CALF Options History — August 2024

In August 2024, CALF traded between $43.41 and $46.92. ATM implied volatility averaged 29.3%, placing in the 40.1% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 2.5% (HV 20d: 31.9%). Max pain ranged from $44.00 to $46.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.56.

Notable Days

  • 2024-08-16: Highest Volume — 272 contracts
  • 2024-08-12: Largest IV spike — 117.6% change
  • 2024-08-06: Highest IV Rank — 100.0%
  • 2024-08-06: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.96$43.41$46.92$46.92$46.14
Max Pain$44.59$44.00$46.00$44.00$45.00
ATM IV29.3%17.6%54.9%24.2%24.7%
Expected Move6.8%5.0%9.6%6.9%7.1%
HV 20d31.9%23.9%35.9%30.3%23.9%
HV 60d24.2%21.2%25.3%21.2%24.6%
IV Rank40.1%10.9%100.0%31.6%27.9%
IV Percentile72.3%14.7%100.0%79.0%77.0%
Term Structure-2.8%-10.7%2.1%-5.6%-10.7%
VWIV24.3%14.4%32.1%28.9%28.2%
Skew 25d3.1%-6.0%11.0%-6.0%9.1%
Skew 10d-0.3%-13.0%24.4%2.8%-13.0%
Call IV 25d22.2%15.0%33.5%27.8%17.5%
Put IV 25d25.3%18.2%33.9%21.8%26.7%
Bid-Ask Spread %137.89125.48158.17125.48140.03
Gamma HHI0.140.120.190.190.14
Net GEX128.8K91.3K180.9K180.9K140.4K
Net DEX-1.9M-2.9M-1.0M-2.7M-2.6M
Net VEX-8.6K-10.2K-7.1K-7.6K-9.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.007.730.240.00
Total Volume75.68282726821
Total OI1,396.7731,1471,5661,2201,427

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-08-01$46.92$44.0024.2%6.9%30.3%31.6%28.9%-6.0%-5.6%180.9K-2.7M-7.6K0.24125.48N/AN/A55131,16060
2024-08-02$45.28$44.0029.7%8.5%32.9%47.0%29.4%4.5%-6.0%144.3K-2.0M-7.4K0.40134.03N/AN/A86341,17171
2024-08-05$43.67$46.0044.8%8.6%35.7%89.6%32.1%6.3%1.8%114.4K-1.5M-8.2K7.73139.23N/AN/A262011,246105
2024-08-06$44.25$46.0054.9%9.6%35.3%100.0%29.3%-0.2%-2.8%108.2K-1.4M-9.7K3.23158.17N/AN/A311001,260306
2024-08-07$43.56$46.0035.7%7.2%35.9%54.1%14.4%4.2%2.1%105.5K-1.2M-8.6K0.00129.99N/AN/A801,287206
2024-08-08$44.22$46.0044.0%8.2%33.5%74.1%0.0%5.8%-1.0%121.0K-1.5M-9.1K0.00154.15N/AN/A1501,292206
2024-08-09$43.97$46.0023.1%6.5%33.4%24.1%22.7%2.8%2.0%109.0K-1.3M-8.1K0.13137.69N/AN/A1521,277206
2024-08-12$43.41$46.0050.3%6.4%33.4%89.0%25.0%1.6%-3.0%97.2K-1.0M-7.8K0.00138.00N/AN/A4201,267208
2024-08-13$44.22$44.0049.1%5.5%31.5%86.3%19.3%3.2%1.7%111.1K-1.2M-7.3K0.08135.64N/AN/A2521,245208
2024-08-14$43.77$44.0020.8%6.0%31.6%18.6%28.1%6.2%1.2%100.9K-1.1M-7.1K0.00139.57N/AN/A1501,228210
2024-08-15$44.81$44.0022.2%6.4%32.5%22.0%25.2%7.1%-5.7%128.7K-1.4M-7.3K0.00136.04N/AN/A1401,240210
2024-08-16$44.88$44.0020.0%5.7%32.3%16.7%0.0%7.8%0.6%135.0K-1.5M-7.2K0.00142.13N/AN/A27201,236210
2024-08-19$45.08$44.0017.6%5.0%32.0%10.9%14.4%11.0%0.4%91.3K-1.9M-8.2K0.01140.96N/AN/A711951196
2024-08-20$44.69$44.0020.9%6.0%31.8%18.8%22.3%-0.4%-1.4%101.8K-1.8M-8.7K0.00131.43N/AN/A2801,022197
2024-08-21$45.23$44.0022.9%6.5%31.8%23.5%23.6%7.5%-3.4%116.3K-2.0M-8.8K0.00135.46N/AN/A4501,050197
2024-08-22$44.84$44.0022.2%6.4%30.8%22.0%24.9%-1.9%-0.3%112.6K-2.0M-9.1K0.01134.44N/AN/A16721,091197
2024-08-23$46.05$44.0021.4%6.1%31.4%19.9%23.8%2.9%-4.2%171.0K-2.8M-9.9K0.50132.36N/AN/A42211,231197
2024-08-26$46.28$44.0023.0%6.6%31.5%23.9%19.9%-0.2%-8.9%166.5K-2.9M-9.4K0.00136.00N/AN/A10301,207216
2024-08-27$45.98$44.0025.1%7.2%31.2%28.8%0.0%0.5%-7.8%155.8K-2.8M-9.8K0.00138.63N/AN/A1301,264221
2024-08-28$45.77$44.0024.8%7.1%30.6%28.2%0.0%-3.3%-4.7%153.4K-2.6M-10.2K0.00140.64N/AN/A6701,251221
2024-08-29$46.14$44.0023.8%6.8%27.2%25.8%25.0%-0.5%-6.9%167.3K-2.8M-9.8K0.08133.58N/AN/A118101,257221
2024-08-30$46.14$45.0024.7%7.1%23.9%27.9%28.2%9.1%-10.7%140.4K-2.6M-9.5K0.00140.03N/AN/A2101,196231