CAMT Options History — July 2021

In July 2021, CAMT traded between $33.21 and $37.47. ATM implied volatility averaged 50.8%, placing in the 32.6% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 12.2% (HV 20d: 38.6%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.20.

Notable Days

  • 2021-07-29: Highest Volume — 330 contracts
  • 2021-07-07: Largest IV spike — 48.3% change
  • 2021-07-07: Highest IV Rank — 75.1%
  • 2021-07-08: Largest Expected Move — 16.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.19$33.21$37.47$36.63$37.47
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV50.8%37.4%80.1%46.4%37.4%
Expected Move13.0%9.5%16.4%13.3%10.7%
HV 20d38.6%35.3%47.7%39.6%45.9%
HV 60d51.0%49.4%53.9%53.7%50.6%
IV Rank32.6%13.2%75.1%26.2%13.2%
IV Percentile43.7%6.3%97.2%29.4%6.3%
Term Structure2.1%-6.2%13.4%-1.8%1.7%
VWIV47.2%27.5%56.7%44.9%47.8%
Skew 25d2.3%-8.0%10.1%3.9%5.9%
Skew 10d1.3%-33.8%30.1%5.1%30.1%
Call IV 25d48.7%39.7%60.8%45.1%40.3%
Put IV 25d51.0%38.4%60.8%49.0%46.2%
Bid-Ask Spread %89.8681.98104.2596.5587.64
Gamma HHI0.300.240.440.300.24
Net GEX82.8K49.2K118.3K118.3K78.8K
Net DEX-6.7M-8.5M-4.8M-7.5M-8.5M
Net VEX-17.7K-20.7K-13.4K-18.5K-17.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.200.000.980.370.08
Total Volume119.38130330164203
Total OI4,516.1433,9565,1024,4764,333

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-07-01$36.63$35.0046.4%13.3%39.6%26.2%44.9%3.9%-1.8%118.3K-7.5M-18.5K0.3796.55N/AN/A120443,515961
2021-07-02$35.94$35.0038.5%11.0%39.5%14.8%38.9%-1.3%1.7%116.8K-6.8M-19.0K0.17104.25N/AN/A65113,5441,003
2021-07-06$36.07$35.0054.0%15.2%39.4%37.3%51.1%-8.0%-4.0%115.4K-7.0M-19.4K0.8590.04N/AN/A104883,5991,005
2021-07-07$35.36$35.0080.1%11.7%35.3%75.1%44.4%9.4%11.5%96.2K-6.4M-20.7K0.0293.64N/AN/A13233,6361,073
2021-07-08$34.33$35.0057.2%16.4%35.8%41.9%56.7%0.8%-1.7%89.5K-6.1M-17.8K0.1784.26N/AN/A89153,6981,076
2021-07-09$35.00$35.0070.1%11.2%35.9%60.5%27.5%-2.4%7.1%95.9K-6.4M-19.4K0.0090.45N/AN/A3003,7891,091
2021-07-12$35.67$35.0056.3%12.0%36.2%40.6%48.9%-1.5%13.4%104.5K-7.1M-17.6K0.0582.67N/AN/A7643,8131,091
2021-07-13$35.53$35.0063.7%9.5%36.1%51.2%42.5%-5.4%10.9%104.3K-7.0M-18.8K0.9887.92N/AN/A1021003,8571,095
2021-07-14$34.32$35.0050.2%14.4%36.5%31.8%55.7%0.4%-2.8%95.7K-6.2M-18.9K0.0594.31N/AN/A9153,9281,174
2021-07-15$34.60$35.0050.0%14.3%36.7%31.5%48.9%3.6%-0.0%93.2K-6.2M-16.8K0.2386.19N/AN/A48113,8901,174
2021-07-16$33.21$35.0041.8%12.0%38.9%19.5%42.7%0.2%1.7%49.2K-4.8M-17.4K0.2291.25N/AN/A98223,8921,166
2021-07-19$33.53$35.0050.8%14.6%38.0%32.5%50.5%1.1%-3.7%53.5K-5.8M-17.6K0.0888.21N/AN/A120103,025931
2021-07-20$34.89$35.0046.8%13.4%39.3%26.8%44.8%3.7%3.2%55.1K-6.7M-17.2K0.1887.18N/AN/A3363,109941
2021-07-21$35.47$35.0047.3%13.6%38.2%27.6%45.3%10.1%0.7%58.2K-7.1M-16.0K0.0481.98N/AN/A10343,112947
2021-07-22$34.73$35.0042.3%12.1%38.8%20.3%46.1%5.3%-4.8%83.4K-7.0M-13.4K0.3889.22N/AN/A79303,181950
2021-07-23$34.76$35.0045.9%13.2%36.2%25.6%46.3%6.0%2.2%63.6K-6.4M-18.5K0.0283.43N/AN/A5313,229980
2021-07-26$35.24$35.0046.7%13.4%36.8%26.7%45.0%6.8%-1.3%59.8K-6.9M-17.4K0.1484.91N/AN/A6593,229980
2021-07-27$33.60$35.0048.9%14.0%38.2%29.8%56.5%5.6%10.2%64.7K-5.9M-16.3K0.0695.12N/AN/A14183,262981
2021-07-28$35.24$35.0044.6%12.8%42.4%23.7%54.6%9.7%5.2%68.7K-6.8M-17.9K0.0294.41N/AN/A5313,306981
2021-07-29$37.37$35.0048.2%13.8%47.7%28.9%51.6%-6.2%-6.2%73.3K-8.3M-15.9K0.0093.40N/AN/A32913,305987
2021-07-30$37.47$35.0037.4%10.7%45.9%13.2%47.8%5.9%1.7%78.8K-8.5M-17.0K0.0887.64N/AN/A188153,345988