CALF Options History — October 2024

In October 2024, CALF traded between $44.47 and $47.19. ATM implied volatility averaged 26.1%, placing in the 31.2% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 8.7% (HV 20d: 17.4%). Max pain ranged from $40.00 to $48.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 1.10.

Notable Days

  • 2024-10-15: Highest Volume — 74 contracts
  • 2024-10-09: Largest IV drop — 35.0% change
  • 2024-10-08: Highest IV Rank — 47.8%
  • 2024-10-31: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.91$44.47$47.19$46.06$44.47
Max Pain$44.30$40.00$48.00$40.00$42.00
ATM IV26.1%20.5%33.0%28.2%32.7%
Expected Move7.1%5.9%9.4%8.1%9.4%
HV 20d17.4%14.8%20.2%19.7%16.1%
HV 60d23.5%19.0%26.4%26.4%19.0%
IV Rank31.2%17.9%47.8%36.2%47.0%
IV Percentile76.0%37.7%94.4%86.9%94.4%
Term Structure-3.1%-9.3%1.9%-2.2%-9.3%
VWIV20.8%15.5%26.5%20.1%15.5%
Skew 25d6.2%-4.1%15.1%15.1%10.9%
Skew 10d9.5%-3.7%21.6%21.6%14.4%
Call IV 25d19.2%14.3%24.5%15.4%24.5%
Put IV 25d25.4%17.1%35.5%30.5%35.5%
Bid-Ask Spread %137.94126.15146.29126.15136.83
Gamma HHI0.140.120.240.130.13
Net GEX138.6K100.2K218.7K144.4K106.2K
Net DEX-2.4M-3.3M-1.5M-2.8M-1.5M
Net VEX-9.1K-10.3K-8.2K-10.3K-8.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.0016.000.000.02
Total Volume26.087074351
Total OI1,540.7391,1251,8481,7391,237

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-10-01$46.06$40.0028.2%8.1%19.7%36.2%0.0%15.1%-2.2%144.4K-2.8M-10.3K0.00126.15N/AN/A031,498241
2024-10-02$45.84$40.0028.6%8.2%19.8%37.1%20.1%14.4%-5.0%140.0K-2.7M-10.2K0.00128.64N/AN/A2501,498244
2024-10-03$45.53$48.0024.1%6.1%19.7%26.5%0.0%9.6%1.9%114.1K-2.5M-9.7K0.33140.45N/AN/A931,482244
2024-10-04$46.45$48.0024.3%6.2%20.2%26.9%0.0%2.8%0.2%148.7K-3.0M-9.9K2.25136.66N/AN/A491,482245
2024-10-07$46.22$48.0032.6%6.2%19.8%46.7%0.0%7.8%0.6%143.7K-2.8M-9.8K0.00135.32N/AN/A2901,480260
2024-10-08$45.99$48.0033.0%6.5%19.6%47.8%0.0%5.2%-1.0%147.7K-2.8M-9.8K0.00144.62N/AN/A501,509260
2024-10-09$46.02$48.0021.5%6.2%19.6%20.2%0.0%3.7%0.4%147.4K-2.8M-9.5K0.00140.95N/AN/A401,514260
2024-10-10$45.80$48.0021.4%6.1%19.2%20.1%0.0%5.8%-0.7%139.1K-2.7M-9.2K1.00146.29N/AN/A331,514260
2024-10-11$46.63$48.0023.7%6.8%17.2%25.6%26.5%10.8%-7.5%170.5K-3.1M-9.1K1.88136.27N/AN/A17321,517257
2024-10-14$46.59$47.0023.4%6.7%16.9%24.9%17.7%2.4%-5.4%163.6K-2.9M-8.8K16.00145.90N/AN/A1161,504273
2024-10-15$46.64$47.0020.5%5.9%16.7%17.9%21.2%1.9%-1.2%173.8K-2.9M-8.7K0.01132.38N/AN/A7311,505282
2024-10-16$47.19$47.0025.6%7.3%17.2%29.9%23.7%-4.1%-6.7%183.5K-3.3M-8.8K0.00134.76N/AN/A2301,529283
2024-10-17$47.05$42.0025.2%7.2%15.8%29.1%20.3%7.1%-4.7%183.9K-3.2M-8.7K0.24138.68N/AN/A41101,539283
2024-10-18$46.92$42.0022.3%6.4%15.6%22.1%19.1%10.9%-0.9%218.7K-3.3M-8.7K0.02137.89N/AN/A5711,555293
2024-10-21$46.13$42.0024.2%6.9%16.5%26.8%21.3%-1.1%-5.4%111.0K-2.0M-8.8K0.29133.88N/AN/A72933192
2024-10-22$45.80$42.0023.6%6.8%16.5%25.3%21.2%0.9%-2.6%106.3K-1.8M-8.7K0.02129.75N/AN/A491938194
2024-10-23$45.05$42.0024.6%7.0%15.7%27.6%19.7%5.3%-0.4%105.4K-1.6M-8.6K1.00136.84N/AN/A22974195
2024-10-24$45.05$42.0026.6%7.6%15.5%32.5%20.4%9.4%-5.6%101.3K-1.5M-8.5K0.08145.86N/AN/A363972195
2024-10-25$44.98$42.0025.3%7.2%14.8%29.2%21.1%6.6%-2.8%111.4K-1.6M-8.4K0.00138.79N/AN/A20988195
2024-10-28$45.56$42.0026.7%7.6%15.6%32.6%23.8%1.8%-5.3%108.5K-1.7M-8.2K0.00138.76N/AN/A120988195
2024-10-29$45.09$42.0031.1%8.9%15.8%43.2%15.5%4.0%-2.2%100.2K-1.6M-8.4K0.00143.70N/AN/A640998195
2024-10-30$44.97$42.0030.5%8.8%15.8%41.9%0.0%10.8%-5.8%119.4K-1.7M-8.7K0.00143.29N/AN/A001,042195
2024-10-31$44.47$42.0032.7%9.4%16.1%47.0%0.0%10.9%-9.3%106.2K-1.5M-8.9K0.02136.83N/AN/A5011,042195