CAMT Options History — June 2021

In June 2021, CAMT traded between $34.82 and $39.33. ATM implied volatility averaged 46.2%, placing in the 25.9% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded below realized volatility by 3.7% (HV 20d: 49.9%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.33.

Notable Days

  • 2021-06-08: Highest Volume — 415 contracts
  • 2021-06-02: Largest IV spike — 40.4% change
  • 2021-06-07: Highest IV Rank — 47.1%
  • 2021-06-16: Largest Expected Move — 17.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.34$34.82$39.33$36.56$37.94
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV46.2%32.6%60.8%37.3%46.3%
Expected Move12.9%9.4%17.3%10.7%13.3%
HV 20d49.9%37.4%68.6%68.6%38.2%
HV 60d58.3%53.2%64.3%64.3%53.2%
IV Rank25.9%6.3%47.1%13.1%26.1%
IV Percentile32.6%2.8%75.0%7.5%29.0%
Term Structure3.8%-16.4%24.9%24.9%0.3%
VWIV44.9%24.4%62.1%44.4%43.5%
Skew 25d1.7%-13.9%30.1%3.0%-2.6%
Skew 10d6.8%-14.0%55.0%2.2%34.0%
Call IV 25d49.1%35.4%66.5%48.2%45.5%
Put IV 25d50.8%39.8%74.9%51.2%42.8%
Bid-Ask Spread %89.4566.51101.1178.12100.58
Gamma HHI0.350.220.520.300.30
Net GEX97.2K62.9K149.3K62.9K124.7K
Net DEX-7.1M-9.1M-5.3M-5.3M-8.2M
Net VEX-17.4K-18.6K-15.6K-16.1K-18.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.012.460.080.19
Total Volume226.04586415340166
Total OI4,167.5453,3845,0643,3844,376

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-06-01$36.56$35.0037.3%10.7%68.6%13.1%44.4%3.0%24.9%62.9K-5.3M-16.1K0.0878.12N/AN/A316242,389995
2021-06-02$37.50$35.0052.4%15.0%64.0%34.9%57.0%-5.9%0.3%69.2K-6.2M-16.8K0.0491.74N/AN/A256112,5651,000
2021-06-03$36.76$35.0054.4%13.8%64.7%37.9%47.3%-3.6%-6.4%72.5K-6.1M-17.0K2.4666.51N/AN/A571402,6961,003
2021-06-04$37.47$35.0047.5%12.1%60.4%27.8%50.3%-12.4%-2.1%66.1K-6.5M-17.1K0.3590.23N/AN/A144512,7351,142
2021-06-07$37.07$35.0060.8%13.1%59.8%47.1%49.2%-3.3%2.8%66.1K-6.1M-17.6K0.2073.82N/AN/A120242,7691,154
2021-06-08$38.88$35.0048.6%14.2%57.3%29.4%50.7%-0.9%-8.5%102.0K-7.6M-16.3K0.6970.35N/AN/A2451702,8761,167
2021-06-09$39.33$35.0046.0%13.2%55.3%25.6%46.8%-13.9%14.7%105.3K-7.8M-18.2K0.0394.35N/AN/A29992,9611,220
2021-06-10$38.18$35.0054.5%15.6%49.8%37.9%62.1%4.0%-1.7%91.5K-7.1M-17.7K0.5989.03N/AN/A155912,9301,222
2021-06-11$38.76$35.0047.0%13.5%47.9%27.1%46.5%-7.5%5.3%124.5K-7.6M-17.9K0.0594.38N/AN/A10353,0641,313
2021-06-14$38.40$35.0049.6%14.2%48.7%30.9%49.4%-2.5%-8.2%127.3K-7.6M-15.6K0.0789.99N/AN/A146103,0681,313
2021-06-15$37.23$35.0053.2%15.2%51.0%36.1%48.5%16.6%2.5%100.4K-6.5M-17.3K0.0396.45N/AN/A10333,1631,315
2021-06-16$36.95$35.0060.3%17.3%51.6%46.3%0.0%5.8%-16.4%87.9K-6.4M-17.2K0.0188.64N/AN/A33833,1931,315
2021-06-17$37.14$35.0044.3%12.7%51.5%23.2%39.7%-5.3%11.1%97.3K-7.6M-17.8K0.0186.97N/AN/A35133,4851,316
2021-06-18$35.99$35.0048.0%13.8%49.2%28.5%50.1%-7.3%7.8%76.1K-7.9M-16.8K0.0689.35N/AN/A186113,7451,319
2021-06-21$34.82$35.0036.4%10.4%48.6%11.8%37.6%-5.0%13.5%69.5K-5.5M-17.7K0.3491.18N/AN/A132453,005808
2021-06-22$35.89$35.0041.6%11.9%37.5%19.3%42.5%2.5%-0.3%82.9K-6.5M-17.8K0.0288.36N/AN/A17943,091847
2021-06-23$36.06$35.0033.0%9.5%37.4%6.9%44.9%30.1%17.1%100.4K-6.9M-17.5K0.5993.46N/AN/A159943,250848
2021-06-24$37.36$35.0040.6%11.6%39.1%17.8%34.9%5.7%9.7%111.4K-8.0M-18.1K0.04101.11N/AN/A16763,267860
2021-06-25$37.30$35.0046.0%13.2%39.1%25.7%40.2%23.7%-4.1%121.6K-7.9M-18.1K0.41100.98N/AN/A61253,404863
2021-06-28$38.35$35.0032.6%9.4%38.4%6.3%32.2%14.3%10.1%149.3K-9.1M-17.2K0.4095.49N/AN/A166673,411875
2021-06-29$37.63$35.0035.0%10.0%39.1%9.8%24.4%2.0%10.6%130.4K-8.3M-18.3K0.5196.81N/AN/A2171113,406942
2021-06-30$37.94$35.0046.3%13.3%38.2%26.1%43.5%-2.6%0.3%124.7K-8.2M-18.6K0.19100.58N/AN/A140263,421955