CALF Options History — July 2024

In July 2024, CALF traded between $42.25 and $48.92. ATM implied volatility averaged 21.1%, placing in the 23.7% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 0.7% (HV 20d: 20.4%). Max pain ranged from $42.00 to $45.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.12.

Notable Days

  • 2024-07-25: Highest Volume — 313 contracts
  • 2024-07-23: Largest IV spike — 65.9% change
  • 2024-07-23: Highest IV Rank — 42.1%
  • 2024-07-23: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.29$42.25$48.92$43.33$48.92
Max Pain$43.05$42.00$45.00$45.00$44.00
ATM IV21.1%16.2%27.9%16.2%21.4%
Expected Move5.9%4.6%8.0%4.6%6.1%
HV 20d20.4%12.8%25.1%15.4%25.1%
HV 60d17.6%15.2%19.3%16.0%19.3%
IV Rank23.7%10.8%42.1%15.7%23.8%
IV Percentile49.7%6.7%90.1%6.7%53.6%
Term Structure-1.0%-5.4%6.4%0.7%2.9%
VWIV21.2%11.9%50.5%20.5%25.2%
Skew 25d1.7%-4.5%14.0%1.3%-1.2%
Skew 10d2.7%-6.0%15.8%0.1%6.0%
Call IV 25d18.9%13.5%24.8%14.1%23.1%
Put IV 25d20.6%15.2%28.9%15.4%21.9%
Bid-Ask Spread %132.69115.08154.90119.18122.04
Gamma HHI0.250.130.350.250.33
Net GEX90.4K4.2K213.1K77.3K213.1K
Net DEX-1.5M-3.4M-345.1K-624.5K-3.4M
Net VEX-3.9K-6.5K-2.6K-3.1K-6.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.120.001.000.330.02
Total Volume73.364231312255
Total OI943.7275221,1299871,129

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-07-01$43.33$45.0016.2%4.6%15.4%15.7%20.5%1.3%0.7%77.3K-624.5K-3.1K0.33119.18N/AN/A93759228
2024-07-02$43.22$45.0016.5%4.7%15.4%16.5%13.2%1.0%2.9%87.9K-574.3K-2.9K1.00127.64N/AN/A55766231
2024-07-03$43.27$45.0016.6%4.8%12.8%11.0%50.5%1.2%3.5%83.3K-573.0K-3.0K0.00126.60N/AN/A20769231
2024-07-05$42.67$42.0020.4%5.4%12.8%21.6%0.0%0.6%-1.2%62.2K-565.9K-3.8K0.03149.41N/AN/A291767231
2024-07-08$42.95$42.0023.1%5.4%13.2%29.2%0.0%2.4%1.1%68.6K-518.7K-3.2K0.00152.12N/AN/A20772230
2024-07-09$42.25$42.0024.1%5.9%14.1%31.9%0.0%1.1%-1.8%77.6K-381.7K-3.2K0.00149.14N/AN/A40773230
2024-07-10$42.44$42.0021.3%6.1%14.3%24.0%21.0%3.1%-4.6%71.9K-345.1K-3.1K0.00154.90N/AN/A150777233
2024-07-11$44.11$42.0017.7%5.1%20.5%14.1%17.4%1.6%-1.1%59.1K-977.5K-3.1K0.10136.94N/AN/A586776233
2024-07-12$44.50$42.0021.3%6.1%20.4%24.2%17.9%-2.1%-5.1%9.3K-854.3K-2.8K0.00134.53N/AN/A790703231
2024-07-15$44.98$42.0023.4%6.7%20.4%29.9%21.9%-2.1%-4.4%20.5K-1.1M-2.7K0.03132.61N/AN/A913704231
2024-07-16$46.56$42.0019.9%5.7%22.5%20.2%17.5%-1.6%-3.8%108.6K-2.0M-2.6K0.01127.23N/AN/A781738230
2024-07-17$46.70$42.0023.9%6.8%22.4%31.3%21.5%6.7%-4.2%119.1K-2.1M-3.1K0.36131.98N/AN/A5018788231
2024-07-18$45.92$42.0020.1%5.8%23.5%20.7%11.9%6.4%-2.3%83.8K-1.8M-3.3K0.47136.13N/AN/A4320803237
2024-07-19$45.45$42.0021.9%6.3%23.6%24.9%22.2%4.5%-4.4%4.2K-1.5M-3.4K0.04141.50N/AN/A261837237
2024-07-22$46.03$42.0016.8%4.8%23.9%10.8%18.0%-3.3%6.4%61.1K-1.3M-3.2K0.01130.97N/AN/A103147151
2024-07-23$46.53$44.0027.9%8.0%24.0%42.1%18.7%-1.6%-5.4%61.7K-1.6M-3.9K0.00124.66N/AN/A79054352
2024-07-24$45.86$44.0022.5%6.5%23.8%26.9%20.1%7.7%-5.1%76.6K-1.6M-4.4K0.00132.43N/AN/A51059752
2024-07-25$46.86$44.0025.3%7.2%24.5%34.5%25.1%2.3%-1.6%81.0K-1.8M-4.7K0.01115.08N/AN/A311263652
2024-07-26$47.86$44.0020.6%5.9%25.0%21.5%20.1%0.2%1.8%159.9K-2.5M-5.7K0.03123.22N/AN/A164592259
2024-07-29$47.71$44.0020.5%5.9%25.1%21.0%21.1%-4.5%1.7%197.8K-2.8M-6.5K0.18126.84N/AN/A62111,04354
2024-07-30$48.22$44.0022.3%6.4%25.1%26.1%19.2%14.0%1.0%204.7K-3.1M-6.5K0.05123.95N/AN/A2011,06164
2024-07-31$48.92$44.0021.4%6.1%25.1%23.8%25.2%-1.2%2.9%213.1K-3.4M-6.4K0.02122.04N/AN/A25051,06663