CAMT Options History — July 2020

In July 2020, CAMT traded between $12.44 and $15.14. ATM implied volatility averaged 55.5%, placing in the 29.0% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded above realized volatility by 28.0% (HV 20d: 27.5%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 1.25.

Notable Days

  • 2020-07-29: Highest Volume — 1,064 contracts
  • 2020-07-07: Largest IV spike — 166.2% change
  • 2020-07-10: Highest IV Rank — 58.1%
  • 2020-07-01: Largest Expected Move — 22.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.71$12.44$15.14$12.44$15.05
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV55.5%29.8%96.9%80.0%43.0%
Expected Move14.2%9.0%22.9%22.9%12.3%
HV 20d27.5%23.0%36.6%36.0%25.8%
HV 60d46.3%35.6%51.9%51.9%35.6%
IV Rank29.0%10.9%58.1%46.2%20.2%
IV Percentile57.9%2.8%96.4%92.9%34.9%
Term Structure-5.4%-27.7%57.2%-14.5%-11.3%
VWIV52.8%37.3%72.8%72.8%55.8%
Skew 25d-6.3%-37.4%18.2%-8.9%1.1%
Skew 10d-7.4%-62.5%29.5%3.0%-5.0%
Call IV 25d50.1%33.4%82.0%42.6%33.4%
Put IV 25d43.8%25.9%63.3%33.7%34.6%
Bid-Ask Spread %104.8066.88141.07141.07109.15
Gamma HHI0.510.410.630.480.45
Net GEX27.6K8.9K48.4K18.5K8.9K
Net DEX-2.1M-3.0M-1.2M-1.2M-2.4M
Net VEX-6.8K-8.8K-5.3K-7.5K-8.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.250.0018.701.220.11
Total Volume114.86401,064050
Total OI4,236.0453,8875,3303,8885,330

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-07-01$12.44$12.5080.0%22.9%36.0%46.2%0.0%-8.9%-14.5%18.5K-1.2M-7.5K0.00141.07N/AN/A002,2881,600
2020-07-02$12.59$12.5043.5%12.5%35.4%20.6%0.0%-37.4%0.9%19.3K-1.2M-7.2K0.00135.42N/AN/A002,2881,600
2020-07-06$12.48$12.5029.8%15.0%35.4%10.9%72.8%18.2%-13.3%20.2K-1.2M-7.4K1.2266.88N/AN/A67822,2881,599
2020-07-07$12.57$12.5079.5%12.3%33.7%45.8%56.9%-5.0%-15.0%19.4K-1.3M-7.3K0.00108.77N/AN/A1102,2901,599
2020-07-08$12.66$12.5067.5%15.3%33.8%37.4%54.4%13.0%-10.5%22.6K-1.3M-7.3K0.0094.60N/AN/A102,2991,599
2020-07-09$13.16$12.5052.7%15.1%36.6%27.0%49.5%1.7%-1.8%14.9K-1.5M-6.9K0.00105.25N/AN/A2102,2991,599
2020-07-10$13.07$12.5096.9%14.8%26.0%58.1%0.0%1.6%-7.3%19.4K-1.5M-6.9K0.00106.40N/AN/A102,3071,599
2020-07-13$13.11$12.5075.6%12.9%24.5%43.1%51.0%9.1%9.3%16.4K-1.6M-7.0K0.16103.51N/AN/A63102,3051,599
2020-07-14$13.04$12.5080.6%14.4%23.9%46.6%49.1%7.6%-9.9%24.6K-1.7M-6.3K0.0093.08N/AN/A30102,3641,609
2020-07-15$13.39$12.5047.5%13.6%23.0%23.4%53.2%0.1%-4.7%31.9K-2.1M-7.0K0.2276.81N/AN/A373822,6651,609
2020-07-16$13.28$12.5048.6%13.9%23.3%24.1%47.2%-2.1%57.2%33.1K-2.0M-7.3K0.0077.31N/AN/A202,6731,609
2020-07-17$13.45$12.5041.4%11.9%23.5%19.1%43.3%-0.0%-4.9%33.6K-2.1M-7.2K0.1980.17N/AN/A2652,6731,609
2020-07-20$13.92$12.5066.1%19.0%25.2%36.4%54.0%-26.7%-27.7%34.5K-2.4M-6.3K0.92122.41N/AN/A13122,6631,610
2020-07-21$14.15$12.5061.1%17.5%24.7%32.9%59.3%-31.1%-23.8%33.7K-2.6M-5.8K0.59124.18N/AN/A17102,6781,619
2020-07-22$14.47$12.5031.5%9.0%25.1%12.1%37.3%-10.5%7.8%48.4K-2.8M-5.7K0.11121.20N/AN/A1922,6861,629
2020-07-23$14.59$12.5047.0%13.5%23.3%23.0%48.9%-30.2%-4.7%34.8K-2.7M-6.3K0.00122.29N/AN/A1802,6961,631
2020-07-24$14.45$12.5052.1%14.9%24.1%26.6%52.6%-33.5%-9.5%39.3K-2.7M-5.8K0.00124.51N/AN/A1002,7131,631
2020-07-27$14.84$12.5044.6%12.8%24.3%21.3%44.6%-8.7%-0.1%42.1K-2.9M-5.4K0.0098.30N/AN/A22102,7031,631
2020-07-28$14.64$12.5055.4%15.9%25.3%28.9%55.5%0.8%-12.1%38.8K-2.9M-5.3K0.0082.32N/AN/A2002,7091,631
2020-07-29$15.08$12.5037.5%10.7%26.1%16.3%45.8%13.9%-3.2%41.5K-3.0M-5.4K18.70109.62N/AN/A541,0102,7141,631
2020-07-30$15.14$12.5038.5%11.0%25.2%17.0%71.0%-12.0%-20.5%10.4K-2.3M-8.8K2.71102.31N/AN/A7192,6792,640
2020-07-31$15.05$12.5043.0%12.3%25.8%20.2%55.8%1.1%-11.3%8.9K-2.4M-8.5K0.11109.15N/AN/A4552,6822,648