CAMT Options History — November 2019

In November 2019, CAMT traded between $9.88 and $10.88. ATM implied volatility averaged 41.1%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 4.9% (HV 20d: 36.2%). Max pain ranged from $5.00 to $10.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 3.32.

Notable Days

  • 2019-11-20: Highest Volume — 439 contracts
  • 2019-11-06: Largest IV spike — 40.0% change
  • 2019-11-06: Highest IV Rank — 35.8%
  • 2019-11-05: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.35$9.88$10.88$10.88$10.49
Max Pain$7.24$5.00$10.00$9.83$10.00
ATM IV41.1%34.1%57.5%35.7%41.0%
Expected Move11.4%9.8%13.8%10.2%11.8%
HV 20d36.2%29.3%39.6%38.9%35.2%
HV 60d38.5%37.4%40.3%38.4%38.3%
IV Rank17.6%9.7%35.8%11.6%17.5%
IV Percentile42.9%14.7%94.4%20.6%43.7%
Term Structure0.6%-8.7%9.5%9.5%-1.9%
VWIV40.0%26.6%50.5%35.9%50.5%
Skew 25d23.7%-2.0%75.6%-2.0%10.3%
Skew 10d46.9%-2.7%123.7%-2.3%36.7%
Call IV 25d36.3%29.2%46.7%37.7%36.6%
Put IV 25d60.0%34.1%116.0%35.7%46.9%
Bid-Ask Spread %93.8080.00101.40100.5795.22
Gamma HHI0.520.410.670.590.44
Net GEX-29.1K-74.6K39.9K-34.0K-55.7K
Net DEX-184.6K-1.8M902.8K-1.8M522.5K
Net VEX-6.9K-9.7K-4.1K-4.1K-6.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.320.0047.780.140.00
Total Volume82.20439160
Total OI11,451.759,77312,60212,45610,366

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-11-01$10.88$9.8335.7%10.2%38.9%11.6%35.9%-2.0%9.5%-34.0K-1.8M-4.1K0.14100.57N/AN/A1422,44310,013
2019-11-04$10.84$10.0043.5%13.5%38.8%20.3%0.0%4.2%-0.9%-14.7K-1.3M-6.5K0.3087.77N/AN/A33102,45710,014
2019-11-05$10.84$5.0041.0%13.8%35.4%17.5%44.9%3.5%-4.8%-31.3K-1.4M-7.9K1.4489.25N/AN/A16232,47710,014
2019-11-06$10.62$5.0057.5%13.3%29.3%35.8%46.4%27.6%-3.3%-9.8K-1.0M-7.3K0.0489.47N/AN/A11552,46410,036
2019-11-07$9.88$5.0044.6%11.1%39.6%21.4%38.8%69.6%1.0%-3.9K-240.9K-7.2K0.3591.52N/AN/A105372,55710,041
2019-11-08$9.90$5.0038.5%11.5%39.4%14.6%0.0%3.1%3.7%33.1K38.4K-9.7K0.2280.00N/AN/A3272,56610,036
2019-11-11$9.89$5.0044.4%11.2%39.2%21.2%39.0%5.2%3.5%39.9K-144.3K-7.7K0.4496.47N/AN/A163712,56310,038
2019-11-12$10.08$5.0054.9%11.5%39.4%32.9%26.6%12.4%2.2%36.6K-332.5K-8.0K0.0091.83N/AN/A2502,40310,102
2019-11-13$10.24$5.0037.7%10.8%38.9%13.8%0.0%60.9%6.1%8.9K-876.6K-7.5K0.1893.59N/AN/A2852,41510,102
2019-11-14$10.33$5.0040.5%11.6%38.2%16.9%41.0%58.7%0.4%-18.9K-1.2M-5.9K0.0093.74N/AN/A302,39110,105
2019-11-15$10.37$5.0037.3%10.7%38.1%13.3%37.3%52.2%4.8%-62.4K-1.4M-5.3K0.0094.15N/AN/A2702,39110,105
2019-11-18$10.24$5.0045.6%13.1%36.9%22.6%45.7%11.1%-8.7%-53.8K642.8K-7.0K1.0095.72N/AN/A333959,378
2019-11-19$10.26$5.0034.1%9.8%36.9%9.7%34.1%3.6%3.1%-53.3K633.3K-6.3K0.0092.38N/AN/A01003969,381
2019-11-20$10.24$10.0037.9%10.9%36.8%14.0%0.0%6.3%-2.0%-62.4K619.0K-6.0K47.7899.95N/AN/A94303969,481
2019-11-21$10.12$10.0037.4%10.7%31.5%13.5%0.0%67.1%-1.4%-64.0K902.8K-8.0K0.0098.42N/AN/A1003979,911
2019-11-22$10.03$10.0037.2%10.7%30.7%13.2%0.0%75.6%-1.1%-74.6K812.8K-6.8K0.00101.40N/AN/A013879,911
2019-11-25$10.30$10.0038.3%11.0%32.5%14.5%0.0%-1.9%-1.2%-60.9K777.1K-7.3K4.0099.15N/AN/A14563879,912
2019-11-26$10.63$10.0039.7%11.4%33.8%16.0%0.0%1.8%-0.3%-51.2K601.7K-6.1K0.5298.89N/AN/A1951013779,862
2019-11-27$10.77$10.0035.2%10.1%33.9%11.0%50.5%4.8%3.3%-49.4K392.0K-6.0K0.0086.51N/AN/A105539,812
2019-11-29$10.49$10.0041.0%11.8%35.2%17.5%0.0%10.3%-1.9%-55.7K522.5K-6.5K0.0095.22N/AN/A005549,812