CAMT Options History — January 2021

In January 2021, CAMT traded between $21.57 and $24.77. ATM implied volatility averaged 63.6%, placing in the 34.7% IV rank vs the trailing year. The 30-day expected move averaged 16.0%. IV traded above realized volatility by 23.4% (HV 20d: 40.2%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 1.86.

Notable Days

  • 2021-01-21: Highest Volume — 125 contracts
  • 2021-01-29: Largest IV spike — 72.2% change
  • 2021-01-12: Highest IV Rank — 58.4%
  • 2021-01-29: Largest Expected Move — 24.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.40$21.57$24.77$21.65$23.68
Max Pain$15.39$15.00$17.50$15.00$17.50
ATM IV63.6%48.5%97.4%59.9%86.5%
Expected Move16.0%11.9%24.8%15.6%24.8%
HV 20d40.2%33.3%43.8%42.4%40.1%
HV 60d47.3%45.8%48.1%46.3%47.6%
IV Rank34.7%24.0%58.4%32.1%50.8%
IV Percentile68.6%38.1%97.2%74.6%95.2%
Term Structure1.6%-11.9%30.7%0.3%1.2%
VWIV55.0%42.5%73.6%69.0%53.0%
Skew 25d7.3%-6.8%33.4%12.1%33.4%
Skew 10d0.3%-27.4%24.4%-0.0%13.0%
Call IV 25d56.7%38.9%75.9%43.2%75.9%
Put IV 25d64.0%47.6%109.3%55.3%109.3%
Bid-Ask Spread %105.9994.03119.74102.44112.57
Gamma HHI0.600.360.880.360.50
Net GEX124.9K68.5K360.3K131.7K68.5K
Net DEX-5.4M-7.2M-4.3M-4.7M-4.9M
Net VEX-5.7K-7.9K-4.3K-7.7K-4.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.860.0014.630.000.00
Total Volume33.1052125372
Total OI4,0353,2394,6614,6613,443

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-01-04$21.65$15.0059.9%15.6%42.4%32.1%69.0%12.1%0.3%131.7K-4.7M-7.7K0.00102.44N/AN/A3704,269392
2021-01-05$21.88$15.0077.7%11.9%37.9%44.6%43.7%-4.4%10.6%146.9K-4.9M-6.6K0.00107.15N/AN/A2304,243392
2021-01-06$21.57$15.0054.7%13.3%33.3%28.4%42.5%-6.8%-7.8%125.8K-4.5M-7.9K0.50103.05N/AN/A1054,247392
2021-01-07$23.19$15.0080.0%15.0%41.3%46.2%48.3%8.7%-8.1%160.8K-6.1M-7.3K0.3398.27N/AN/A1244,247397
2021-01-08$22.87$15.0063.2%17.7%38.8%34.4%52.1%8.0%-11.0%150.0K-5.8M-7.6K0.0094.03N/AN/A1204,243393
2021-01-11$23.11$15.0074.8%14.9%38.8%42.6%48.0%13.9%-1.4%164.9K-5.8M-6.4K0.75100.85N/AN/A53404,242393
2021-01-12$23.32$15.0097.4%14.7%38.6%58.4%46.5%3.9%-7.8%170.3K-6.1M-6.3K0.00108.86N/AN/A1504,246393
2021-01-13$23.81$15.0048.5%13.9%38.8%24.0%54.7%-5.6%-11.9%191.3K-6.6M-6.1K0.08110.19N/AN/A2624,249393
2021-01-14$24.64$15.0049.9%14.3%39.9%25.1%55.2%10.2%30.7%360.3K-7.2M-5.1K0.10102.75N/AN/A4854,245395
2021-01-15$24.33$15.0049.5%14.2%39.8%24.7%0.0%-0.3%13.4%75.4K-6.2M-4.7K0.00110.92N/AN/A304,244396
2021-01-19$24.68$15.0048.7%14.0%38.9%24.2%49.4%8.7%1.1%86.2K-5.6M-4.3K0.59109.94N/AN/A17102,874365
2021-01-20$24.77$15.0051.7%14.8%38.8%26.3%55.2%7.0%-1.4%80.8K-5.6M-4.6K0.6599.02N/AN/A31202,883385
2021-01-21$23.83$15.0049.2%14.1%42.6%24.6%57.3%-0.5%-7.4%79.2K-5.2M-4.8K14.6399.73N/AN/A81172,894405
2021-01-22$23.68$15.0061.6%17.7%42.7%33.3%53.0%7.4%-8.9%75.8K-4.9M-5.5K0.04102.16N/AN/A2512,888501
2021-01-25$23.69$15.0065.1%18.7%42.0%35.7%63.7%7.0%27.0%75.7K-5.0M-4.9K11.00108.64N/AN/A2222,869502
2021-01-26$23.51$15.0072.9%20.9%42.2%41.2%73.6%26.4%-9.5%74.1K-4.7M-5.4K2.00109.30N/AN/A11222,869524
2021-01-27$22.73$17.5066.4%19.0%43.8%36.6%69.4%5.1%-5.1%75.6K-4.3M-4.9K2.90119.74N/AN/A10292,869546
2021-01-28$23.69$17.5050.2%14.4%43.1%25.3%53.0%4.5%25.7%79.4K-4.9M-4.7K0.00114.20N/AN/A702,873564
2021-01-29$23.68$17.5086.5%24.8%40.1%50.8%0.0%33.4%1.2%68.5K-4.9M-4.4K0.00112.57N/AN/A022,879564