CAMT Options History — September 2020

In September 2020, CAMT traded between $14.43 and $16.23. ATM implied volatility averaged 47.9%, placing in the 23.6% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 8.2% (HV 20d: 39.7%). Max pain ranged from $15.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.21.

Notable Days

  • 2020-09-02: Highest Volume — 80 contracts
  • 2020-09-30: Largest IV spike — 45.9% change
  • 2020-09-08: Highest IV Rank — 36.4%
  • 2020-09-01: Largest Expected Move — 17.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.19$14.43$16.23$15.28$15.36
Max Pain$15.60$15.00$25.00$25.00$15.00
ATM IV47.9%35.6%66.1%61.7%53.7%
Expected Move13.4%10.2%17.7%17.7%15.4%
HV 20d39.7%35.1%42.2%40.1%40.4%
HV 60d37.1%35.3%38.4%35.3%37.4%
IV Rank23.6%15.0%36.4%33.3%27.7%
IV Percentile47.1%8.3%84.9%80.6%67.9%
Term Structure1.1%-16.1%25.8%-2.3%3.9%
VWIV46.6%37.2%58.8%58.8%37.2%
Skew 25d11.4%-5.7%33.8%33.8%24.2%
Skew 10d14.4%-9.9%38.3%37.4%3.0%
Call IV 25d39.7%27.2%52.4%47.4%32.4%
Put IV 25d51.1%37.3%81.2%81.2%56.6%
Bid-Ask Spread %105.4068.99119.58107.50105.64
Gamma HHI0.390.370.410.410.37
Net GEX18.5K14.2K22.1K15.9K17.6K
Net DEX-2.5M-3.0M-2.0M-2.4M-2.8M
Net VEX-7.8K-8.9K-6.7K-8.9K-6.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.210.001.620.000.00
Total Volume21.3810802516
Total OI4,614.6194,4824,6884,4824,628

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$15.28$25.0061.7%17.7%40.1%33.3%58.8%33.8%-2.3%15.9K-2.4M-8.9K0.00107.50N/AN/A2502,7681,714
2020-09-02$16.23$17.5042.0%12.0%42.2%19.5%41.0%6.3%25.8%14.7K-3.0M-8.2K0.16110.83N/AN/A69112,7891,714
2020-09-03$15.54$15.0059.1%15.4%35.1%31.5%51.7%6.5%-4.2%14.2K-2.8M-8.1K0.00103.33N/AN/A2102,8141,713
2020-09-04$15.20$15.0055.0%14.0%35.2%28.6%52.6%13.2%0.1%17.4K-2.4M-8.7K0.08106.80N/AN/A4942,8291,713
2020-09-08$14.53$15.0066.1%14.5%38.4%36.4%0.0%4.3%-16.1%18.7K-2.2M-8.2K0.02107.56N/AN/A4712,8771,717
2020-09-09$14.80$15.0047.3%13.6%38.4%23.2%0.0%-5.7%1.4%20.8K-2.1M-8.4K0.00108.72N/AN/A2202,8901,717
2020-09-10$14.43$15.0049.7%14.2%38.5%24.9%50.4%13.3%-6.9%21.2K-2.0M-8.1K0.02110.35N/AN/A4412,9041,717
2020-09-11$14.50$15.0040.5%11.6%38.2%18.4%0.0%14.6%-1.3%22.1K-2.1M-8.2K0.00112.99N/AN/A002,9481,717
2020-09-14$15.06$15.0047.1%13.5%41.1%23.1%45.3%-4.5%0.4%21.0K-2.4M-8.1K0.20105.31N/AN/A512,9481,717
2020-09-15$15.32$15.0053.0%15.2%41.7%27.2%0.0%16.8%-9.6%18.6K-2.6M-7.8K0.00110.15N/AN/A002,9431,717
2020-09-16$15.41$15.0049.0%14.1%41.6%24.4%0.0%16.2%-6.3%15.7K-2.8M-7.3K0.00109.35N/AN/A2102,9431,717
2020-09-17$15.45$15.0047.6%13.6%41.6%23.4%0.0%10.7%3.4%20.0K-2.7M-7.8K0.00107.54N/AN/A0182,9641,717
2020-09-18$15.32$15.0042.0%12.0%41.4%19.5%42.0%2.6%5.4%19.5K-2.6M-7.7K1.62105.89N/AN/A13212,9641,724
2020-09-21$15.33$15.0049.9%14.3%41.3%25.0%49.6%15.3%-3.4%18.5K-2.6M-7.5K0.09112.49N/AN/A1112,9241,692
2020-09-22$15.44$15.0035.6%10.2%39.7%15.0%37.3%10.2%12.7%19.8K-2.7M-7.4K0.0078.23N/AN/A012,9331,693
2020-09-23$15.13$15.0039.0%11.2%39.0%17.4%0.0%20.6%5.9%19.1K-2.6M-7.4K0.00108.83N/AN/A302,9331,693
2020-09-24$14.91$15.0047.6%13.6%39.2%23.4%0.0%22.5%-2.1%20.4K-2.4M-7.5K0.00119.58N/AN/A002,9361,693
2020-09-25$15.01$15.0045.8%13.1%39.4%22.1%0.0%6.6%-1.9%19.1K-2.5M-7.3K0.00107.38N/AN/A002,9361,693
2020-09-28$15.41$15.0037.6%10.8%40.5%16.4%0.0%8.3%9.2%17.1K-2.8M-6.8K0.0068.99N/AN/A302,9361,693
2020-09-29$15.33$15.0036.8%10.6%40.6%15.8%37.2%4.6%8.0%17.0K-2.7M-6.8K0.95105.87N/AN/A21202,9361,693
2020-09-30$15.36$15.0053.7%15.4%40.4%27.7%0.0%24.2%3.9%17.6K-2.8M-6.7K0.00105.64N/AN/A1602,9551,673