CAMT Options History — September 2019

In September 2019, CAMT traded between $8.90 and $10.27. ATM implied volatility averaged 39.7%, placing in the 16.1% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 3.9% (HV 20d: 35.8%). Max pain ranged from $7.33 to $9.83. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.24.

Notable Days

  • 2019-09-26: Highest Volume — 1,010 contracts
  • 2019-09-05: Largest IV spike — 35.4% change
  • 2019-09-19: Highest IV Rank — 23.6%
  • 2019-09-19: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.70$8.90$10.27$8.90$9.38
Max Pain$7.46$7.33$9.83$7.33$9.83
ATM IV39.7%26.4%46.5%39.0%36.7%
Expected Move11.8%7.6%13.3%11.2%10.5%
HV 20d35.8%29.5%42.4%39.8%42.4%
HV 60d39.4%38.5%42.1%38.7%42.1%
IV Rank16.1%1.2%23.6%15.2%12.6%
IV Percentile40.4%0.4%71.4%32.5%25.8%
Term Structure4.6%-4.4%20.6%-4.4%20.6%
VWIV43.6%40.1%46.9%46.9%40.1%
Skew 25d12.4%-11.5%62.0%6.8%32.4%
Skew 10d19.1%-15.8%111.7%-14.4%25.4%
Call IV 25d38.0%29.8%47.2%31.2%38.7%
Put IV 25d50.4%31.5%102.3%37.9%71.1%
Bid-Ask Spread %89.9971.19109.6687.41109.66
Gamma HHI0.500.490.570.530.57
Net GEX-4.8K-43.3K16.4K-28.7K-43.3K
Net DEX-251.1K-1.2M921.7K921.7K733.3K
Net VEX-19.7K-23.2K-13.7K-23.2K-16.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.240.002.250.000.01
Total Volume88.9501,010100
Total OI13,955.612,78214,09214,07012,782

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-09-03$8.90$7.3339.0%11.2%39.8%15.2%0.0%6.8%-4.4%-28.7K921.7K-23.2K0.0087.41N/AN/A1004,06210,008
2019-09-04$9.06$7.3326.4%7.6%39.1%1.2%46.9%-11.5%19.9%-22.1K715.5K-23.0K0.2697.09N/AN/A2364,07210,008
2019-09-05$9.30$7.3335.8%12.9%36.4%11.7%0.0%-4.0%1.0%-13.6K252.4K-22.4K0.3671.19N/AN/A28104,07810,014
2019-09-06$9.28$7.3333.6%10.1%36.3%9.2%0.0%5.1%19.1%-12.8K297.3K-22.2K0.0087.00N/AN/A204,08210,004
2019-09-09$9.31$7.3335.0%12.2%33.4%10.8%0.0%-2.5%3.4%-9.4K186.0K-21.5K0.0073.92N/AN/A004,08210,004
2019-09-10$9.35$7.3332.1%11.4%33.4%7.5%0.0%-2.1%5.0%-6.7K231.0K-21.9K0.0078.64N/AN/A2704,08210,004
2019-09-11$9.97$7.3341.6%11.9%39.6%18.2%0.0%6.5%1.2%6.5K-496.6K-21.8K0.0088.73N/AN/A1104,07010,004
2019-09-12$9.98$7.3341.1%11.8%37.0%17.6%0.0%62.0%2.7%7.8K-743.6K-20.8K0.8399.79N/AN/A12104,07310,004
2019-09-13$9.82$7.3344.3%12.7%37.8%21.1%0.0%20.4%3.5%383-483.3K-20.6K0.0086.27N/AN/A204,07610,004
2019-09-16$9.93$7.3343.7%12.5%36.9%20.4%0.0%13.2%3.4%1.5K-654.2K-19.7K0.0099.69N/AN/A504,07410,004
2019-09-17$9.91$7.3341.2%11.8%36.7%17.7%0.0%8.0%2.3%11.0K-615.4K-20.3K0.0096.48N/AN/A004,06910,004
2019-09-18$9.97$7.3342.9%12.3%35.4%19.5%0.0%5.3%2.4%-24.8K-1.2M-13.7K0.0088.47N/AN/A204,06910,004
2019-09-19$10.07$7.3346.5%13.3%34.3%23.6%46.7%20.3%1.0%7.0K-651.5K-19.8K0.0088.27N/AN/A1904,06710,004
2019-09-20$9.88$7.3339.8%11.4%34.3%16.1%40.2%12.4%4.4%16.4K-509.6K-19.7K0.0084.87N/AN/A3604,07910,004
2019-09-23$10.02$7.3344.1%12.6%30.3%20.9%44.1%7.1%1.3%8.8K-674.9K-18.4K0.1488.48N/AN/A2134,0269,978
2019-09-24$9.95$7.3340.5%11.6%30.6%16.9%0.0%15.2%6.6%4.0K-540.3K-18.2K2.2589.73N/AN/A494,0389,981
2019-09-25$10.27$7.3346.2%13.2%30.7%23.2%0.0%17.2%-1.7%11.6K-1.2M-17.0K0.0087.70N/AN/A004,0429,979
2019-09-26$10.25$7.3344.4%12.7%29.5%21.2%0.0%16.4%-1.8%15.0K-1.2M-16.9K0.0192.26N/AN/A1,00284,0429,979
2019-09-27$9.48$7.3340.1%11.5%42.2%16.5%40.1%18.8%1.9%-24.6K557.4K-17.1K0.01104.15N/AN/A52543,1749,982
2019-09-30$9.38$9.8336.7%10.5%42.4%12.6%0.0%32.4%20.6%-43.3K733.3K-16.2K0.00109.66N/AN/A002,7969,986