CAMT Options History — December 2021

In December 2021, CAMT traded between $40.86 and $46.69. ATM implied volatility averaged 58.7%, placing in the 39.4% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded above realized volatility by 0.0% (HV 20d: 58.6%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.79.

Notable Days

  • 2021-12-13: Highest Volume — 1,489 contracts
  • 2021-12-15: Largest IV drop — 49.1% change
  • 2021-12-14: Highest IV Rank — 100.0%
  • 2021-12-03: Largest Expected Move — 23.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.91$40.86$46.69$46.20$46.07
Max Pain$40.23$40.00$45.00$40.00$40.00
ATM IV58.7%39.2%111.8%51.8%48.9%
Expected Move15.4%11.2%23.3%14.9%14.0%
HV 20d58.6%53.4%65.0%59.3%53.4%
HV 60d51.2%48.0%53.7%48.2%51.4%
IV Rank39.4%12.3%100.0%33.3%24.0%
IV Percentile60.5%7.1%100.0%52.4%42.1%
Term Structure1.4%-15.0%14.8%-1.1%6.5%
VWIV59.2%49.1%80.8%66.5%60.0%
Skew 25d7.1%-9.2%17.0%9.6%9.3%
Skew 10d13.1%-1.6%45.1%1.0%2.1%
Call IV 25d55.5%44.3%74.7%54.3%51.4%
Put IV 25d62.5%52.9%89.2%63.9%60.7%
Bid-Ask Spread %81.2865.52103.28103.2889.24
Gamma HHI0.270.240.310.260.29
Net GEX113.7K44.7K198.1K144.7K133.3K
Net DEX-7.5M-10.1M-4.5M-6.7M-9.9M
Net VEX-40.6K-45.5K-34.7K-35.9K-40.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.192.080.830.63
Total Volume525.0452971,489369372
Total OI6,088.55,2206,9335,2206,378

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-12-01$46.20$40.0051.8%14.9%59.3%33.3%66.5%9.6%-1.1%144.7K-6.7M-35.9K0.83103.28N/AN/A2021673,4981,722
2021-12-02$44.51$40.0069.0%19.8%61.4%58.5%68.5%-1.2%-11.7%126.8K-5.6M-35.0K0.8485.79N/AN/A2011693,5161,722
2021-12-03$43.10$45.0081.2%23.3%60.9%76.3%80.8%17.0%-15.0%106.5K-4.5M-34.7K0.1998.44N/AN/A9091763,5271,749
2021-12-06$42.62$40.0061.5%16.2%60.4%47.4%74.1%-9.2%10.2%118.8K-5.3M-37.3K0.7170.49N/AN/A2561813,8531,751
2021-12-07$45.89$40.0062.4%17.2%65.0%48.8%60.1%8.5%4.7%160.7K-8.3M-39.6K0.9366.23N/AN/A1881743,9191,771
2021-12-08$46.69$40.0053.6%13.6%64.9%36.0%56.7%5.3%8.4%198.1K-8.8M-37.9K0.5070.25N/AN/A3481743,9211,762
2021-12-09$45.10$40.0056.3%14.6%63.1%39.9%55.0%2.7%1.1%146.5K-7.5M-37.8K0.4880.45N/AN/A3611733,8011,763
2021-12-10$44.36$40.0056.8%14.7%61.7%40.6%56.8%-4.0%-0.6%136.1K-6.9M-36.7K0.7365.52N/AN/A3612623,8021,768
2021-12-13$42.76$40.0079.1%13.4%54.0%73.2%56.6%14.1%3.4%93.4K-5.5M-36.4K0.4879.94N/AN/A1,0094803,7981,874
2021-12-14$41.06$40.00111.8%16.2%54.7%100.0%58.6%3.2%0.9%78.9K-6.2M-45.1K1.3180.62N/AN/A2973894,6312,126
2021-12-15$43.34$40.0056.9%16.3%58.5%33.6%60.3%9.6%5.9%124.8K-8.3M-45.4K1.9979.20N/AN/A2003984,7572,128
2021-12-16$40.89$40.0050.7%14.5%61.5%26.1%62.2%16.4%1.3%89.3K-6.3M-45.5K2.0885.21N/AN/A1934014,7852,128
2021-12-17$41.32$40.0053.3%15.3%59.1%29.4%56.9%5.4%5.3%53.6K-6.2M-43.9K0.8777.60N/AN/A2051794,8082,125
2021-12-20$40.86$40.0045.4%13.0%59.2%19.8%51.2%-2.3%-5.0%44.7K-5.8M-43.7K0.7970.97N/AN/A1661314,2241,986
2021-12-21$42.22$40.0056.8%16.3%58.4%33.5%57.3%0.9%14.8%73.1K-7.0M-44.1K0.5875.98N/AN/A2311354,2332,008
2021-12-22$42.68$40.0039.2%11.2%56.5%12.3%53.6%13.6%4.6%72.6K-8.1M-43.2K0.7282.76N/AN/A1951414,2892,009
2021-12-23$43.83$40.0048.5%13.9%56.1%23.5%54.3%15.2%-1.3%108.4K-8.6M-42.2K0.3781.92N/AN/A4111514,3132,016
2021-12-27$45.38$40.0046.5%13.3%56.6%21.1%53.6%11.9%-2.9%122.4K-9.7M-41.7K0.5684.06N/AN/A2541434,3482,033
2021-12-28$45.29$40.0044.9%12.9%54.5%19.1%49.1%3.2%2.6%110.1K-9.7M-41.8K0.5282.90N/AN/A2761444,3142,034
2021-12-29$46.17$40.0055.2%15.8%55.0%31.6%53.8%15.3%7.6%137.1K-10.1M-42.3K0.5190.02N/AN/A2521294,3422,036
2021-12-30$45.71$40.0060.7%17.4%55.1%38.3%55.8%10.5%-9.5%122.5K-10.0M-41.8K0.6787.31N/AN/A2201474,3402,039
2021-12-31$46.07$40.0048.9%14.0%53.4%24.0%60.0%9.3%6.5%133.3K-9.9M-40.7K0.6389.24N/AN/A2281444,3472,031