CAMT Options History — October 2020

In October 2020, CAMT traded between $17.59 and $19.43. ATM implied volatility averaged 44.5%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded below realized volatility by 10.9% (HV 20d: 55.4%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.16.

Notable Days

  • 2020-10-08: Highest Volume — 1,037 contracts
  • 2020-10-12: Largest IV spike — 103.2% change
  • 2020-10-12: Highest IV Rank — 31.9%
  • 2020-10-23: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.32$17.59$19.43$17.74$17.59
Max Pain$12.73$12.50$15.00$15.00$12.50
ATM IV44.5%28.3%59.6%42.9%48.2%
Expected Move13.1%9.3%14.5%12.3%13.8%
HV 20d55.4%32.2%62.1%62.1%35.1%
HV 60d47.1%44.2%48.0%47.2%44.2%
IV Rank21.3%9.8%31.9%20.1%23.9%
IV Percentile38.8%0.8%77.8%30.2%48.4%
Term Structure-3.5%-21.0%25.7%5.1%-21.0%
VWIV45.8%38.0%53.1%44.7%46.3%
Skew 25d4.4%-10.9%16.1%-0.6%2.5%
Skew 10d8.7%-16.5%35.2%-0.4%7.5%
Call IV 25d45.1%35.1%58.0%42.9%54.9%
Put IV 25d49.5%41.5%57.4%42.3%57.4%
Bid-Ask Spread %76.0565.69111.71108.6267.79
Gamma HHI0.350.300.490.300.41
Net GEX46.9K8.6K74.8K8.6K69.5K
Net DEX-5.8M-7.0M-4.4M-4.4M-5.8M
Net VEX-8.2K-11.0K-4.5K-4.5K-11.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.160.001.500.060.00
Total Volume144.86401,03742835
Total OI6,221.2274,6337,1374,6337,137

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-10-01$17.74$15.0042.9%12.3%62.1%20.1%44.7%-0.6%5.1%8.6K-4.4M-4.5K0.06108.62N/AN/A405232,9601,673
2020-10-02$17.68$15.0047.9%13.7%59.6%23.7%48.7%-10.9%-3.3%17.7K-4.7M-4.7K0.01111.71N/AN/A23833,1711,707
2020-10-05$17.83$12.5034.3%14.1%58.6%14.1%42.4%8.0%-5.7%24.6K-4.8M-5.6K0.0072.31N/AN/A21813,3511,709
2020-10-06$18.33$12.5028.3%13.4%55.5%9.8%46.3%5.2%-0.6%30.4K-5.5M-5.7K0.4165.78N/AN/A44183,5631,709
2020-10-07$18.40$12.5029.0%13.0%55.5%10.4%43.6%5.8%-6.6%28.6K-5.5M-5.5K0.1474.32N/AN/A5883,5541,725
2020-10-08$18.77$12.5044.0%12.7%53.8%20.9%45.0%-4.2%-3.9%32.8K-6.2M-6.3K0.0068.44N/AN/A1,03703,8551,730
2020-10-09$19.43$12.5029.3%12.0%54.3%10.6%45.5%4.6%-0.4%51.0K-7.0M-9.2K0.5266.85N/AN/A66344,8721,730
2020-10-12$19.24$12.5059.6%10.0%54.2%31.9%40.9%5.3%0.1%52.7K-6.8M-8.4K0.0470.61N/AN/A2614,8951,758
2020-10-13$19.30$12.5058.1%12.8%54.3%30.8%47.5%-0.1%-8.9%52.3K-6.9M-9.2K0.0073.86N/AN/A704,8801,758
2020-10-14$18.37$12.5049.4%14.2%58.4%24.7%51.3%16.1%-7.3%49.1K-5.7M-9.1K0.4878.23N/AN/A21104,6411,758
2020-10-15$18.20$12.5049.2%14.1%58.7%24.5%0.0%11.4%-5.7%51.8K-5.6M-8.9K0.0070.82N/AN/A204,6241,768
2020-10-16$18.10$12.5048.5%13.9%58.6%24.0%49.7%2.5%-7.1%36.9K-5.6M-8.6K1.5068.73N/AN/A14214,6241,768
2020-10-19$18.34$12.5048.7%14.0%58.6%24.2%53.1%-0.4%-13.9%47.2K-5.5M-8.5K0.0071.03N/AN/A10404,4531,761
2020-10-20$18.52$12.5039.4%11.3%58.6%17.6%40.3%1.4%25.7%53.3K-5.8M-8.0K0.0076.22N/AN/A20514,5541,761
2020-10-21$18.41$12.5048.0%13.8%57.8%23.7%47.1%2.7%-12.2%54.5K-5.7M-8.9K0.0077.80N/AN/A704,7531,762
2020-10-22$18.16$12.5050.1%14.4%57.8%25.2%42.9%4.3%-14.8%52.4K-5.6M-9.1K0.0072.32N/AN/A604,7391,762
2020-10-23$17.97$12.5050.6%14.5%58.2%25.5%48.4%7.7%-2.8%48.1K-5.5M-9.6K0.0276.56N/AN/A30464,7391,762
2020-10-26$17.94$12.5050.0%14.3%58.0%25.1%48.6%8.2%-4.6%58.1K-5.8M-10.1K0.0066.10N/AN/A2705,0391,767
2020-10-27$18.49$12.5040.9%11.7%58.3%18.7%38.0%5.7%10.2%69.9K-6.2M-8.9K0.0983.94N/AN/A215205,0541,767
2020-10-28$17.95$12.5050.3%14.4%59.9%25.3%46.3%12.4%-6.2%66.8K-6.0M-10.6K0.0065.69N/AN/A205,3501,787
2020-10-29$18.28$12.5032.4%9.3%32.2%12.7%0.0%9.6%7.1%74.8K-6.4M-10.1K0.0085.43N/AN/A005,3501,787
2020-10-30$17.59$12.5048.2%13.8%35.1%23.9%0.0%2.5%-21.0%69.5K-5.8M-11.0K0.0067.79N/AN/A3505,3501,787