CALF Options History — December 2024

In December 2024, CALF traded between $43.94 and $48.39. ATM implied volatility averaged 24.2%, placing in the 26.7% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 3.6% (HV 20d: 20.5%). Max pain ranged from $43.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.03.

Notable Days

  • 2024-12-02: Highest Volume — 44 contracts
  • 2024-12-27: Largest IV spike — 41.3% change
  • 2024-12-09: Highest IV Rank — 37.7%
  • 2024-12-31: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.88$43.94$48.39$48.39$44.02
Max Pain$43.29$43.00$45.00$45.00$43.00
ATM IV24.2%16.6%28.8%25.9%27.4%
Expected Move6.5%4.8%7.9%7.4%7.9%
HV 20d20.5%17.4%29.4%28.7%17.8%
HV 60d21.7%20.9%22.4%21.9%21.6%
IV Rank26.7%8.5%37.7%30.7%34.3%
IV Percentile65.2%5.2%87.3%81.0%82.9%
Term Structure-0.8%-10.2%4.5%-3.1%-10.2%
VWIV20.7%14.7%26.9%22.9%19.9%
Skew 25d2.8%-4.3%7.3%6.3%-4.3%
Skew 10d2.7%-13.5%23.7%1.6%-3.0%
Call IV 25d23.1%18.8%28.8%23.0%28.8%
Put IV 25d25.9%22.2%31.1%29.3%24.5%
Bid-Ask Spread %132.70122.17144.84140.26130.90
Gamma HHI0.170.130.220.220.16
Net GEX103.0K42.2K164.6K164.6K49.6K
Net DEX-1.8M-2.8M-1.0M-2.8M-1.0M
Net VEX-5.7K-7.0K-4.2K-6.9K-4.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.030.000.230.000.00
Total Volume10.667044440
Total OI1,185.5711,0551,2491,2461,074

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-12-02$48.39$45.0025.9%7.4%28.7%30.7%22.9%6.3%-3.1%164.6K-2.8M-6.9K0.00140.26N/AN/A4401,061185
2024-12-03$47.75$45.0024.9%7.1%29.4%28.3%0.0%6.9%-1.6%160.5K-2.7M-7.0K0.00141.52N/AN/A011,064185
2024-12-04$47.70$45.0025.8%7.4%28.9%30.5%0.0%5.2%-1.3%158.9K-2.6M-7.0K0.10144.84N/AN/A1011,064185
2024-12-05$47.19$43.0025.9%5.8%18.9%30.7%0.0%5.5%1.6%141.3K-2.4M-6.9K0.00131.52N/AN/A001,054186
2024-12-06$46.64$43.0026.4%5.7%19.3%32.0%16.9%2.9%0.5%135.7K-2.1M-6.5K0.07132.06N/AN/A1511,053186
2024-12-09$46.97$43.0028.8%5.7%19.5%37.7%23.4%0.7%1.6%138.3K-2.2M-6.5K0.00133.28N/AN/A601,050187
2024-12-10$47.09$43.0028.7%6.0%18.8%37.6%0.0%2.2%0.9%136.7K-2.2M-6.3K0.00130.00N/AN/A001,054187
2024-12-11$47.45$43.0021.1%6.0%18.2%19.3%0.0%1.9%2.1%145.1K-2.4M-6.1K0.00134.36N/AN/A001,054187
2024-12-12$46.95$43.0018.8%5.4%18.2%13.8%14.7%0.9%4.5%134.4K-2.2M-5.9K0.00135.93N/AN/A801,054187
2024-12-13$46.61$43.0020.5%5.9%17.7%17.9%20.6%1.2%0.5%122.6K-2.0M-5.9K0.00136.28N/AN/A1501,046187
2024-12-16$46.39$43.0023.0%6.6%17.4%23.9%0.0%1.1%-0.1%119.4K-1.9M-5.7K0.00136.60N/AN/A1701,031187
2024-12-17$45.95$43.0022.1%6.3%17.7%21.7%0.0%2.0%1.9%108.8K-1.8M-5.7K0.00134.73N/AN/A001,031187
2024-12-18$44.13$43.0025.9%7.4%22.6%30.8%26.9%5.3%-8.2%73.3K-1.2M-5.4K0.00122.17N/AN/A1101,031187
2024-12-19$44.48$43.0025.4%7.3%22.8%29.5%0.0%7.3%1.9%67.4K-1.2M-5.3K0.00123.01N/AN/A001,035187
2024-12-20$44.39$43.0025.4%7.3%21.4%29.5%18.4%2.6%-2.8%61.4K-1.1M-5.1K0.00127.13N/AN/A101,035187
2024-12-23$44.36$43.0025.1%7.2%20.4%29.0%19.1%-0.8%-2.0%47.2K-1.0M-4.6K0.23130.15N/AN/A358880175
2024-12-24$44.42$43.0025.1%7.2%18.5%29.0%0.0%4.5%-1.8%53.3K-1.1M-4.8K0.00133.06N/AN/A00890180
2024-12-26$44.67$43.0016.6%4.8%18.0%8.5%23.7%2.0%2.6%42.2K-1.2M-4.3K0.00132.91N/AN/A170890180
2024-12-27$43.94$43.0023.4%6.7%18.6%24.9%0.0%0.2%-3.2%53.5K-1.0M-4.6K0.00127.61N/AN/A00877180
2024-12-30$43.98$43.0021.7%6.2%18.6%20.8%19.9%5.5%0.1%49.5K-1.0M-4.3K0.00128.39N/AN/A340877180
2024-12-31$44.02$43.0027.4%7.9%17.8%34.3%0.0%-4.3%-10.2%49.6K-1.0M-4.2K0.00130.90N/AN/A00894180