Options/CAL

CALCaleres Inc

Options Analysis Report•FOOTWEAR, (NO RUBBER)

Market Cap $419M|NYSE

● 2026-08-31$12.48

NEUTRAL

Analysis: 2026-08-28 EOD data

1Y -15.7%YTD +1.9%7D -8.6%

Options Vol

412

30D

Implied Move

±24.3%

IV Rank

28%

CAL Options Overview

IV is elevated. Conditions favor premium sellers.

REWARDS

RISK ANALYSIS

Snowflake Analysis

Favorable conditions for premium sellers

Learn

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CAL Gamma Walls

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Value

Is IV priced right?

3.2

ExpensiveCheap

Measures whether options are cheap, fair, or rich relative to historical and peer

levels.

Risk Checks2/9 checks passed

IV Rank

≤35%

IV Rank 91.3% — elevated vs history

IV/HV Ratio

<1.05x

IV/HV 1.27x — IV premium over HV

Sector Relative≤50%

Sector percentile 97% — above sector median

Term Structure

<1.1x

Front/Back 1.17x — backwardation

Skew Normal

<1.25x

Put/Call IV 1.16x — elevated

Absolute IV

<80%

ATM IV 75.9% — normal range

Spread-Adjusted Value

<80%

Effective IV 178.9% (ATM 75.9% + spread 51.5% + bias) — expensive

Execution Efficiency

<3.0%

Total drag 56.87% (spread 51.49% + slippage 5.38%) — high friction

Vega Efficiency

≥5.0

Vega efficiency 0.23 (vega 1.188 / spread 51.49%) — spread drag

Sentiment

Bullish or bearish?

5.8

BearishBullish

Analyzes

put/call ratios

open interest skew

, and flow direction to determine market bias.

Risk ChecksVery Bullish - Moderate signal (Conviction: +48%, Raw: +50%)

Flow Direction

|net sentiment| ≥25%

Conviction-weighted: +48% (strong bullish) — Raw: +50%

OI Skew Magnitude

≥15%

|OI skew| 4.2% — balanced

Volume-OI Alignment

Same sign, |vol skew| ≥10%

Vol skew -100.0%, OI skew +4.2% — divergent (opposite)

Conviction Quality

≥2/3 conditions

0-DTE 0%, far-OTM 15%, avg DTE 30

OI Momentum

|change| ≥3%

OI change +0.0% (5d) — stable

Smart Money Flow

|weighted flow| ≥20%

ITM: +0%, ATM: +50%, OTM: +33% — bullish (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 55% — neutral vs sector

Activity

Unusual activity?

4.7

QuietActive

Detects volume surges,

block trades

, and unusual options activity that may signal moves.

Risk Checks4/8 checks passed

Volume Surge

≥1.5x

Volume 0.7x avg — normal

Turnover Rate

≥15%

Vol/OI 2.8% — normal turnover

Multi-Day Persistence

≥2 days

1 day(s) elevated — may be one-day event

OI Build

≥5%

OI change +6.5% (5d) — building

Sector Relative≥60%

Sector activity percentile 60% — active vs sector

Trade Quality

≥30%

Large trade volume 97% — heavy institutional

Execution Urgency

≥60%

Aggressive execution 7% — patient

Flow Conviction

≥30

Conviction +48 (bullish) — moderate

Liquidity

Can I trade efficiently?

2.8

IlliquidLiquid

Evaluates

bid-ask spreads

, volume depth, and open interest for trade execution quality.

Risk Checks2/8 checks passed

Tradeable Spread

≤5.0%

Spread 51.5% — wide

Adequate OI

≥10,000

OI 14,499 — adequate

Active Volume

≥500

Volume 412/day — thin

Reasonable Cost

≤$0.50

$2.57 to cross — expensive

Strike Coverage

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 99% — much wider than sector

Order Book Depth

≥100 contracts

Depth 753.7 contracts (bid:526.9 ask:226.8) — deep

Execution Quality

<1.0%

Avg slippage 5.38% — poor

Timing

Is now a good time?

8.5

RiskyFavorable

Considers earnings proximity,

time decay

, and event calendar for optimal entry timing.

Risk Checks9/9 checks passed

Term Structure Clarity

|slope| ≥5%

Slope +16.6% — backwardation

IV Percentile Clarity

<30 or >70

IV percentile 91% — seller opportunity

Event Detection

≥10pts kink

IV kink 11.0pts — event priced

Theta/Vega Clarity

<0.5 or >2.0

θ/ν ratio 47.89 — favors income trades

Expiration Distribution

≥3 expirations

4 liquid expirations — flexible

Event Risk

≥60% (safe)

acceptable: Earnings in 10d

Spread Momentum

<1.2 ratio

Spread ratio 1.00x — stable

Flow Momentum

≥25% strength + ≥50% consistency

Flow +48% @ 74% consistency — STRONG directional (bullish)

Smart Money Timing

≥40 composite score

Score 127 (ITM 20% + inst 97%) — HIGH institutional

Directional Strategy Fit

Option Buyers

Long Calls4.8

bullishIV expensive, mixed flow

Long Puts4.3

bearishIV expensive, mixed flow

Premium Sellers

Cash-Secured Put5.9

bullishIV rich premium, mixed flow

Covered Call5.4

bearishIV rich premium, mixed flow

For educational purposes only. Not investment advice.

The Options Desk tracks the move options price into every US earnings report the week of Aug 31, next to how much each stock has actually moved on its past prints — plus the SPY, QQQ and IWM expected ranges and the gamma walls that box them in.

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