CAMT Options History — September 2024

In September 2024, CAMT traded between $71.78 and $86.63. ATM implied volatility averaged 59.2%, placing in the 47.2% IV rank vs the trailing year. The 30-day expected move averaged 16.9%. IV traded above realized volatility by 1.7% (HV 20d: 57.5%). Max pain ranged from $80.00 to $95.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.40.

Notable Days

  • 2024-09-30: Highest Volume — 3,361 contracts
  • 2024-09-11: Largest IV drop — 7.2% change
  • 2024-09-10: Highest IV Rank — 55.2%
  • 2024-09-30: Largest Expected Move — 17.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$78.50$71.78$86.63$82.24$79.80
Max Pain$86.50$80.00$95.00$95.00$80.00
ATM IV59.2%56.4%62.9%58.6%62.0%
Expected Move16.9%16.2%17.8%16.8%17.8%
HV 20d57.5%48.4%72.8%55.6%72.6%
HV 60d70.7%69.1%74.7%70.2%74.7%
IV Rank47.2%40.5%55.2%48.4%53.1%
IV Percentile71.5%59.5%82.9%71.0%80.2%
Term Structure0.9%-2.6%3.7%-0.9%-1.7%
VWIV58.9%54.5%68.9%57.7%62.0%
Skew 25d2.6%-13.0%14.7%3.7%-4.6%
Skew 10d10.0%-19.3%44.9%-19.3%-1.8%
Call IV 25d57.7%53.0%64.3%56.4%64.3%
Put IV 25d60.3%47.4%74.0%60.1%59.8%
Bid-Ask Spread %62.4944.3177.5570.2065.30
Gamma HHI0.100.080.120.120.08
Net GEX624.3K-347.5K2.0M731.9K1.1M
Net DEX13.9M-51.1M42.2M4.2M-2.6M
Net VEX-526.9K-826.8K-407.7K-527.9K-666.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.040.730.040.20
Total Volume1,919.351283,3613,1033,361
Total OI65,373.6550,22476,96550,22476,965

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-09-03$82.24$95.0058.6%16.8%55.6%48.4%57.7%3.7%-0.9%731.9K4.2M-527.9K0.0470.20N/AN/A2,98312036,41913,805
2024-09-04$83.62$95.0060.3%17.3%56.0%52.2%59.7%-13.0%-2.6%682.4K8.2M-486.9K0.0777.55N/AN/A3502539,23013,710
2024-09-05$82.90$90.0058.9%16.4%55.9%46.1%54.6%6.1%1.5%614.2K12.1M-472.4K0.2446.70N/AN/A2,03949439,45413,727
2024-09-06$77.94$90.0061.3%17.1%57.5%51.6%60.4%6.4%1.9%304.5K29.4M-411.8K0.6959.40N/AN/A1,7531,21241,44714,022
2024-09-09$75.88$90.0062.6%17.3%55.6%54.5%58.7%4.1%0.3%235.3K32.7M-409.9K0.7351.61N/AN/A18213243,15614,392
2024-09-10$77.21$90.0062.9%17.4%56.4%55.2%60.8%3.2%0.0%344.8K26.7M-431.9K0.2149.85N/AN/A2,15744543,28614,425
2024-09-11$78.56$90.0058.4%16.7%56.9%44.9%59.6%3.0%0.8%742.0K8.2M-540.5K0.1763.40N/AN/A2,06535045,39514,791
2024-09-12$79.09$90.0058.0%16.6%56.8%44.0%57.3%2.6%1.0%458.5K20.5M-482.5K0.2469.72N/AN/A2,11951347,45015,199
2024-09-13$81.04$90.0057.6%16.5%48.4%43.1%57.4%6.3%1.1%967.7K63.5K-601.1K0.5858.15N/AN/A814749,46415,513
2024-09-16$77.50$90.0059.6%17.1%49.9%47.7%68.9%3.1%0.6%511.8K20.7M-500.9K0.3568.17N/AN/A1,77462349,47215,497
2024-09-17$74.88$90.0058.3%16.7%50.5%44.7%58.6%3.0%1.7%367.1K31.2M-455.0K0.4756.01N/AN/A2,06095951,13615,619
2024-09-18$71.78$85.0059.5%17.1%51.3%47.6%58.4%3.3%0.3%56.6K42.2M-407.7K0.3872.43N/AN/A1,55259053,14016,416
2024-09-19$75.88$85.0057.8%16.6%56.9%43.7%58.7%-0.4%1.4%409.9K23.6M-508.0K0.4266.08N/AN/A53522354,58916,659
2024-09-20$74.75$80.0056.4%16.2%56.9%40.5%56.7%2.0%0.9%-347.5K28.7M-487.1K0.3466.41N/AN/A1,10538054,98316,695
2024-09-23$74.38$80.0058.2%16.7%56.7%44.5%57.5%3.7%1.5%409.5K32.2M-453.9K0.7274.98N/AN/A1,19885754,57116,280
2024-09-24$75.98$80.0056.6%16.2%56.2%40.7%54.5%1.8%2.6%601.4K22.0M-528.4K0.5267.05N/AN/A1,60883955,66116,986
2024-09-25$76.90$80.0057.3%16.4%55.6%42.4%57.1%0.9%3.7%765.5K13.7M-597.2K0.6355.85N/AN/A85254057,17717,744
2024-09-26$86.63$80.0060.3%17.3%71.8%49.3%59.6%2.3%1.5%2.0M-51.1M-826.8K0.2544.31N/AN/A1,42035657,97818,171
2024-09-27$82.97$80.0060.5%17.3%72.8%49.7%60.0%14.7%2.2%1.5M-23.8M-742.6K0.7266.55N/AN/A28420458,54118,308
2024-09-30$79.80$80.0062.0%17.8%72.6%53.1%62.0%-4.6%-1.7%1.1M-2.6M-666.0K0.2065.30N/AN/A2,80056158,52118,444