CALF Options History — September 2024

In September 2024, CALF traded between $43.05 and $47.00. ATM implied volatility averaged 25.0%, placing in the 28.7% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 3.4% (HV 20d: 21.6%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.73.

Notable Days

  • 2024-09-19: Highest Volume — 271 contracts
  • 2024-09-26: Largest IV spike — 63.5% change
  • 2024-09-09: Highest IV Rank — 46.3%
  • 2024-09-26: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.23$43.05$47.00$44.84$46.40
Max Pain$40.50$40.00$45.00$45.00$40.00
ATM IV25.0%19.2%32.4%24.3%27.8%
Expected Move6.7%5.5%9.0%7.0%8.0%
HV 20d21.6%20.0%22.5%22.5%22.2%
HV 60d25.8%25.0%26.6%25.2%26.4%
IV Rank28.7%14.7%46.3%27.0%35.4%
IV Percentile68.5%23.8%94.0%75.8%85.7%
Term Structure-2.4%-10.2%7.4%-10.2%-4.3%
VWIV20.8%14.5%28.4%28.4%22.3%
Skew 25d4.0%-7.0%19.9%0.8%2.8%
Skew 10d5.6%-8.6%28.2%2.2%4.3%
Call IV 25d20.7%13.0%31.0%27.2%21.1%
Put IV 25d24.6%18.7%33.0%28.0%23.9%
Bid-Ask Spread %123.58111.43145.49136.98128.43
Gamma HHI0.140.130.180.140.13
Net GEX133.6K88.3K194.9K125.9K148.7K
Net DEX-2.5M-3.5M-1.4M-2.2M-2.9M
Net VEX-10.0K-11.0K-8.8K-9.0K-10.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.004.000.362.75
Total Volume42.302714915
Total OI1,610.41,4281,9761,4281,725

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-09-03$44.84$45.0024.3%7.0%22.5%27.0%28.4%0.8%-10.2%125.9K-2.2M-9.0K0.36136.98N/AN/A36131,197231
2024-09-04$44.73$45.0029.7%8.5%22.0%39.8%0.0%9.9%-8.3%115.8K-2.1M-9.8K0.00145.49N/AN/A1101,233244
2024-09-05$44.39$40.0028.5%6.4%21.4%37.0%0.0%-7.0%-3.6%115.4K-1.9M-9.8K0.00111.43N/AN/A601,237244
2024-09-06$43.89$40.0030.3%6.0%21.2%41.2%0.0%-4.7%0.5%104.3K-2.0M-10.2K0.00112.29N/AN/A2601,241244
2024-09-09$43.42$40.0032.4%5.6%21.4%46.3%14.5%6.7%7.4%99.6K-1.7M-9.8K0.03121.24N/AN/A3911,256244
2024-09-10$43.05$40.0030.7%6.8%21.1%42.2%18.7%6.1%0.1%94.0K-1.4M-9.3K0.71116.57N/AN/A751,252245
2024-09-11$43.14$40.0021.1%6.0%20.0%19.2%22.6%-7.0%2.3%88.3K-1.4M-8.8K1.10112.34N/AN/A10111,253247
2024-09-12$43.84$40.0020.8%6.0%20.6%18.5%20.2%8.9%-1.9%106.0K-1.7M-9.3K0.25117.22N/AN/A2051,260258
2024-09-13$45.17$40.0022.9%6.6%21.6%23.5%19.9%-0.2%0.7%136.6K-2.4M-9.5K0.06122.69N/AN/A5131,273261
2024-09-16$45.67$40.0022.5%6.4%22.0%22.5%20.7%3.5%-6.5%132.7K-2.7M-9.9K1.67122.55N/AN/A6101,315262
2024-09-17$46.00$40.0024.4%7.0%22.0%27.2%23.1%0.3%-5.9%140.7K-2.9M-10.4K0.00118.08N/AN/A7201,319271
2024-09-18$46.09$40.0027.4%7.9%21.7%34.5%27.0%-5.2%-5.0%160.3K-3.1M-11.0K0.87133.74N/AN/A61531,380272
2024-09-19$47.00$40.0021.6%6.2%22.4%20.6%20.9%5.0%-1.9%158.0K-3.5M-10.5K0.13117.81N/AN/A239321,418324
2024-09-20$46.67$40.0021.6%6.2%22.3%20.5%19.3%3.9%-2.3%194.9K-3.4M-10.6K0.67118.78N/AN/A961,654322
2024-09-23$46.25$40.0020.8%6.0%20.6%18.5%17.1%7.2%4.2%132.5K-2.8M-10.2K0.07122.42N/AN/A6141,441217
2024-09-24$46.52$40.0020.5%5.9%20.6%17.8%19.5%11.9%-6.9%165.4K-3.0M-10.0K1.00125.54N/AN/A10101,488221
2024-09-25$45.51$40.0019.2%5.5%22.0%14.7%18.2%14.5%1.0%145.2K-2.7M-10.4K4.00122.23N/AN/A141,494229
2024-09-26$45.78$40.0031.4%9.0%22.0%43.8%0.0%19.9%-4.3%151.1K-2.8M-11.0K0.00140.21N/AN/A001,488230
2024-09-27$46.30$40.0023.1%6.6%22.2%24.1%20.0%2.0%-3.4%155.9K-3.0M-10.3K0.13125.51N/AN/A811,488230
2024-09-30$46.40$40.0027.8%8.0%22.2%35.4%22.3%2.8%-4.3%148.7K-2.9M-10.1K2.75128.43N/AN/A4111,494231