12.7% 16.8% 12.7% 16.3% HV 60d 17.0% 16.1% 17.5% 16.6% 16.1% IV Rank 26.6% 8.7% 38.4% 25.6% 19.6% IV Percentile 44.8% 1.2% 80.2% 38.9% 17.9% Term Structure -2.5% -8.6% 4.3% -1.5% 1.2% VWIV 17.8% 9.6% 29.8% 20.4% 15.6% Skew 25d 0.3% -9.5% 10.0% 0.9% -1.3% Skew 10d 4.6% -21.1% 30.1% -7.3% 23.6% Call IV 25d 20.5% 12.9% 27.5% 24.5% 20.2% Put IV 25d 20.8% 15.7% 25.3% 25.3% 19.0% Bid-Ask Spread % 125.13 114.18 142.74 138.52 117.10 Gamma HHI 0.19 0.17 0.21 0.20 0.17 Net GEX 41.3K 25.3K 50.9K 45.5K 33.8K Net DEX -638.2K -1.4M -75.9K -1.4M -382.8K Net VEX -4.2K -5.0K -3.0K -4.8K -3.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.52 0.00 38.50 0.00 0.00 Total Volume 26.053 0 158 25 100 Total OI 979 887 1,021 938 887
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2024-06-03 $46.41 $45.00 20.0% 5.7% 12.7% 25.6% 20.4% 0.9% -1.5% 45.5K -1.4M -4.8K 0.00 138.52 N/A N/A 25 0 652 286 2024-06-04 $45.20 $45.00 23.7% 6.8% 15.6% 35.4% 0.0% -4.1% -5.6% 50.9K -1.1M -5.0K 0.00 142.74 N/A N/A 0 112 676 286 2024-06-05 $45.58 $45.00 23.0% 6.6% 15.9% 33.6% 24.4% -2.9% -7.0% 49.2K -1.1M -4.9K 0.00 135.07 N/A N/A 7 0 676 298 2024-06-06 $45.31 $45.00 18.3% 6.0% 15.8% 21.2% 17.0% 4.4% -4.8% 49.9K -1.0M -4.8K 1.00 119.22 N/A N/A 7 7 681 298 2024-06-07 $45.00 $45.00 23.7% 6.0% 15.3% 35.4% 0.0% 6.8% -6.2% 45.3K -886.7K -4.7K 0.00 121.78 N/A N/A 0 0 688 305 2024-06-10 $44.83 $45.00 24.9% 6.0% 15.0% 38.4% 9.6% 9.8% -4.1% 44.7K -852.8K -4.7K 0.00 126.69 N/A N/A 1 0 688 305 2024-06-11 $44.69 $45.00 24.4% 6.1% 15.0% 37.1% 12.0% 0.0% -8.6% 43.1K -695.9K -4.5K 0.00 125.45 N/A N/A 7 0 687 305 2024-06-12 $45.13 $45.00 21.0% 6.0% 15.3% 28.4% 15.5% 10.0% -2.7% 49.2K -984.2K -4.5K 0.00 120.10 N/A N/A 6 0 694 305 2024-06-13 $44.61 $45.00 22.4% 6.4% 15.6% 31.9% 0.0% 0.1% -7.5% 44.6K -701.8K -4.5K 0.43 123.16 N/A N/A 7 3 694 305 2024-06-14 $43.80 $45.00 19.3% 5.5% 16.5% 23.8% 0.0% -4.4% -2.2% 43.3K -519.7K -4.7K 0.44 125.30 N/A N/A 9 4 701 307 2024-06-17 $44.13 $45.00 20.1% 5.8% 16.8% 26.1% 19.1% 0.2% -2.2% 44.2K -528.8K -4.5K 0.00 123.15 N/A N/A 6 0 710 311 2024-06-18 $44.22 $45.00 21.2% 6.1% 16.7% 28.8% 0.0% 5.3% -3.7% 44.0K -626.6K -4.5K 0.00 127.69 N/A N/A 2 0 704 311 2024-06-20 $43.89 $45.00 17.8% 5.1% 16.6% 20.0% 14.4% -9.5% 3.4% 32.0K -318.1K -3.6K 0.00 126.06 N/A N/A 2 0 704 311 2024-06-21 $43.84 $45.00 16.9% 4.9% 16.2% 17.7% 29.8% -4.5% 1.2% 33.0K -225.2K -3.1K 38.50 127.68 N/A N/A 4 154 706 311 2024-06-24 $44.20 $45.00 13.5% 3.9% 16.5% 8.7% 0.0% 0.4% 4.3% 25.3K -405.0K -3.2K 0.00 125.15 N/A N/A 8 0 652 295 2024-06-25 $43.45 $45.00 23.6% 6.8% 16.7% 35.1% 23.4% -6.4% -5.7% 37.3K -237.7K -3.5K 0.00 118.82 N/A N/A 6 0 656 295 2024-06-26 $43.23 $45.00 15.3% 4.4% 16.7% 13.6% 12.8% 2.8% 4.1% 34.5K -97.8K -3.1K 0.00 119.66 N/A N/A 15 0 662 295 2024-06-27 $43.03 $45.00 20.0% 5.7% 16.3% 25.6% 15.6% -1.9% 0.6% 35.4K -75.9K -3.3K 0.00 114.18 N/A N/A 0 3 659 295 2024-06-28 $43.36 $45.00 17.6% 5.1% 16.3% 19.6% 0.0% -1.3% 1.2% 33.8K -382.8K -3.0K 0.00 117.10 N/A N/A 100 0 659 228
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