CAMT Options History — April 2020

In April 2020, CAMT traded between $7.84 and $11.23. ATM implied volatility averaged 58.2%, placing in the 30.9% IV rank vs the trailing year. The 30-day expected move averaged 16.7%. IV traded below realized volatility by 36.8% (HV 20d: 95.1%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.92.

Notable Days

  • 2020-04-06: Highest Volume — 1,106 contracts
  • 2020-04-06: Largest IV spike — 87.0% change
  • 2020-04-06: Highest IV Rank — 54.7%
  • 2020-04-02: Largest Expected Move — 29.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.59$7.84$11.23$8.30$10.55
Max Pain$9.88$7.50$10.00$7.50$10.00
ATM IV58.2%49.2%92.0%80.3%55.2%
Expected Move16.7%10.7%29.4%23.0%15.8%
HV 20d95.1%64.4%125.2%124.8%73.3%
HV 60d84.0%80.9%86.2%81.0%86.2%
IV Rank30.9%24.6%54.7%46.4%28.8%
IV Percentile80.1%66.7%96.8%95.2%82.1%
Term Structure1.7%-52.2%51.3%-10.7%-10.5%
VWIV50.7%35.8%67.9%44.2%35.8%
Skew 25d15.6%-16.6%43.5%32.5%0.5%
Skew 10d21.2%-16.6%102.1%102.1%10.9%
Call IV 25d46.5%35.5%63.8%47.8%50.1%
Put IV 25d62.1%29.1%97.9%80.3%50.6%
Bid-Ask Spread %111.3065.17127.9265.17115.96
Gamma HHI0.580.390.780.740.59
Net GEX-8.2K-22.7K8.9K-4.6K-15.8K
Net DEX358.2K-203.4K798.8K724.1K81.1K
Net VEX-5.5K-7.0K-2.6K-3.2K-5.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.0013.000.500.00
Total Volume99.04801,106342
Total OI3,484.9052,8974,0312,9293,408

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-04-01$8.30$7.5080.3%23.0%124.8%46.4%0.0%32.5%-10.7%-4.6K724.1K-3.2K0.5065.17N/AN/A211,3161,613
2020-04-02$8.16$10.0067.3%29.4%124.7%37.3%0.0%43.5%-52.2%-4.4K712.7K-3.0K0.00113.89N/AN/A601,3161,614
2020-04-03$7.84$10.0049.2%22.5%125.2%24.6%44.2%40.9%-12.5%-9.0K798.8K-2.6K13.00126.87N/AN/A3391,3121,614
2020-04-06$8.84$10.0092.0%10.7%124.5%54.7%45.7%-16.6%-10.4%-2.2K670.7K-3.1K0.99123.22N/AN/A5565501,3151,582
2020-04-07$9.30$10.0059.9%14.8%124.7%32.0%51.3%27.2%18.4%3.2K326.8K-6.6K0.07113.85N/AN/A1511,8542,132
2020-04-08$9.20$10.0049.8%14.3%124.8%25.0%41.4%31.4%31.7%1.8K364.9K-6.5K0.04122.90N/AN/A8431,8482,133
2020-04-09$9.39$10.0055.2%15.8%116.9%28.7%53.1%-0.3%-6.0%1.3K407.0K-6.2K0.03124.07N/AN/A7221,8972,134
2020-04-13$10.01$10.0061.4%17.6%118.6%33.1%64.2%-7.0%45.0%2.5K-181.3K-7.0K0.00107.22N/AN/A24501,8372,134
2020-04-14$10.23$10.0051.2%14.7%108.5%26.0%47.3%29.6%15.0%-4.5K-119-6.5K0.13113.64N/AN/A811,7122,134
2020-04-15$9.91$10.0052.8%15.1%109.6%27.1%0.0%14.1%2.4%4.1K69.0K-6.5K0.00127.92N/AN/A1001,7122,134
2020-04-16$9.78$10.0055.0%15.8%93.9%28.6%0.0%8.5%-2.5%8.9K402.6K-6.1K0.00101.42N/AN/A1001,7022,134
2020-04-17$9.76$10.0049.5%14.2%77.3%24.8%42.3%0.5%9.1%-18.5K503.9K-5.8K0.02106.01N/AN/A6011,6902,134
2020-04-20$9.53$10.0049.8%14.3%74.8%25.0%46.2%23.4%51.3%-17.0K562.0K-5.8K0.20107.53N/AN/A511,2782,062
2020-04-21$9.09$10.0053.1%15.2%78.0%27.3%59.1%-7.7%-3.4%-12.0K563.0K-5.8K0.00110.02N/AN/A301,2802,062
2020-04-22$9.66$10.0051.6%14.8%64.6%26.3%41.1%13.6%15.9%-13.7K504.0K-5.8K0.00117.78N/AN/A2801,2802,062
2020-04-23$9.70$10.0051.4%14.7%64.5%26.1%0.0%3.3%4.1%-19.4K481.5K-5.9K0.00123.33N/AN/A001,2842,062
2020-04-24$9.76$10.0054.1%15.5%64.4%28.0%54.2%4.9%1.5%-19.2K462.8K-5.9K3.30106.42N/AN/A10331,2842,062
2020-04-27$10.46$10.0065.2%18.7%67.5%35.8%66.1%40.8%-10.1%-22.7K206.7K-5.9K0.05118.07N/AN/A6331,2852,094
2020-04-28$10.67$10.0066.9%19.2%67.5%37.0%67.9%30.3%-29.2%-17.1K64.5K-5.9K0.0075.55N/AN/A2701,2342,097
2020-04-29$11.23$10.0052.1%14.9%68.3%26.6%35.8%14.5%-11.0%-13.3K-203.4K-5.6K0.01116.38N/AN/A19511,2492,097
2020-04-30$10.55$10.0055.2%15.8%73.3%28.8%0.0%0.5%-10.5%-15.8K81.1K-5.9K0.00115.96N/AN/A4201,3102,098