CAMT Options History — August 2020

In August 2020, CAMT traded between $15.05 and $16.39. ATM implied volatility averaged 45.9%, placing in the 22.2% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 4.2% (HV 20d: 41.7%). Max pain ranged from $12.50 to $25.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.15.

Notable Days

  • 2020-08-05: Highest Volume — 432 contracts
  • 2020-08-06: Largest IV spike — 105.4% change
  • 2020-08-11: Highest IV Rank — 44.7%
  • 2020-08-10: Largest Expected Move — 15.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.69$15.05$16.39$15.79$15.41
Max Pain$19.05$12.50$25.00$12.50$25.00
ATM IV45.9%28.5%77.8%41.2%50.4%
Expected Move12.5%8.2%15.5%11.8%14.5%
HV 20d41.7%28.4%44.9%28.4%40.2%
HV 60d36.7%35.3%38.5%36.6%36.0%
IV Rank22.2%10.0%44.7%18.9%25.4%
IV Percentile42.5%2.0%90.9%30.6%58.7%
Term Structure0.6%-19.4%33.5%-7.1%12.7%
VWIV46.2%31.1%58.0%58.0%47.7%
Skew 25d7.8%-26.3%30.0%-26.3%20.4%
Skew 10d10.3%-25.9%42.0%-25.9%30.4%
Call IV 25d38.6%27.3%61.1%61.1%39.0%
Put IV 25d46.3%26.0%61.8%34.8%59.4%
Bid-Ask Spread %106.8383.02120.00104.51113.16
Gamma HHI0.420.380.500.450.40
Net GEX14.1K-1.6K22.5K15.1K13.1K
Net DEX-2.8M-3.4M-2.5M-2.6M-2.6M
Net VEX-8.4K-9.6K-5.1K-8.3K-8.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.150.000.810.000.00
Total Volume45.4761432386
Total OI5,313.3814,4335,8205,3194,482

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-08-03$15.79$12.5041.2%11.8%28.4%18.9%58.0%-26.3%-7.1%15.1K-2.6M-8.3K0.00104.51N/AN/A3802,6662,653
2020-08-04$15.61$12.5043.1%12.4%29.6%20.3%55.9%-13.9%-10.3%16.3K-2.6M-6.9K0.0683.02N/AN/A1812,6732,653
2020-08-05$16.39$12.5028.5%8.2%32.4%10.0%31.1%-3.7%3.7%-1.6K-3.4M-5.1K0.06107.54N/AN/A407252,6732,653
2020-08-06$15.17$15.0058.5%15.4%44.2%31.1%0.0%22.4%-9.1%16.2K-2.6M-9.5K0.43105.44N/AN/A2192,9812,664
2020-08-07$15.50$15.0057.7%11.7%44.2%30.5%0.0%4.3%-6.6%13.9K-2.9M-8.8K0.00110.57N/AN/A902,9862,672
2020-08-10$15.38$15.0043.3%15.5%44.5%20.4%0.0%30.0%-10.8%14.9K-2.6M-9.6K0.13107.23N/AN/A812,9872,672
2020-08-11$15.68$15.0077.8%12.5%44.4%44.7%0.0%7.2%-5.4%15.6K-2.9M-8.9K0.58101.90N/AN/A69402,9952,671
2020-08-12$15.94$15.0043.0%12.3%44.0%20.2%41.0%9.4%5.1%15.0K-3.1M-8.9K0.00103.13N/AN/A603,0392,713
2020-08-13$16.12$15.0045.2%12.9%43.6%21.7%0.0%12.3%-0.8%12.5K-3.3M-8.4K0.0398.13N/AN/A3613,0422,713
2020-08-14$16.15$15.0038.9%11.1%43.6%17.3%0.0%-0.9%1.6%13.2K-3.3M-8.3K0.00101.99N/AN/A203,0522,714
2020-08-17$16.19$15.0049.5%14.2%42.6%24.8%46.8%22.0%8.8%15.8K-3.2M-8.4K0.74103.47N/AN/A19143,0532,714
2020-08-18$15.96$25.0046.9%13.5%43.2%23.0%47.6%-22.3%-19.4%22.5K-2.8M-9.4K0.00105.58N/AN/A3403,0612,728
2020-08-19$15.91$25.0036.4%10.4%42.9%15.6%0.0%8.8%16.0%15.7K-3.0M-9.2K0.00107.38N/AN/A203,0912,728
2020-08-20$15.67$25.0047.5%13.6%43.4%23.4%42.2%5.3%33.5%18.5K-2.9M-8.7K0.00109.19N/AN/A1703,0822,728
2020-08-21$15.53$17.5043.1%12.4%43.4%20.3%45.5%19.0%-6.5%14.7K-2.9M-8.9K0.14109.12N/AN/A74103,0922,728
2020-08-24$15.05$25.0040.2%11.5%44.2%18.2%0.0%12.7%12.9%12.6K-2.5M-8.1K0.00120.00N/AN/A302,7391,694
2020-08-25$15.49$25.0039.5%11.3%44.9%17.7%0.0%8.9%1.9%13.9K-2.6M-8.5K0.00114.75N/AN/A012,7421,694
2020-08-26$15.55$25.0042.5%12.2%43.8%19.8%39.5%25.4%-9.6%14.3K-2.6M-8.5K0.08109.90N/AN/A1212,7421,695
2020-08-27$15.53$25.0046.7%13.4%43.8%22.8%53.2%10.9%-8.1%9.0K-2.8M-7.7K0.81113.68N/AN/A31252,7521,695
2020-08-28$15.42$25.0044.0%12.6%43.8%20.9%0.0%11.5%10.8%14.9K-2.5M-8.7K0.00113.65N/AN/A1502,7541,715
2020-08-31$15.41$25.0050.4%14.5%40.2%25.4%47.7%20.4%12.7%13.1K-2.6M-8.1K0.00113.16N/AN/A602,7681,714