CAMT Options History — November 2021

In November 2021, CAMT traded between $39.47 and $48.65. ATM implied volatility averaged 53.3%, placing in the 35.5% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded above realized volatility by 2.9% (HV 20d: 50.5%). 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 8 of 21 days. Put/call ratio averaged 0.64.

Notable Days

  • 2021-11-18: Highest Volume — 1,727 contracts
  • 2021-11-08: Largest IV spike — 66.6% change
  • 2021-11-29: Highest IV Rank — 64.7%
  • 2021-11-29: Largest Expected Move — 21.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.53$39.47$48.65$40.49$46.14
Max Pain$36.90$25.00$40.00$25.00$40.00
ATM IV53.3%38.0%73.3%45.2%69.6%
Expected Move15.1%10.9%21.0%12.9%20.0%
HV 20d50.5%36.9%62.9%38.4%60.4%
HV 60d44.8%41.4%48.3%41.5%48.2%
IV Rank35.5%13.1%64.7%23.6%59.3%
IV Percentile52.6%6.0%93.7%26.6%89.3%
Term Structure-2.6%-28.6%22.0%-10.2%-28.6%
VWIV52.8%43.5%71.4%46.6%63.7%
Skew 25d4.2%-10.2%22.9%2.0%10.7%
Skew 10d11.1%-2.1%28.7%2.3%15.8%
Call IV 25d51.3%42.8%66.2%42.8%58.3%
Put IV 25d55.5%44.8%89.0%44.8%69.1%
Bid-Ask Spread %81.5572.6790.8980.6179.89
Gamma HHI0.330.270.430.310.27
Net GEX122.3K35.9K214.0K52.6K118.0K
Net DEX-6.9M-11.0M-3.2M-3.9M-7.1M
Net VEX-29.1K-35.7K-25.0K-25.7K-35.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.171.311.030.41
Total Volume520.6672321,727347644
Total OI5,514.7624,6326,7455,5955,001

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-11-01$40.49$25.0045.2%12.9%38.4%23.6%46.6%2.0%-10.2%52.6K-3.9M-25.7K1.0380.61N/AN/A1711763,5312,064
2021-11-02$39.47$25.0045.8%13.1%39.5%24.6%57.9%12.9%8.2%35.9K-3.2M-25.0K1.1089.43N/AN/A1531683,5362,083
2021-11-03$39.96$25.0049.0%14.1%39.3%29.2%46.6%-0.8%-3.2%45.4K-3.6M-25.0K1.3184.48N/AN/A1391823,5352,083
2021-11-04$41.78$35.0054.5%15.3%40.3%37.3%50.9%15.3%-0.3%63.5K-4.9M-26.0K1.0380.62N/AN/A1591633,5412,103
2021-11-05$42.90$35.0039.5%12.5%36.9%15.3%46.6%-3.9%8.0%87.9K-5.8M-26.4K0.7585.27N/AN/A2171633,5362,097
2021-11-08$44.28$35.0065.8%12.5%37.8%53.7%44.9%7.6%4.2%107.1K-7.1M-27.0K0.5474.69N/AN/A2891553,4982,096
2021-11-09$45.24$35.0046.8%14.2%37.9%26.0%45.6%-4.1%1.6%151.2K-7.9M-27.0K0.3376.40N/AN/A4411453,5262,090
2021-11-10$42.89$40.0050.3%14.4%43.3%31.1%48.1%11.9%-3.5%104.6K-6.2M-26.0K0.7379.22N/AN/A2862083,5702,095
2021-11-11$44.67$40.0048.2%13.8%45.1%28.1%45.6%3.1%0.9%127.8K-7.4M-26.3K0.5272.67N/AN/A2691393,5742,056
2021-11-12$48.65$40.0045.0%12.9%52.8%23.3%43.5%-10.2%6.3%205.3K-11.0M-26.1K0.5183.39N/AN/A4852473,5722,061
2021-11-15$47.22$40.0052.5%15.0%54.7%34.3%49.7%1.2%-3.2%194.6K-9.7M-27.2K0.6973.38N/AN/A2881993,7482,189
2021-11-16$47.86$40.0047.3%13.6%54.8%26.7%51.0%-1.9%1.1%214.0K-10.6M-26.5K0.7889.22N/AN/A2812203,7962,191
2021-11-17$47.41$40.0038.0%10.9%54.7%13.1%45.5%3.0%22.0%203.6K-9.7M-27.9K1.1277.13N/AN/A2192453,7832,190
2021-11-18$44.88$40.0050.9%14.6%59.2%32.0%50.7%2.3%-6.8%188.3K-7.6M-26.4K0.2681.61N/AN/A1,3673603,8132,221
2021-11-19$44.46$40.0062.9%18.0%59.5%49.5%59.6%-4.3%-14.1%90.1K-8.0M-32.3K0.5282.84N/AN/A5853054,5012,244
2021-11-22$46.30$40.0054.7%15.7%60.1%37.6%54.7%-7.1%-2.3%117.7K-6.5M-34.4K0.1781.85N/AN/A346603,0571,575
2021-11-23$44.21$40.0055.3%15.9%62.9%38.5%56.2%12.6%-3.7%107.6K-5.2M-35.4K0.3290.89N/AN/A274873,1841,571
2021-11-24$45.64$40.0058.0%16.6%59.7%42.3%60.4%7.7%-4.6%124.6K-6.3M-35.7K0.5087.73N/AN/A155773,2161,602
2021-11-26$44.34$40.0067.4%19.3%60.4%56.1%69.6%7.2%-13.7%102.9K-5.5M-35.4K0.4274.62N/AN/A175733,2351,602
2021-11-29$46.25$40.0073.3%21.0%61.7%64.7%71.4%22.9%-12.6%124.8K-6.8M-35.0K0.3586.57N/AN/A4571623,2261,618
2021-11-30$46.14$40.0069.6%20.0%60.4%59.3%63.7%10.7%-28.6%118.0K-7.1M-35.1K0.4179.89N/AN/A4581863,2941,707