CAMT Options History — December 2019

In December 2019, CAMT traded between $10.15 and $10.99. ATM implied volatility averaged 37.1%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 11.8% (HV 20d: 25.3%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 128.72.

Notable Days

  • 2019-12-04: Highest Volume — 1,699 contracts
  • 2019-12-26: Largest IV spike — 41.0% change
  • 2019-12-05: Highest IV Rank — 21.2%
  • 2019-12-04: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.68$10.15$10.99$10.36$10.85
Max Pain$7.86$7.50$10.00$10.00$7.50
ATM IV37.1%24.1%44.3%42.3%40.0%
Expected Move10.6%6.9%12.5%12.1%11.5%
HV 20d25.3%17.2%36.5%35.2%17.2%
HV 60d35.4%31.8%38.8%38.4%31.8%
IV Rank13.4%0.0%21.2%18.9%17.5%
IV Percentile30.1%0.0%63.1%50.4%43.7%
Term Structure4.8%-4.6%22.5%-2.2%-0.3%
VWIV38.5%38.1%38.8%38.1%38.7%
Skew 25d6.2%-8.5%17.1%-1.1%-8.3%
Skew 10d22.0%-0.9%36.1%12.2%29.1%
Call IV 25d31.1%22.3%53.7%52.5%34.6%
Put IV 25d37.3%21.8%58.7%51.4%26.4%
Bid-Ask Spread %94.0289.48100.7698.2293.07
Gamma HHI0.350.280.480.470.32
Net GEX-41.9K-66.5K-22.2K-62.0K-22.6K
Net DEX264.7K52.5K619.9K589.8K84.8K
Net VEX-4.2K-6.9K-2.6K-6.9K-2.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio128.720.001400.000.000.00
Total Volume200.38101,699358
Total OI7,938.3336,99810,36910,3667,011

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$10.36$10.0042.3%12.1%35.2%18.9%0.0%-1.1%-2.2%-62.0K589.8K-6.9K0.0098.22N/AN/A305549,812
2019-12-03$10.15$10.0040.2%11.5%35.8%16.6%0.0%5.0%-0.3%-66.5K619.9K-6.7K0.0097.78N/AN/A005579,812
2019-12-04$10.33$10.0043.7%12.5%36.5%20.5%0.0%3.4%-4.6%-61.7K537.3K-6.1K0.00100.56N/AN/A01,6995579,812
2019-12-05$10.31$7.5044.3%11.3%35.9%21.2%0.0%13.3%3.0%-52.7K485.3K-5.6K0.0091.28N/AN/A905578,174
2019-12-06$10.40$7.5039.6%11.0%24.4%15.9%38.1%15.5%4.8%-50.6K453.9K-5.6K0.0091.35N/AN/A01005578,124
2019-12-09$10.49$7.5041.3%10.8%24.5%17.9%0.0%17.1%6.0%-51.0K410.6K-5.2K7.1090.72N/AN/A302135578,224
2019-12-10$10.47$7.5032.0%10.9%24.5%7.4%0.0%16.7%6.0%-54.6K379.1K-4.9K1400.0089.48N/AN/A11,4005778,227
2019-12-11$10.49$7.5039.4%11.3%23.8%15.7%0.0%15.3%4.1%-48.2K318.8K-4.5K0.0090.76N/AN/A005766,927
2019-12-12$10.66$7.5035.9%10.3%23.8%11.8%0.0%8.1%6.1%-43.9K196.4K-3.8K8.0092.40N/AN/A7565766,927
2019-12-13$10.85$7.5037.2%10.7%24.3%13.3%0.0%16.4%9.6%-39.6K126.7K-3.5K0.0092.67N/AN/A06005696,911
2019-12-16$10.84$7.5037.5%10.7%24.3%13.6%0.0%14.0%5.0%-22.8K52.5K-2.8K0.0091.18N/AN/A705696,647
2019-12-17$10.96$7.5039.1%11.2%23.9%15.3%0.0%12.6%6.7%-34.6K78.5K-3.1K0.0090.81N/AN/A105696,647
2019-12-18$10.88$7.5040.2%11.5%24.2%16.6%0.0%13.6%0.1%-34.6K79.4K-3.0K0.0091.86N/AN/A005696,647
2019-12-19$10.89$7.5037.7%10.8%24.1%13.8%0.0%15.4%10.9%-34.7K121.6K-3.4K0.0091.46N/AN/A005696,647
2019-12-20$10.78$7.5032.3%9.3%24.0%7.8%0.0%-8.5%2.6%-34.6K155.5K-3.5K0.00100.76N/AN/A005696,647
2019-12-23$10.95$7.5030.5%8.7%23.9%5.8%38.8%-3.9%9.4%-22.2K59.8K-2.6K0.8090.97N/AN/A544646,534
2019-12-24$10.94$7.5024.1%6.9%22.5%0.0%0.0%0.5%22.5%-32.7K116.0K-3.2K0.0092.76N/AN/A604686,538
2019-12-26$10.99$7.5033.9%9.7%19.9%10.9%0.0%-5.3%-0.4%-31.2K106.4K-3.1K0.0096.24N/AN/A004686,538
2019-12-27$10.80$7.5032.0%9.2%20.5%8.7%38.7%-4.5%9.1%-35.7K174.8K-3.3K0.0099.33N/AN/A604686,538
2019-12-30$10.84$7.5035.7%10.2%17.9%12.8%0.0%-4.5%2.7%-42.3K411.1K-4.6K0.00100.70N/AN/A034736,538
2019-12-31$10.85$7.5040.0%11.5%17.2%17.5%0.0%-8.3%-0.3%-22.6K84.8K-2.6K0.0093.07N/AN/A5804736,538