CAMT Options History — September 2021

In September 2021, CAMT traded between $40.60 and $45.12. ATM implied volatility averaged 43.7%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 2.7% (HV 20d: 41.0%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.47.

Notable Days

  • 2021-09-02: Highest Volume — 2,263 contracts
  • 2021-09-28: Largest IV spike — 36.9% change
  • 2021-09-28: Highest IV Rank — 50.9%
  • 2021-09-28: Largest Expected Move — 18.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.13$40.60$45.12$40.87$40.60
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV43.7%29.0%63.5%34.7%49.3%
Expected Move12.9%9.9%18.2%9.9%14.1%
HV 20d41.0%35.2%46.0%46.0%41.8%
HV 60d43.6%42.5%45.2%43.5%45.0%
IV Rank22.3%1.1%50.9%9.3%30.4%
IV Percentile26.5%0.8%82.9%2.8%46.0%
Term Structure0.6%-19.4%11.9%3.8%-4.3%
VWIV45.0%36.5%57.9%47.0%47.1%
Skew 25d6.5%-3.0%34.2%34.2%4.3%
Skew 10d13.7%-2.4%72.1%72.1%10.9%
Call IV 25d43.8%33.8%49.5%40.3%47.8%
Put IV 25d50.3%42.2%74.5%74.5%52.1%
Bid-Ask Spread %83.7874.1498.6296.5689.40
Gamma HHI0.310.280.350.290.30
Net GEX126.5K95.7K178.9K157.2K95.7K
Net DEX-8.0M-10.6M-4.6M-10.1M-4.6M
Net VEX-32.0K-39.2K-14.4K-14.4K-31.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.003.880.003.88
Total Volume285.857392,26380210
Total OI5,995.2384,3726,8864,3725,812

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$40.87$40.0034.7%9.9%46.0%9.3%0.0%34.2%3.8%157.2K-10.1M-14.4K0.0096.56N/AN/A8003,621751
2021-09-02$41.44$40.0038.0%14.7%42.6%14.1%47.0%9.9%2.2%110.0K-9.8M-14.8K1.0288.22N/AN/A1,1211,1423,508998
2021-09-03$42.09$40.0029.0%12.0%42.7%1.1%41.5%0.4%5.9%117.1K-10.3M-15.4K0.0078.67N/AN/A7403,555998
2021-09-07$42.52$40.0037.2%12.1%42.0%12.9%41.9%3.9%9.5%124.5K-10.6M-39.2K0.2174.14N/AN/A228484,6552,120
2021-09-08$40.75$40.0042.8%12.3%44.6%21.0%42.1%6.9%-1.2%102.4K-8.8M-35.0K0.8776.04N/AN/A47414,6362,120
2021-09-09$41.02$40.0048.6%13.9%44.2%29.4%45.0%1.3%1.4%105.1K-8.7M-35.1K0.0278.26N/AN/A462104,7032,144
2021-09-10$41.34$40.0043.4%12.5%44.0%21.9%42.0%1.9%6.4%125.4K-8.9M-38.3K0.0280.12N/AN/A30454,7122,174
2021-09-13$41.25$40.0044.7%12.8%43.8%23.7%43.7%7.9%2.9%119.9K-8.3M-35.5K0.0178.45N/AN/A22934,5332,178
2021-09-14$42.47$40.0055.2%15.8%39.6%38.9%45.8%7.3%-17.2%135.0K-8.8M-35.9K0.2278.07N/AN/A6081344,4342,173
2021-09-15$42.25$40.0051.8%14.8%38.9%34.0%47.3%14.1%0.7%122.7K-8.2M-33.9K0.0584.38N/AN/A10854,2882,174
2021-09-16$43.22$40.0042.0%12.0%39.2%19.8%36.5%1.9%6.9%148.4K-8.5M-35.9K0.9480.78N/AN/A48454,3022,295
2021-09-17$42.31$40.0038.8%11.1%40.5%15.3%43.5%-3.0%11.9%113.0K-8.0M-35.1K0.4279.83N/AN/A59254,3092,298
2021-09-20$40.90$40.0041.7%12.0%42.8%19.4%43.8%7.3%2.1%99.4K-5.7M-33.5K0.3092.38N/AN/A47143,9351,837
2021-09-21$41.98$40.0042.5%12.2%39.1%20.6%41.6%0.1%-6.4%118.0K-6.4M-34.8K0.3182.98N/AN/A36113,9511,842
2021-09-22$42.76$40.0040.1%11.5%35.2%17.1%41.3%3.1%4.9%128.2K-6.8M-35.1K0.2685.69N/AN/A3183,9561,854
2021-09-23$45.12$40.0039.0%11.2%38.3%15.6%48.2%0.0%9.4%178.9K-8.9M-35.5K0.1582.27N/AN/A319493,9441,860
2021-09-24$44.30$40.0043.7%12.5%37.4%22.3%45.5%-1.2%-0.4%164.3K-8.3M-34.7K0.2487.15N/AN/A97233,9481,856
2021-09-27$44.38$40.0046.4%13.3%35.8%26.2%57.9%8.6%-4.9%168.7K-8.3M-34.4K0.3898.62N/AN/A80303,9551,885
2021-09-28$42.32$40.0063.5%18.2%40.1%50.9%44.2%29.8%-19.4%124.5K-6.0M-33.0K0.6481.50N/AN/A55353,8761,899
2021-09-29$40.88$40.0045.5%13.1%41.9%25.0%54.3%-1.4%-1.9%98.4K-4.7M-31.8K0.0285.96N/AN/A13023,8821,929
2021-09-30$40.60$40.0049.3%14.1%41.8%30.4%47.1%4.3%-4.3%95.7K-4.6M-31.3K3.8889.40N/AN/A431673,8771,935