CAMT Options History — August 2021

In August 2021, CAMT traded between $35.28 and $41.62. ATM implied volatility averaged 45.0%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded below realized volatility by 4.7% (HV 20d: 49.6%). Max pain ranged from $17.50 to $40.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.32.

Notable Days

  • 2021-08-25: Highest Volume — 698 contracts
  • 2021-08-20: Largest IV spike — 41.4% change
  • 2021-08-20: Highest IV Rank — 44.4%
  • 2021-08-20: Largest Expected Move — 16.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.15$35.28$41.62$37.15$41.20
Max Pain$31.70$17.50$40.00$35.00$40.00
ATM IV45.0%35.4%59.0%52.2%35.6%
Expected Move13.2%10.2%16.9%15.0%10.2%
HV 20d49.6%45.4%53.1%45.4%49.9%
HV 60d45.6%41.3%49.3%49.2%44.5%
IV Rank24.2%10.4%44.4%34.6%10.6%
IV Percentile28.4%3.2%74.2%54.8%4.0%
Term Structure5.6%-13.5%21.7%-7.8%4.1%
VWIV46.7%38.1%61.7%53.0%39.6%
Skew 25d5.4%-9.7%27.0%6.6%-3.5%
Skew 10d8.0%-8.3%32.0%8.3%-6.4%
Call IV 25d45.5%38.5%54.0%50.3%40.2%
Put IV 25d50.9%36.7%74.4%56.9%36.7%
Bid-Ask Spread %85.6168.3495.7085.1691.89
Gamma HHI0.290.210.390.270.27
Net GEX113.9K70.0K157.6K100.3K148.2K
Net DEX-9.0M-10.8M-7.0M-8.2M-10.1M
Net VEX-15.4K-18.3K-9.7K-18.3K-16.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.001.381.010.65
Total Volume162.527698185221
Total OI4,575.9553,6314,9834,5544,366

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-08-02$37.15$35.0052.2%15.0%45.4%34.6%53.0%6.6%-7.8%100.3K-8.2M-18.3K1.0185.16N/AN/A92933,566988
2021-08-03$37.25$35.0051.7%14.8%45.4%33.8%43.5%27.0%17.6%122.3K-9.2M-15.9K0.1394.54N/AN/A112153,709979
2021-08-04$39.47$35.0041.5%11.9%48.8%19.1%39.3%4.0%0.6%143.7K-10.3M-16.4K0.0568.34N/AN/A575313,740958
2021-08-05$37.72$17.5040.7%14.5%50.6%18.0%47.1%-9.7%6.3%121.6K-9.1M-17.9K0.2381.89N/AN/A115263,770971
2021-08-06$37.64$17.5037.9%13.6%50.4%14.0%52.5%2.8%8.2%86.9K-8.4M-16.2K0.0788.67N/AN/A158113,774958
2021-08-09$38.66$17.5048.6%13.4%50.7%29.4%47.4%1.7%-0.6%142.9K-9.6M-18.3K0.1577.82N/AN/A102153,835957
2021-08-10$37.97$17.5035.4%12.4%51.3%10.4%46.0%0.7%9.3%157.6K-9.7M-16.4K0.5282.91N/AN/A67353,928962
2021-08-11$37.49$17.5046.9%13.5%49.7%27.0%61.1%-2.7%4.6%124.9K-9.1M-16.8K0.1080.08N/AN/A114113,919977
2021-08-12$38.05$35.0043.1%12.4%49.8%21.4%0.0%8.7%9.5%125.8K-9.4M-16.0K0.0080.88N/AN/A3103,9181,012
2021-08-13$37.64$35.0051.7%14.8%47.2%33.9%44.8%6.5%4.1%134.1K-8.9M-16.9K0.0782.37N/AN/A4133,9681,011
2021-08-16$35.83$35.0045.1%12.9%51.1%24.4%44.0%7.1%9.3%109.8K-7.9M-14.4K1.3889.88N/AN/A24333,9711,011
2021-08-17$35.28$35.0048.9%14.0%49.7%29.8%50.4%-1.8%0.6%72.6K-7.0M-16.5K0.5987.45N/AN/A37223,9541,013
2021-08-18$35.84$35.0050.8%14.6%49.6%32.6%50.7%6.4%0.9%95.9K-7.8M-14.6K0.1785.37N/AN/A5293,9451,025
2021-08-19$35.76$35.0041.7%12.0%49.0%19.5%45.3%7.8%18.8%80.3K-7.9M-9.7K0.0189.62N/AN/A12113,9261,026
2021-08-20$35.45$35.0059.0%16.9%49.1%44.4%61.7%13.6%-13.5%70.0K-7.7M-14.6K0.2685.92N/AN/A47123,9471,036
2021-08-23$37.58$35.0048.2%13.8%53.1%28.9%47.3%16.1%-1.3%89.3K-8.1M-13.8K0.1187.81N/AN/A99113,201452
2021-08-24$39.63$35.0038.0%10.9%52.3%14.1%40.2%7.0%6.6%102.6K-9.0M-14.4K0.3994.92N/AN/A192743,179452
2021-08-25$40.91$35.0043.9%12.6%51.0%22.6%44.3%5.7%8.8%99.2K-10.1M-10.5K0.4480.59N/AN/A4852133,249463
2021-08-26$39.83$35.0041.4%11.9%48.6%19.0%41.0%0.3%5.5%112.9K-8.9M-15.9K0.1388.39N/AN/A2433,346524
2021-08-27$41.23$40.0043.3%12.4%49.8%21.7%38.1%15.9%21.7%134.3K-10.2M-14.8K0.3395.70N/AN/A130433,614731
2021-08-30$41.62$40.0043.8%12.6%49.6%22.5%42.7%-1.0%10.4%131.1K-10.8M-13.4K0.3483.21N/AN/A56193,608732
2021-08-31$41.20$40.0035.6%10.2%49.9%10.6%39.6%-3.5%4.1%148.2K-10.1M-16.5K0.6591.89N/AN/A134873,624742