CAMT Options History — January 2020

In January 2020, CAMT traded between $10.92 and $13.50. ATM implied volatility averaged 48.7%, placing in the 27.1% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded above realized volatility by 12.8% (HV 20d: 35.9%). Max pain ranged from $7.50 to $9.83. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.57.

Notable Days

  • 2020-01-21: Highest Volume — 535 contracts
  • 2020-01-10: Largest IV spike — 45.6% change
  • 2020-01-10: Highest IV Rank — 43.8%
  • 2020-01-30: Largest Expected Move — 16.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.04$10.92$13.50$11.16$11.32
Max Pain$9.61$7.50$9.83$7.50$9.83
ATM IV48.7%36.8%63.9%40.1%54.8%
Expected Move13.7%10.6%16.2%11.5%15.7%
HV 20d35.9%17.3%55.1%17.3%55.1%
HV 60d33.5%28.2%38.9%32.1%38.9%
IV Rank27.1%14.0%43.8%17.6%33.8%
IV Percentile73.2%25.8%97.6%44.0%91.7%
Term Structure-6.9%-14.8%0.4%-11.4%-9.5%
VWIV45.7%24.9%60.7%24.9%56.9%
Skew 25d2.7%-19.9%24.6%-7.1%7.6%
Skew 10d9.7%-21.9%72.9%-4.2%1.7%
Call IV 25d42.1%28.8%56.8%35.7%56.8%
Put IV 25d44.8%28.5%64.4%28.5%64.4%
Bid-Ask Spread %88.8676.57100.6794.7792.24
Gamma HHI0.290.240.430.400.27
Net GEX-4.5K-28.8K9.5K-17.0K-7.4K
Net DEX-214.7K-561.5K117.6K6.9K117.6K
Net VEX-2.9K-3.5K-2.2K-2.4K-3.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.005.002.001.50
Total Volume59.7620535125
Total OI7,455.0486,9887,8116,9887,811

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$11.16$7.5040.1%11.5%17.3%17.6%0.0%-7.1%-11.4%-17.0K6.9K-2.4K2.0094.77N/AN/A484506,538
2020-01-03$11.03$7.5036.8%10.6%17.5%14.0%0.0%-19.9%-1.6%-18.1K30.4K-2.4K0.00100.67N/AN/A0104506,546
2020-01-06$10.92$9.8337.9%11.8%18.1%15.2%24.9%-10.1%-14.8%-20.3K87.6K-2.5K5.00100.65N/AN/A10504506,596
2020-01-07$11.14$9.8345.4%12.5%19.0%23.4%0.0%6.4%0.4%-28.8K103.5K-2.9K0.0086.81N/AN/A004606,646
2020-01-08$11.28$9.8343.5%12.3%19.1%21.3%42.6%-10.4%-4.2%-23.2K90.5K-2.7K0.0092.58N/AN/A2204606,646
2020-01-09$11.28$9.8343.9%12.4%19.1%21.8%0.0%4.5%-3.4%-12.7K-59.2K-3.2K0.0088.12N/AN/A008506,646
2020-01-10$11.20$9.8363.9%13.6%19.5%43.8%47.1%1.9%-4.2%-15.4K-2.8K-3.4K0.0088.20N/AN/A208506,646
2020-01-13$11.39$9.8355.9%12.6%19.5%35.0%0.0%-13.2%-4.2%-13.3K-161.0K-2.9K0.4096.45N/AN/A1048516,646
2020-01-14$12.61$9.8337.1%12.5%39.9%14.3%48.5%10.5%-3.3%6.6K-554.7K-2.2K0.1580.18N/AN/A6198456,650
2020-01-15$12.34$9.8346.8%13.4%41.1%25.0%46.9%20.5%-6.6%4.3K-480.6K-2.5K0.0986.09N/AN/A3438806,650
2020-01-16$12.59$9.8347.3%13.6%41.4%25.5%47.3%24.6%-6.3%5.7K-561.5K-2.5K0.0176.57N/AN/A10519026,649
2020-01-17$12.46$9.8346.9%13.4%41.6%25.0%28.0%8.7%-7.0%7.8K-555.7K-2.6K0.0095.76N/AN/A2909776,649
2020-01-21$13.14$9.8352.7%15.1%44.6%31.5%54.0%5.9%-10.4%9.5K-553.5K-2.4K0.8086.16N/AN/A2972388276,549
2020-01-22$13.50$9.8352.5%15.1%44.4%31.3%49.3%4.6%-9.9%6.2K-480.9K-2.9K0.0591.36N/AN/A4327946,780
2020-01-23$13.42$9.8352.8%15.1%44.8%31.6%49.6%6.8%-8.3%6.8K-475.8K-3.1K0.0090.34N/AN/A4008276,782
2020-01-24$13.11$9.8351.7%14.8%46.2%30.3%53.0%1.1%-6.2%5.9K-398.7K-3.1K0.0082.19N/AN/A508316,782
2020-01-27$12.43$9.8351.6%14.8%51.2%30.3%49.4%8.2%-7.8%2.3K-211.6K-3.2K0.0477.92N/AN/A4828316,782
2020-01-28$12.44$9.8353.7%15.4%50.5%32.6%27.5%9.2%-10.2%3.3K-215.5K-3.2K0.0081.16N/AN/A308296,780
2020-01-29$12.28$9.8351.2%14.7%51.0%29.9%0.0%5.4%-6.8%3.1K-172.6K-3.2K0.0079.15N/AN/A20308286,780
2020-01-30$11.80$9.8356.4%16.2%53.6%35.6%60.7%-8.0%-9.6%-28-61.3K-3.5K0.1798.59N/AN/A611,0306,780
2020-01-31$11.32$9.8354.8%15.7%55.1%33.8%56.9%7.6%-9.5%-7.4K117.6K-3.3K1.5092.24N/AN/A231,0306,781