CAMT Options History — May 2020

In May 2020, CAMT traded between $9.79 and $13.08. ATM implied volatility averaged 62.1%, placing in the 33.6% IV rank vs the trailing year. The 30-day expected move averaged 14.7%. IV traded below realized volatility by 6.4% (HV 20d: 68.4%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.29.

Notable Days

  • 2020-05-11: Highest Volume — 1,062 contracts
  • 2020-05-07: Largest IV spike — 144.1% change
  • 2020-05-07: Highest IV Rank — 90.6%
  • 2020-05-01: Largest Expected Move — 18.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.79$9.79$13.08$9.79$12.86
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV62.1%30.0%143.2%63.5%63.2%
Expected Move14.7%8.6%18.2%18.2%18.1%
HV 20d68.4%56.8%79.0%79.0%56.8%
HV 60d89.7%87.3%91.7%87.3%89.7%
IV Rank33.6%11.1%90.6%34.6%34.4%
IV Percentile72.7%4.4%99.6%89.3%86.1%
Term Structure11.1%-22.9%64.3%-22.9%23.2%
VWIV49.3%29.4%70.1%44.0%47.9%
Skew 25d0.6%-21.1%23.4%-9.9%12.3%
Skew 10d3.4%-32.1%71.3%-13.9%-32.1%
Call IV 25d49.3%28.4%64.4%54.0%52.9%
Put IV 25d50.0%33.8%87.8%44.1%65.3%
Bid-Ask Spread %103.8656.15121.75120.12107.35
Gamma HHI0.400.260.700.610.31
Net GEX-3.0K-19.6K10.4K-18.8K8.2K
Net DEX-479.1K-1.0M397.9K397.9K-1.0M
Net VEX-6.0K-7.6K-4.8K-5.7K-7.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.290.002.672.671.00
Total Volume11401,06204
Total OI3,448.652,8714,1513,4493,387

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-05-01$9.79$10.0063.5%18.2%79.0%34.6%0.0%-9.9%-22.9%-18.8K397.9K-5.7K0.00120.12N/AN/A001,3512,098
2020-05-04$10.08$10.0066.3%13.0%77.1%36.6%44.0%-7.7%22.2%-19.6K301.7K-5.7K2.67102.49N/AN/A381,3512,097
2020-05-05$10.03$10.0071.6%16.6%66.0%40.3%0.0%-21.1%11.3%-17.1K336.9K-5.6K0.00121.23N/AN/A0121,3502,104
2020-05-06$10.90$10.0058.6%15.4%69.7%31.2%58.7%-4.6%-14.9%-19.2K-75.3K-5.5K0.00105.19N/AN/A3901,3502,116
2020-05-07$10.86$10.00143.2%16.1%69.5%90.6%70.1%-5.6%-18.7%-13.2K-2.8K-5.8K0.0095.51N/AN/A4801,3882,116
2020-05-08$11.08$10.0069.8%14.5%69.5%39.0%50.4%0.0%7.1%-13.3K-186.9K-5.3K0.09101.68N/AN/A5851,3902,116
2020-05-11$11.87$10.0098.9%15.0%70.1%59.5%50.3%4.2%-9.1%-5.5K-506.9K-5.0K0.00109.44N/AN/A1,06201,4132,121
2020-05-12$11.51$10.0078.7%15.2%71.2%45.3%67.2%-9.9%-6.7%-4.4K-499.4K-4.8K0.16113.84N/AN/A268431,9052,121
2020-05-13$11.30$10.0042.8%12.3%70.4%20.1%34.0%4.1%19.3%1.0K-425.5K-6.5K0.79100.14N/AN/A14112,0532,098
2020-05-14$11.44$10.0061.2%17.5%70.1%33.0%0.0%23.4%3.8%-3.4K-420.7K-6.5K0.00121.75N/AN/A102,0502,089
2020-05-15$11.70$10.0056.1%16.1%70.2%29.4%0.0%-7.4%-1.7%-1.9K-559.7K-6.2K0.00106.44N/AN/A1102,0502,089
2020-05-18$12.51$10.0046.6%13.3%71.9%22.7%41.5%0.9%33.9%522-603.9K-5.8K0.0295.33N/AN/A14731,3291,542
2020-05-19$12.57$10.0030.0%8.6%68.3%11.1%29.4%7.0%30.4%10.0K-823.5K-6.1K0.03116.44N/AN/A3911,5111,545
2020-05-20$12.85$10.0043.2%12.4%66.3%20.3%38.2%12.7%18.0%6.5K-869.8K-6.1K0.00114.56N/AN/A9901,4951,546
2020-05-21$12.91$10.0053.4%15.3%66.3%27.5%0.0%0.2%11.5%4.0K-878.0K-6.7K0.00104.38N/AN/A201,5951,546
2020-05-22$12.84$10.0045.1%12.9%66.6%21.7%45.0%15.0%7.7%5.1K-860.5K-6.6K0.5056.15N/AN/A1891,5901,546
2020-05-26$12.88$10.0042.6%12.2%63.4%19.9%57.3%-8.4%45.9%5.4K-872.6K-6.2K0.0097.37N/AN/A5501,5751,551
2020-05-27$13.08$10.0054.2%15.5%63.3%28.1%56.9%-3.2%64.3%10.4K-1.0M-6.3K0.01103.18N/AN/A15511,6231,551
2020-05-28$12.79$10.0052.0%14.9%62.4%26.6%47.9%10.1%-3.3%6.3K-1.0M-6.6K0.0184.67N/AN/A16311,6741,551
2020-05-29$12.86$10.0063.2%18.1%56.8%34.4%0.0%12.3%23.2%8.2K-1.0M-7.6K1.00107.35N/AN/A221,8351,552