CAMT Options History — March 2021

In March 2021, CAMT traded between $25.59 and $32.01. ATM implied volatility averaged 61.5%, placing in the 31.0% IV rank vs the trailing year. The 30-day expected move averaged 17.0%. IV traded below realized volatility by 16.9% (HV 20d: 78.4%). Max pain ranged from $22.50 to $30.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 0.45.

Notable Days

  • 2021-03-12: Highest Volume — 2,938 contracts
  • 2021-03-04: Largest IV spike — 34.0% change
  • 2021-03-04: Highest IV Rank — 44.5%
  • 2021-03-12: Largest Expected Move — 20.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.86$25.59$32.01$29.66$30.07
Max Pain$29.02$22.50$30.00$22.50$30.00
ATM IV61.5%47.1%77.6%57.5%63.1%
Expected Move17.0%13.5%20.3%16.5%18.1%
HV 20d78.4%62.0%89.0%62.4%78.1%
HV 60d57.1%48.8%62.2%48.8%62.2%
IV Rank31.0%16.4%44.5%30.3%30.4%
IV Percentile66.9%30.2%87.7%61.1%73.8%
Term Structure4.4%-12.7%18.2%3.1%6.0%
VWIV58.6%42.0%73.5%65.1%58.2%
Skew 25d3.9%-18.9%22.8%15.4%-4.2%
Skew 10d11.9%-17.1%34.7%27.9%-6.5%
Call IV 25d57.9%42.5%76.3%65.6%54.9%
Put IV 25d61.7%38.6%81.0%81.0%50.7%
Bid-Ask Spread %94.9176.37109.53106.9893.95
Gamma HHI0.610.300.830.430.83
Net GEX50.6K13.2K89.0K26.4K89.0K
Net DEX-2.1M-3.7M-479.7K-1.1M-3.6M
Net VEX-7.2K-11.5K-2.8K-3.1K-11.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.003.330.190.63
Total Volume239.348112,9383188
Total OI2,349.3041,3463,2701,3503,270

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-03-01$29.66$22.5057.5%16.5%62.4%30.3%65.1%15.4%3.1%26.4K-1.1M-3.1K0.19106.98N/AN/A265680670
2021-03-02$28.48$22.5051.8%14.9%63.9%26.4%52.8%17.0%7.9%25.4K-911.6K-3.0K0.60109.53N/AN/A159678668
2021-03-03$29.01$22.5057.9%16.6%62.0%30.7%56.9%4.3%0.7%25.3K-999.6K-2.9K0.0099.19N/AN/A140683677
2021-03-04$26.23$30.0077.6%17.0%72.6%44.5%69.2%14.9%-3.2%17.2K-581.0K-2.8K2.44100.05N/AN/A3688687677
2021-03-05$26.03$30.0073.8%16.9%72.3%41.8%0.0%3.6%3.0%13.2K-526.0K-3.3K0.36106.01N/AN/A2810721760
2021-03-08$25.59$30.0070.8%16.6%71.6%39.7%56.8%5.4%-12.7%13.5K-479.7K-2.8K0.2587.06N/AN/A164727766
2021-03-09$27.86$30.0071.8%18.4%77.1%40.5%58.5%11.1%-1.3%21.3K-849.1K-3.1K0.04101.30N/AN/A261727769
2021-03-10$28.02$30.0052.3%15.0%76.3%29.5%50.2%4.8%-9.3%24.2K-835.7K-3.0K3.33108.71N/AN/A310729770
2021-03-11$28.86$30.0056.2%16.1%76.9%32.5%56.7%7.3%-8.0%29.2K-981.2K-2.9K1.2596.57N/AN/A810732780
2021-03-12$32.01$30.0070.8%20.3%84.4%43.9%65.4%-7.2%-5.1%26.7K-1.5M-3.4K0.0480.40N/AN/A2,838100735772
2021-03-15$31.38$30.0063.5%18.2%84.6%30.7%69.9%-5.1%11.1%68.7K-3.5M-8.7K0.1380.99N/AN/A331431,851858
2021-03-16$31.72$30.0069.5%19.9%84.5%35.9%65.6%9.8%6.0%61.3K-3.7M-9.1K0.1490.22N/AN/A98141,918894
2021-03-17$31.03$30.0070.3%20.2%84.9%36.6%73.5%-0.2%4.6%48.6K-3.5M-9.4K0.0284.07N/AN/A17831,932896
2021-03-18$28.87$30.0067.3%19.3%89.0%34.0%63.1%22.8%12.6%70.8K-2.6M-9.2K0.0282.06N/AN/A32182,059899
2021-03-19$28.61$30.0067.7%19.4%88.4%34.3%57.4%0.7%6.9%56.2K-2.6M-10.3K0.2976.37N/AN/A3851122,277897
2021-03-22$29.45$30.0055.6%15.9%86.9%23.8%59.5%-18.9%9.9%71.5K-2.9M-11.0K0.1181.90N/AN/A92102,075874
2021-03-23$28.03$30.0047.1%13.5%87.7%16.4%47.1%11.4%6.0%69.5K-2.3M-10.5K0.0690.06N/AN/A186112,091884
2021-03-24$28.39$30.0054.5%15.6%86.2%22.9%54.1%4.0%8.0%78.6K-2.7M-11.1K0.1198.97N/AN/A7182,239885
2021-03-25$28.01$30.0054.5%15.6%80.0%22.9%62.3%-3.1%12.5%75.0K-2.3M-10.9K0.08105.41N/AN/A127102,280891
2021-03-26$29.46$30.0055.3%15.9%79.2%23.6%55.4%1.0%7.6%86.8K-3.2M-11.5K0.03101.88N/AN/A7222,284891
2021-03-29$28.39$30.0057.6%16.5%77.3%25.5%50.4%0.4%17.3%82.4K-2.7M-10.8K0.0499.91N/AN/A7432,319892
2021-03-30$28.51$30.0048.1%13.8%76.0%17.2%42.0%-6.1%18.2%81.9K-2.9M-11.2K0.22101.32N/AN/A922,379891
2021-03-31$30.07$30.0063.1%18.1%78.1%30.4%58.2%-4.2%6.0%89.0K-3.6M-11.3K0.6393.95N/AN/A54342,379891