CAMT Options History — July 2019

In July 2019, CAMT traded between $8.08 and $9.94. ATM implied volatility averaged 39.0%, placing in the 26.6% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 4.6% (HV 20d: 34.4%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 11.31.

Notable Days

  • 2019-07-30: Highest Volume — 3,012 contracts
  • 2019-07-22: Largest IV spike — 35.8% change
  • 2019-07-25: Highest IV Rank — 42.5%
  • 2019-07-25: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.88$8.08$9.94$8.66$9.88
Max Pain$9.66$7.50$10.00$7.50$10.00
ATM IV39.0%27.5%46.8%37.2%44.8%
Expected Move11.4%7.9%13.4%10.7%12.8%
HV 20d34.4%30.8%38.7%34.9%38.7%
HV 60d37.0%34.7%39.6%39.6%36.6%
IV Rank26.6%3.5%42.5%23.0%38.3%
IV Percentile37.8%2.0%73.8%23.0%66.7%
Term Structure3.8%-9.7%18.7%2.7%12.3%
VWIV42.6%27.1%53.1%43.7%32.3%
Skew 25d0.4%-20.3%28.2%1.5%28.2%
Skew 10d9.5%-22.1%54.4%1.8%27.5%
Call IV 25d41.8%25.6%68.0%33.5%37.6%
Put IV 25d42.2%26.0%65.8%35.1%65.8%
Bid-Ask Spread %71.9557.2094.2992.0993.75
Gamma HHI0.480.390.640.400.49
Net GEX787-4.1K4.9K4.4K4.9K
Net DEX90.4K-538.7K354.2K-20.8K-538.7K
Net VEX-4.3K-14.5K-2.1K-2.7K-14.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio11.310.0075.000.0050.08
Total Volume567.68213,01212,043
Total OI2,926.1361,9868,4471,9868,447

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-07-01$8.66$7.5037.2%10.7%34.9%23.0%0.0%1.5%2.7%4.4K-20.8K-2.7K0.0092.09N/AN/A101,234752
2019-07-02$8.66$7.5035.7%10.2%31.5%20.0%0.0%2.8%4.5%4.2K-16.1K-2.7K0.0091.06N/AN/A301,234752
2019-07-03$8.55$7.5035.2%10.1%31.6%19.0%0.0%-2.0%4.6%4.3K-580-2.7K0.0088.84N/AN/A601,236752
2019-07-05$8.46$10.0040.7%12.8%31.4%30.1%43.7%-0.0%3.0%4.5K41.1K-2.4K0.0063.39N/AN/A601,236752
2019-07-08$8.24$10.0036.0%11.9%32.1%20.5%0.0%-6.7%2.6%4.4K105.4K-2.1K0.0063.45N/AN/A07501,236752
2019-07-09$8.20$10.0036.1%12.4%32.1%20.7%0.0%-4.9%0.4%-2.1K315.8K-3.9K0.0061.25N/AN/A07501,2361,502
2019-07-10$8.18$10.0041.4%11.9%30.8%31.5%0.0%-5.7%2.9%-2.2K329.6K-3.8K75.0061.40N/AN/A107501,2361,502
2019-07-11$8.08$10.0042.7%12.2%31.1%34.1%53.1%-4.2%2.9%-1.2K354.2K-3.7K62.5059.82N/AN/A127501,2461,502
2019-07-12$8.36$10.0036.5%10.5%33.1%21.7%27.1%-20.3%15.5%-1.9K291.1K-3.9K16.6758.54N/AN/A457501,2471,502
2019-07-15$8.55$10.0028.6%8.2%33.5%5.8%0.0%4.1%18.7%-1.3K227.4K-4.1K0.0057.20N/AN/A031,2821,502
2019-07-16$8.36$10.0033.0%9.5%34.5%14.6%0.0%-4.7%4.6%-1.2K296.1K-3.8K1.7559.39N/AN/A471,2821,499
2019-07-17$8.36$10.0033.6%9.6%31.0%15.7%0.0%-4.0%3.2%-3.2K284.6K-3.7K1.7561.04N/AN/A471,2861,506
2019-07-18$8.50$10.0027.5%7.9%31.1%3.5%0.0%-14.4%16.5%-3.0K240.5K-3.9K1.7557.55N/AN/A471,2861,506
2019-07-19$8.59$10.0031.6%9.1%31.3%11.7%33.3%5.8%14.8%-4.1K260.7K-3.7K0.0594.29N/AN/A12871,2861,506
2019-07-22$9.17$10.0042.9%12.3%38.7%34.5%48.2%-3.2%-9.7%-606166.8K-4.3K0.1881.03N/AN/A57101,1311,503
2019-07-23$9.38$10.0045.4%13.0%37.5%39.6%45.6%4.3%-3.7%59885.8K-4.2K0.5673.32N/AN/A18101,1241,493
2019-07-24$9.87$10.0043.4%12.4%38.1%35.5%43.4%2.7%-1.1%1.5K-92.7K-4.2K0.1871.23N/AN/A57101,1391,493
2019-07-25$9.77$10.0046.8%13.4%37.9%42.5%46.5%10.8%-3.8%3.1K-97.6K-4.1K0.4570.61N/AN/A22101,1631,493
2019-07-26$9.67$10.0045.6%13.1%38.1%40.0%46.4%-0.5%-1.7%3.0K-25.0K-4.1K0.0578.19N/AN/A221101,1601,483
2019-07-29$9.94$10.0046.5%13.3%38.6%41.7%44.7%5.1%-2.6%527-24.2K-3.7K1.9972.65N/AN/A1,0052,0009661,483
2019-07-30$9.85$10.0046.3%13.3%38.7%41.4%46.3%13.7%-2.8%2.8K-194.5K-9.3K1.9872.78N/AN/A1,0122,0001,9643,483
2019-07-31$9.88$10.0044.8%12.8%38.7%38.3%32.3%28.2%12.3%4.9K-538.7K-14.5K50.0893.75N/AN/A402,0032,9645,483