CAMT Options History — November 2020

In November 2020, CAMT traded between $17.74 and $20.07. ATM implied volatility averaged 48.6%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded below realized volatility by 2.1% (HV 20d: 50.6%). Max pain ranged from $12.50 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 3.46.

Notable Days

  • 2020-11-18: Highest Volume — 1,023 contracts
  • 2020-11-05: Largest IV spike — 35.0% change
  • 2020-11-19: Highest IV Rank — 34.8%
  • 2020-11-19: Largest Expected Move — 18.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.79$17.74$20.07$17.74$18.77
Max Pain$21.50$12.50$30.00$12.50$30.00
ATM IV48.6%38.4%63.8%38.6%44.2%
Expected Move14.2%10.4%18.3%11.1%12.7%
HV 20d50.6%34.7%62.3%35.1%59.9%
HV 60d49.7%44.1%54.0%44.1%52.1%
IV Rank24.1%17.0%34.8%17.1%21.0%
IV Percentile47.1%17.1%82.1%18.3%34.1%
Term Structure-4.5%-21.8%16.9%-1.7%-9.0%
VWIV46.5%30.9%56.3%33.4%46.9%
Skew 25d8.5%-29.4%30.5%-5.3%7.6%
Skew 10d4.8%-49.8%32.9%6.4%-22.3%
Call IV 25d45.3%28.1%72.8%52.7%60.2%
Put IV 25d53.9%34.9%71.4%47.4%67.8%
Bid-Ask Spread %108.1077.53120.5077.53109.81
Gamma HHI0.440.330.590.420.45
Net GEX74.2K24.7K95.2K70.6K52.1K
Net DEX-5.5M-7.8M-1.3M-6.0M-1.6M
Net VEX-9.3K-10.2K-7.9K-10.1K-8.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.460.0030.773.330.00
Total Volume99.7511,023136
Total OI6,383.353,3388,3397,1223,780

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$17.74$12.5038.6%11.1%35.1%17.1%33.4%-5.3%-1.7%70.6K-6.0M-10.1K3.3377.53N/AN/A3105,3351,787
2020-11-03$18.16$12.5046.1%13.2%34.7%22.4%43.9%10.8%-3.0%82.2K-6.5M-8.7K1.6784.47N/AN/A18305,3351,787
2020-11-04$19.61$12.5040.5%11.6%44.3%18.4%51.5%6.8%3.8%83.0K-7.5M-10.1K0.0093.36N/AN/A5305,3291,804
2020-11-05$19.62$17.5054.6%10.4%43.8%28.4%46.3%11.3%16.9%82.9K-7.5M-10.0K0.06105.21N/AN/A8255,3821,804
2020-11-06$19.53$17.5039.0%13.5%42.2%17.4%0.0%18.9%-0.5%85.5K-7.6M-10.2K0.00108.27N/AN/A1005,3781,807
2020-11-09$18.69$17.5040.3%17.4%44.9%18.3%48.7%5.7%-17.6%80.3K-6.9M-10.2K0.00113.31N/AN/A1905,3681,797
2020-11-10$18.16$17.5038.4%12.9%45.9%17.0%0.0%4.6%3.2%83.3K-6.5M-9.4K0.00113.96N/AN/A705,3621,797
2020-11-11$18.78$17.5042.2%12.1%44.2%19.6%0.0%15.7%13.6%81.4K-7.1M-9.9K0.00109.92N/AN/A605,3651,797
2020-11-12$18.59$17.5048.2%13.8%44.2%23.9%0.0%8.5%-2.5%86.2K-6.7M-9.2K0.00115.52N/AN/A015,3671,797
2020-11-13$19.38$17.5041.4%11.9%46.4%19.1%41.6%12.2%7.6%79.6K-7.5M-9.4K0.11108.83N/AN/A5765,3671,798
2020-11-16$20.07$20.0041.7%11.9%47.6%19.2%40.1%10.3%1.6%85.2K-7.8M-8.8K0.00107.69N/AN/A4005,3301,800
2020-11-17$19.75$20.0053.4%15.3%48.1%27.5%50.3%25.3%-11.5%93.9K-7.6M-9.1K0.50112.53N/AN/A215,3411,802
2020-11-18$17.91$20.0059.1%16.9%60.0%31.5%55.9%11.1%-4.7%95.2K-6.2M-9.0K23.95116.96N/AN/A419825,3411,803
2020-11-19$18.70$30.0063.8%18.3%61.9%34.8%56.3%30.5%-16.7%24.7K-5.1M-9.7K4.69112.21N/AN/A261225,3442,995
2020-11-20$18.36$30.0049.2%14.1%62.1%24.5%52.7%2.5%-8.9%69.5K-4.8M-8.7K0.06120.50N/AN/A1715,3502,986
2020-11-23$18.64$30.0063.5%18.2%62.3%34.6%30.9%25.0%-10.2%73.5K-1.7M-8.2K0.09112.05N/AN/A1112,874464
2020-11-24$18.20$30.0051.1%14.6%62.0%25.9%52.7%-3.6%-21.8%75.1K-1.7M-7.9K30.77110.95N/AN/A134002,888465
2020-11-25$18.33$30.0056.2%16.1%61.1%29.4%46.9%2.5%-18.0%49.7K-1.3M-9.1K0.50108.49N/AN/A1262,900865
2020-11-27$18.89$30.0059.6%17.1%61.7%31.8%0.0%-29.4%-10.3%50.6K-1.6M-8.9K0.00120.46N/AN/A702,905871
2020-11-30$18.77$30.0044.2%12.7%59.9%21.0%0.0%7.6%-9.0%52.1K-1.6M-8.5K0.00109.81N/AN/A602,909871