CAMT Options History — March 2020

In March 2020, CAMT traded between $6.33 and $10.41. ATM implied volatility averaged 77.6%, placing in the 45.9% IV rank vs the trailing year. The 30-day expected move averaged 21.7%. IV traded below realized volatility by 5.7% (HV 20d: 83.3%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.55.

Notable Days

  • 2020-03-11: Highest Volume — 411 contracts
  • 2020-03-13: Largest IV spike — 564.4% change
  • 2020-03-09: Highest IV Rank — 100.0%
  • 2020-03-16: Largest Expected Move — 34.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.52$6.33$10.41$10.41$8.36
Max Pain$8.18$7.50$10.00$10.00$7.50
ATM IV77.6%14.3%156.5%64.4%46.5%
Expected Move21.7%4.1%34.4%18.5%13.3%
HV 20d83.3%35.2%125.3%39.9%124.8%
HV 60d61.7%40.2%81.3%40.2%81.0%
IV Rank45.9%0.0%100.0%44.3%22.7%
IV Percentile89.7%0.0%100.0%97.2%62.3%
Term Structure3.4%-28.1%155.9%-6.2%-5.2%
VWIV82.6%46.7%139.3%64.4%46.7%
Skew 25d23.7%-18.8%66.6%17.3%11.4%
Skew 10d12.9%-29.5%64.6%24.2%8.7%
Call IV 25d64.4%39.7%96.0%47.2%39.7%
Put IV 25d88.1%49.7%138.0%64.4%51.1%
Bid-Ask Spread %106.9188.44131.9088.44112.82
Gamma HHI0.730.520.880.760.88
Net GEX-7.7K-16.9K-1.7K-15.2K-9.3K
Net DEX672.0K405.2K854.0K579.3K832.6K
Net VEX-3.3K-4.1K-2.0K-4.1K-2.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.003.670.000.67
Total Volume49.6360411110
Total OI2,579.4552,1352,9202,1372,920

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-03-02$10.41$10.0064.4%18.5%39.9%44.3%64.4%17.3%-6.2%-15.2K579.3K-4.1K0.0088.44N/AN/A105861,551
2020-03-03$10.18$10.0066.9%19.2%37.4%47.1%0.0%29.3%-11.0%-15.9K612.4K-4.1K0.00105.94N/AN/A205871,551
2020-03-04$10.11$10.0059.4%17.0%36.5%38.8%0.0%9.4%-3.8%-16.9K635.8K-4.0K3.00101.27N/AN/A265881,551
2020-03-05$10.15$7.5065.4%17.1%35.2%45.4%0.0%-18.8%0.0%-15.9K643.6K-4.0K3.6799.96N/AN/A3115891,553
2020-03-06$10.02$7.5051.3%17.5%35.2%29.9%0.0%21.6%-3.8%-15.8K650.9K-4.0K0.00107.39N/AN/A1605921,553
2020-03-09$8.74$7.50156.5%29.6%57.3%100.0%0.0%1.2%-28.1%-9.2K672.0K-3.6K0.00117.36N/AN/A405861,553
2020-03-10$9.15$7.5064.3%19.8%61.3%30.4%66.4%-0.5%6.2%-12.9K732.6K-3.5K0.1894.69N/AN/A1125821,553
2020-03-11$9.12$7.5078.2%22.4%60.7%40.9%75.7%-1.6%0.2%-11.8K726.8K-3.5K0.01102.33N/AN/A40835931,554
2020-03-12$8.11$7.5014.3%4.1%70.8%0.0%91.8%38.6%155.9%-3.8K536.9K-3.7K0.01131.90N/AN/A26839901,555
2020-03-13$8.23$7.5094.9%27.2%71.8%56.7%104.1%50.2%7.2%-3.1K619.1K-3.6K2.30109.37N/AN/A10231,2701,553
2020-03-16$7.31$7.50119.9%34.4%78.3%74.3%139.3%62.8%-10.3%-1.7K405.2K-3.5K0.33117.36N/AN/A1551,2801,558
2020-03-17$7.28$7.5080.8%23.2%78.3%46.8%75.8%12.0%4.8%-4.1K769.5K-2.5K0.85103.31N/AN/A20171,2671,561
2020-03-18$6.33$10.00108.4%31.1%86.7%66.2%111.1%52.1%-11.6%-2.0K578.1K-2.7K0.46102.50N/AN/A1361,2871,572
2020-03-19$7.47$10.0099.9%28.6%111.6%60.2%0.0%66.6%-5.3%-3.6K717.4K-2.9K0.00100.33N/AN/A101,2971,572
2020-03-20$7.10$10.0055.1%15.8%111.6%28.7%79.7%40.3%7.0%-6.1K854.0K-2.0K0.02115.53N/AN/A5311,2981,572
2020-03-23$7.18$7.5084.8%24.3%110.2%49.6%83.1%6.2%-3.7%-4.1K815.3K-2.1K0.00101.62N/AN/A3801,1851,557
2020-03-24$8.26$7.5060.5%17.3%124.3%32.5%73.0%6.9%-2.2%-4.0K713.7K-3.1K0.0299.64N/AN/A9621,2191,557
2020-03-25$8.44$7.50108.8%31.2%124.9%66.4%79.7%47.8%-17.6%-3.9K664.0K-3.4K0.00119.36N/AN/A1701,2971,559
2020-03-26$8.57$7.5072.0%20.6%125.3%40.6%65.7%13.8%4.5%-3.1K665.8K-3.4K0.00102.17N/AN/A1601,3071,559
2020-03-27$8.44$7.5081.6%23.4%125.1%47.3%0.0%29.3%-10.4%-4.3K682.7K-3.4K0.00107.60N/AN/A001,3081,609
2020-03-30$8.44$7.5073.0%20.9%124.9%41.3%0.0%25.6%8.8%-3.4K676.5K-3.4K0.00111.04N/AN/A901,3081,609
2020-03-31$8.36$7.5046.5%13.3%124.8%22.7%46.7%11.4%-5.2%-9.3K832.6K-2.8K0.67112.82N/AN/A641,3111,609