CALF Options History — November 2024

In November 2024, CALF traded between $44.34 and $48.77. ATM implied volatility averaged 25.0%, placing in the 28.7% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 0.9% (HV 20d: 25.9%). Max pain ranged from $42.00 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 0.05.

Notable Days

  • 2024-11-05: Highest Volume — 233 contracts
  • 2024-11-11: Largest IV spike — 102.1% change
  • 2024-11-04: Highest IV Rank — 59.9%
  • 2024-11-01: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.11$44.34$48.77$44.34$47.84
Max Pain$44.85$42.00$45.00$42.00$45.00
ATM IV25.0%16.4%38.1%31.3%20.3%
Expected Move6.5%5.4%9.0%9.0%5.8%
HV 20d25.9%14.0%29.2%14.0%28.7%
HV 60d21.6%18.7%22.6%18.7%22.0%
IV Rank28.7%8.0%59.9%43.7%17.4%
IV Percentile62.1%4.8%95.6%92.5%32.9%
Term Structure-0.9%-9.2%5.7%-9.2%1.9%
VWIV18.9%12.1%27.0%21.5%19.2%
Skew 25d2.8%-10.6%9.6%7.0%0.3%
Skew 10d1.2%-12.8%21.0%20.4%2.2%
Call IV 25d20.4%15.0%29.4%29.4%21.1%
Put IV 25d23.2%12.8%36.4%36.4%21.4%
Bid-Ask Spread %134.44123.67143.66139.14133.87
Gamma HHI0.210.130.400.130.18
Net GEX196.9K97.4K389.9K97.4K148.9K
Net DEX-2.6M-4.0M-1.4M-1.4M-2.7M
Net VEX-7.7K-8.3K-7.0K-8.0K-7.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.050.000.500.000.00
Total Volume27.802331516
Total OI1,287.051,1271,4601,2181,201

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-11-01$44.34$42.0031.3%9.0%14.0%43.7%0.0%7.0%-9.2%97.4K-1.4M-8.0K0.00139.14N/AN/A1501,022196
2024-11-04$44.64$45.0038.1%7.3%14.3%59.9%0.0%9.6%-4.6%99.4K-1.6M-8.3K0.00131.30N/AN/A1001,034196
2024-11-05$45.45$45.0037.2%7.4%15.8%57.7%0.0%6.3%-0.2%110.5K-1.7M-8.0K0.00123.67N/AN/A23211,040196
2024-11-06$48.34$45.0021.6%6.1%27.2%20.5%21.5%3.7%0.8%291.6K-3.6M-8.3K0.22127.31N/AN/A67151,262197
2024-11-07$48.16$45.0020.1%6.0%27.2%17.0%0.0%1.5%2.0%325.7K-3.6M-8.3K0.00127.83N/AN/A1001,262182
2024-11-08$48.13$45.0016.4%5.7%26.6%8.0%19.4%7.1%1.1%389.9K-3.7M-7.9K0.00134.08N/AN/A2201,262182
2024-11-11$48.77$45.0033.1%5.4%26.9%47.9%20.1%4.1%-0.0%339.6K-4.0M-7.5K0.08130.77N/AN/A2521,259182
2024-11-12$47.95$45.0033.3%6.1%27.7%48.4%0.0%0.6%-3.4%378.5K-3.5M-7.8K0.00129.28N/AN/A1401,280180
2024-11-13$47.47$45.0021.4%6.1%27.7%20.0%0.0%4.1%-1.5%297.9K-3.2M-7.9K0.00137.22N/AN/A001,280180
2024-11-14$46.80$45.0019.3%5.5%28.2%14.9%16.1%6.9%0.9%271.3K-2.7M-7.7K0.00132.03N/AN/A401,280180
2024-11-15$46.31$45.0021.9%6.3%28.4%21.3%0.0%6.4%0.7%234.4K-2.4M-7.7K0.00135.20N/AN/A1601,280180
2024-11-18$46.47$45.0023.0%6.6%27.8%23.8%17.5%-0.7%-1.8%112.3K-2.0M-7.4K0.00142.87N/AN/A60948179
2024-11-19$46.14$45.0022.3%6.4%27.8%22.2%12.1%-10.6%-0.6%103.7K-1.9M-7.2K0.00143.66N/AN/A04954179
2024-11-20$46.14$45.0023.2%6.7%27.0%24.3%0.0%-3.2%-0.5%103.8K-1.9M-7.4K0.00137.89N/AN/A00954183
2024-11-21$47.05$45.0023.1%6.6%27.8%24.1%24.5%-0.2%-1.7%109.5K-2.1M-7.2K0.00132.75N/AN/A10954183
2024-11-22$47.75$45.0023.0%6.6%28.1%23.9%17.8%2.4%-1.7%119.8K-2.3M-7.2K0.00136.72N/AN/A250955183
2024-11-25$48.73$45.0023.1%6.6%28.6%24.1%18.8%1.5%-1.1%136.2K-2.9M-7.0K0.00134.37N/AN/A560980183
2024-11-26$47.84$45.0025.4%7.3%29.2%29.6%27.0%4.8%-5.8%138.4K-2.7M-7.6K0.50141.04N/AN/A211,012183
2024-11-27$47.82$45.0023.4%6.7%29.2%24.9%13.1%4.2%5.7%129.0K-2.7M-7.8K0.09137.70N/AN/A1111,014184
2024-11-29$47.84$45.0020.3%5.8%28.7%17.4%19.2%0.3%1.9%148.9K-2.7M-7.2K0.00133.87N/AN/A1601,016185