CAMT Options History — December 2020

In December 2020, CAMT traded between $18.62 and $21.83. ATM implied volatility averaged 55.0%, placing in the 28.6% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded above realized volatility by 6.2% (HV 20d: 48.8%). Max pain ranged from $17.50 to $30.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.47.

Notable Days

  • 2020-12-04: Highest Volume — 1,017 contracts
  • 2020-12-02: Largest IV spike — 101.4% change
  • 2020-12-03: Highest IV Rank — 45.0%
  • 2020-12-02: Largest Expected Move — 21.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.21$18.62$21.83$18.84$21.83
Max Pain$20.45$17.50$30.00$30.00$20.00
ATM IV55.0%36.3%78.3%36.9%53.1%
Expected Move14.8%10.4%21.3%10.6%15.2%
HV 20d48.8%36.7%60.2%59.9%42.1%
HV 60d51.4%44.8%53.3%51.9%46.2%
IV Rank28.6%15.5%45.0%15.9%27.3%
IV Percentile57.7%9.5%92.1%11.1%59.9%
Term Structure-1.2%-33.3%22.1%-2.2%-3.8%
VWIV51.0%31.7%100.6%45.7%38.8%
Skew 25d8.2%-6.5%27.4%12.4%21.4%
Skew 10d2.9%-18.3%31.0%15.1%0.0%
Call IV 25d48.7%33.1%59.5%39.9%59.5%
Put IV 25d56.9%43.5%80.9%52.2%80.9%
Bid-Ask Spread %103.3590.63112.74109.57101.41
Gamma HHI0.380.320.500.410.42
Net GEX91.4K43.6K136.1K43.6K133.1K
Net DEX-3.3M-5.0M-1.4M-1.5M-5.0M
Net VEX-9.0K-10.7K-6.6K-8.2K-6.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.004.280.910.00
Total Volume102.86431,0172132
Total OI4,380.0453,7814,7423,7814,646

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$18.84$30.0036.9%10.6%59.9%15.9%45.7%12.4%-2.2%43.6K-1.5M-8.2K0.91109.57N/AN/A11102,910871
2020-12-02$18.62$30.0074.2%21.3%59.6%42.1%100.6%23.7%-33.3%56.9K-1.4M-8.6K0.00106.18N/AN/A2402,910881
2020-12-03$18.63$17.5078.3%14.2%52.5%45.0%0.0%11.5%-1.9%51.4K-1.5M-8.5K0.06109.58N/AN/A1712,900881
2020-12-04$19.76$17.5052.3%12.5%56.9%26.7%47.8%1.2%17.6%46.3K-2.1M-9.0K0.2497.49N/AN/A8172002,906881
2020-12-07$20.90$17.5052.4%12.9%60.2%26.8%48.1%1.9%-0.1%92.1K-4.0M-9.3K0.0890.63N/AN/A133103,666611
2020-12-08$20.65$17.5070.7%12.4%57.9%39.7%48.8%2.4%4.6%87.8K-3.8M-9.8K2.0097.00N/AN/A12243,701621
2020-12-09$19.90$20.0048.4%13.9%58.6%24.0%40.9%-6.5%3.2%76.9K-3.2M-9.7K4.28102.80N/AN/A361543,702641
2020-12-10$19.99$20.0036.3%10.4%57.6%15.5%31.7%-1.2%19.3%73.0K-3.2M-10.7K0.82106.56N/AN/A1193,727795
2020-12-11$19.89$20.0050.0%14.3%57.4%25.1%0.0%-4.1%-22.2%83.2K-3.4M-9.0K0.40102.72N/AN/A2083,728788
2020-12-14$20.05$20.0044.9%12.9%55.7%21.5%48.2%3.0%5.0%82.7K-3.2M-9.4K1.00100.34N/AN/A883,791792
2020-12-15$20.31$20.0057.2%16.4%54.5%30.2%33.9%12.4%-8.4%84.2K-3.5M-10.3K0.00100.70N/AN/A12603,789796
2020-12-16$20.03$20.0061.7%17.7%54.4%33.3%61.3%-0.6%-22.2%80.7K-3.2M-9.5K0.0098.20N/AN/A6703,884796
2020-12-17$19.78$20.0063.5%18.2%40.6%34.6%54.5%1.3%-6.7%78.2K-3.0M-8.7K0.0099.15N/AN/A603,946796
2020-12-18$19.80$20.0057.5%16.5%38.0%30.4%0.0%20.2%-2.0%106.1K-2.8M-9.1K0.00112.74N/AN/A1003,941796
2020-12-21$19.87$20.0051.0%14.6%37.1%25.8%66.2%-1.5%-0.1%102.8K-3.2M-9.1K0.00101.55N/AN/A4303,907385
2020-12-22$20.29$20.0059.9%17.2%37.4%32.1%65.7%19.4%0.4%106.5K-3.6M-9.0K0.00108.45N/AN/A25003,913385
2020-12-23$20.90$20.0042.7%12.2%36.9%20.0%42.3%0.8%22.1%121.3K-4.1M-9.7K0.0398.69N/AN/A3114,118385
2020-12-24$20.86$20.0063.0%18.1%37.0%34.2%51.4%13.3%12.2%115.9K-3.9M-9.5K0.00109.09N/AN/A1804,122384
2020-12-28$21.40$20.0043.6%12.5%36.7%20.6%44.1%11.9%7.5%134.1K-4.6M-8.4K0.42110.33N/AN/A1984,121384
2020-12-29$20.62$20.0066.6%19.1%39.6%36.8%47.8%9.8%-18.8%117.0K-3.8M-8.3K0.01103.45N/AN/A13514,128391
2020-12-30$21.67$20.0046.2%13.2%42.7%22.4%38.8%27.4%4.5%136.1K-4.6M-8.0K0.00107.08N/AN/A304,253392
2020-12-31$21.83$20.0053.1%15.2%42.1%27.3%0.0%21.4%-3.8%133.1K-5.0M-6.6K0.00101.41N/AN/A3204,254392