CAMT Options History — June 2020

In June 2020, CAMT traded between $11.97 and $13.59. ATM implied volatility averaged 51.0%, placing in the 25.8% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded above realized volatility by 10.2% (HV 20d: 40.8%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 2.86.

Notable Days

  • 2020-06-23: Highest Volume — 361 contracts
  • 2020-06-08: Largest IV spike — 130.6% change
  • 2020-06-30: Highest IV Rank — 52.7%
  • 2020-06-30: Largest Expected Move — 25.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.65$11.97$13.59$13.05$12.56
Max Pain$12.16$10.00$12.50$10.00$12.50
ATM IV51.0%30.7%89.3%34.0%89.3%
Expected Move14.2%9.1%25.6%9.7%25.6%
HV 20d40.8%35.6%47.2%47.2%38.6%
HV 60d69.8%56.9%89.7%89.7%56.9%
IV Rank25.8%11.6%52.7%13.8%52.7%
IV Percentile52.3%4.8%95.6%11.5%95.6%
Term Structure4.5%-33.0%73.2%73.2%-33.0%
VWIV47.9%30.0%101.7%30.0%67.0%
Skew 25d26.8%-10.7%78.8%10.1%-10.7%
Skew 10d27.1%-111.5%140.6%15.3%1.5%
Call IV 25d38.2%21.9%77.1%28.0%45.6%
Put IV 25d65.1%34.9%138.7%38.1%34.9%
Bid-Ask Spread %124.7397.31139.18108.05137.29
Gamma HHI0.420.320.630.330.49
Net GEX14.6K1.1K36.6K8.4K20.2K
Net DEX-1.1M-1.5M-837.1K-1.1M-1.2M
Net VEX-7.0K-7.9K-5.7K-7.0K-7.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.860.0050.000.000.00
Total Volume550361141
Total OI3,623.0913,3853,8873,3873,887

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-06-01$13.05$10.0034.0%9.7%47.2%13.8%30.0%10.1%73.2%8.4K-1.1M-7.0K0.00108.05N/AN/A1401,8341,553
2020-06-02$13.12$10.0066.1%19.0%47.0%36.4%66.1%29.6%-18.2%10.2K-1.1M-7.3K0.3397.31N/AN/A1861,8321,553
2020-06-03$13.59$10.0041.4%11.9%47.1%19.1%36.1%20.8%4.8%12.4K-1.5M-5.7K0.42112.37N/AN/A1251,8481,553
2020-06-04$13.23$12.5045.8%13.4%41.9%22.1%46.6%25.1%-0.7%13.4K-1.4M-5.7K0.55119.77N/AN/A76421,8481,558
2020-06-05$13.30$12.5030.7%9.8%41.7%11.6%36.4%16.3%20.5%10.7K-1.3M-6.8K0.04124.04N/AN/A2611,8461,559
2020-06-08$12.87$12.5070.9%13.5%44.2%39.8%37.3%19.8%-0.0%10.0K-1.1M-6.9K0.60107.14N/AN/A531,8551,558
2020-06-09$12.88$12.5052.0%12.1%37.7%26.5%0.0%32.9%10.2%12.3K-1.1M-6.2K0.00119.28N/AN/A001,8561,558
2020-06-10$12.82$12.5049.2%14.1%35.6%24.6%0.0%25.0%5.7%11.0K-1.0M-6.9K0.05131.54N/AN/A205101,8561,558
2020-06-11$11.97$12.5073.6%21.1%43.6%41.7%0.0%45.6%-19.6%8.7K-837.1K-7.7K0.16122.89N/AN/A61102,0581,563
2020-06-12$12.30$12.5034.1%9.8%44.4%14.0%30.2%41.5%20.2%11.0K-1.1M-7.3K0.57129.34N/AN/A742,1071,567
2020-06-15$12.13$12.5065.1%18.7%44.2%35.7%0.0%31.6%-17.0%14.5K-948.6K-7.2K0.08119.83N/AN/A1212,1051,570
2020-06-16$12.53$12.5031.8%9.1%38.8%12.3%35.5%2.2%17.8%20.5K-1.1M-7.1K0.00139.14N/AN/A502,1151,571
2020-06-17$12.49$12.5042.2%12.1%38.8%19.6%0.0%0.4%8.1%23.4K-1.2M-6.4K0.40127.57N/AN/A1042,1181,571
2020-06-18$12.49$12.5040.0%11.5%37.9%18.1%0.0%58.4%15.3%36.6K-1.1M-7.0K0.67132.93N/AN/A322,1121,571
2020-06-19$12.35$12.5032.1%9.2%38.0%12.5%0.0%16.4%21.4%13.4K-1.0M-6.9K0.00135.47N/AN/A5602,1131,571
2020-06-22$12.64$12.5045.4%13.0%39.0%21.9%0.0%65.0%10.9%13.4K-1.2M-7.1K0.00113.64N/AN/A18002,0301,552
2020-06-23$12.60$12.5031.9%9.1%39.0%12.4%32.3%56.1%9.5%19.5K-1.4M-7.2K0.08129.51N/AN/A333282,2841,552
2020-06-24$12.37$12.5045.9%13.1%38.9%22.2%0.0%2.2%9.7%19.0K-1.2M-7.7K50.00132.14N/AN/A1502,2851,552
2020-06-25$12.43$12.5056.0%16.0%38.3%29.3%56.0%-2.0%-4.8%16.8K-1.2M-7.9K0.00129.44N/AN/A302,2851,590
2020-06-26$12.33$12.5059.5%17.1%38.3%31.8%0.0%78.8%-8.4%1.1K-956.4K-7.5K0.50139.18N/AN/A212,2871,590
2020-06-29$12.31$12.5085.9%24.6%37.8%50.3%101.7%24.6%-26.2%13.8K-1.1M-7.5K5.50136.12N/AN/A2112,2871,590
2020-06-30$12.56$12.5089.3%25.6%38.6%52.7%67.0%-10.7%-33.0%20.2K-1.2M-7.9K0.00137.29N/AN/A102,2871,600