CAMT Options History — October 2021

In October 2021, CAMT traded between $38.27 and $41.13. ATM implied volatility averaged 50.1%, placing in the 31.0% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded above realized volatility by 8.3% (HV 20d: 41.8%). Max pain ranged from $25.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.59.

Notable Days

  • 2021-10-28: Highest Volume — 404 contracts
  • 2021-10-20: Largest IV spike — 37.1% change
  • 2021-10-06: Highest IV Rank — 53.4%
  • 2021-10-22: Largest Expected Move — 16.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.22$38.27$41.13$40.73$38.80
Max Pain$25.71$25.00$40.00$40.00$25.00
ATM IV50.1%40.2%65.2%48.9%51.5%
Expected Move13.5%11.5%16.5%14.0%14.8%
HV 20d41.8%35.1%47.2%41.5%38.9%
HV 60d44.1%40.6%46.5%44.5%40.6%
IV Rank31.0%16.3%53.4%29.8%32.9%
IV Percentile45.0%9.9%86.5%44.0%52.0%
Term Structure3.3%-14.1%16.8%-1.6%-0.7%
VWIV47.7%42.2%59.9%49.0%46.1%
Skew 25d3.5%-12.1%20.1%7.0%-12.1%
Skew 10d5.8%-9.4%20.2%12.3%-7.6%
Call IV 25d45.9%33.2%56.0%46.0%56.0%
Put IV 25d49.4%33.9%63.3%53.0%43.9%
Bid-Ask Spread %80.3569.17101.28101.2878.99
Gamma HHI0.320.280.360.300.30
Net GEX30.9K15991.3K91.3K33.0K
Net DEX-2.8M-4.4M-1.5M-4.4M-2.5M
Net VEX-26.9K-31.9K-23.5K-31.3K-23.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.001.450.700.79
Total Volume176.4292440451354
Total OI5,635.2385,0995,9905,7745,514

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-10-01$40.73$40.0048.9%14.0%41.5%29.8%49.0%7.0%-1.6%91.3K-4.4M-31.3K0.70101.28N/AN/A30213,8191,955
2021-10-04$38.89$25.0050.6%13.5%44.0%32.4%49.8%3.5%9.2%54.4K-3.0M-29.4K0.0782.95N/AN/A209143,8302,112
2021-10-05$39.28$25.0060.8%12.1%44.0%47.1%42.7%14.1%16.8%58.0K-2.9M-31.9K1.1986.32N/AN/A26313,8362,122
2021-10-06$38.72$25.0065.2%13.4%41.8%53.4%46.8%-8.2%1.5%31.8K-2.7M-28.6K0.0482.67N/AN/A2313,7082,134
2021-10-07$40.16$25.0053.2%14.1%44.0%35.3%47.4%9.2%5.5%40.5K-3.4M-29.5K1.4569.17N/AN/A38553,7242,164
2021-10-08$38.33$25.0045.9%12.8%46.7%24.7%48.3%7.0%8.0%11.0K-2.0M-27.3K0.1275.28N/AN/A3443,7282,164
2021-10-11$38.98$25.0054.9%12.9%47.2%37.8%46.4%3.6%0.9%9.8K-2.5M-27.7K0.3269.96N/AN/A38123,7322,216
2021-10-12$38.78$25.0055.5%12.7%45.7%38.7%50.2%7.9%4.7%3.5K-2.0M-26.5K0.0369.97N/AN/A3113,7582,216
2021-10-13$38.39$25.0047.9%13.7%45.7%27.6%46.1%20.1%0.3%6.2K-1.6M-26.2K0.0076.05N/AN/A3903,7592,217
2021-10-14$38.69$25.0046.0%13.2%44.9%24.9%47.5%0.6%5.9%159-2.1M-26.7K0.0677.30N/AN/A3223,7722,218
2021-10-15$38.65$25.0047.3%13.6%44.5%26.7%47.8%7.1%6.5%16.2K-1.5M-25.3K0.8980.22N/AN/A28253,7652,218
2021-10-18$39.23$25.0046.4%13.3%43.6%25.3%45.9%-10.3%-14.1%21.9K-2.8M-25.5K0.0482.92N/AN/A21383,1291,970
2021-10-19$39.59$25.0040.2%11.5%42.5%16.3%42.2%9.5%4.8%20.0K-3.1M-25.6K0.0685.88N/AN/A174103,1411,980
2021-10-20$39.19$25.0055.1%15.8%41.8%38.1%52.1%-4.4%1.3%30.8K-3.0M-26.9K1.1283.44N/AN/A1451633,2821,984
2021-10-21$39.13$25.0048.1%13.8%35.8%27.9%49.7%9.8%5.2%32.2K-2.8M-25.6K1.0575.69N/AN/A1551633,2872,004
2021-10-22$39.26$25.0057.6%16.5%35.7%41.8%59.9%8.6%12.2%39.6K-2.8M-25.5K1.2480.29N/AN/A1261563,3272,004
2021-10-25$40.51$25.0046.5%13.3%38.1%25.5%48.6%4.6%-0.7%46.7K-3.8M-26.0K0.8282.94N/AN/A1581293,3292,007
2021-10-26$41.13$25.0042.7%12.2%35.1%20.0%45.7%-1.8%6.5%55.8K-4.0M-26.4K0.6980.27N/AN/A1911323,3592,011
2021-10-27$38.95$25.0044.7%12.8%38.1%22.9%46.0%-3.5%4.2%30.6K-2.8M-24.7K1.0186.53N/AN/A1641663,3842,014
2021-10-28$38.27$25.0044.1%12.6%38.5%22.0%44.0%0.3%-7.8%15.0K-2.2M-23.5K0.6379.28N/AN/A2481563,3982,049
2021-10-29$38.80$25.0051.5%14.8%38.9%32.9%46.1%-12.1%-0.7%33.0K-2.5M-23.9K0.7978.99N/AN/A1981563,4602,054