CAMT Options History — June 2017

In June 2017, CAMT traded between $4.83 and $7.64. ATM implied volatility averaged 66.1%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 17.1%. IV traded below realized volatility by 28.7% (HV 20d: 94.8%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.45.

Notable Days

  • 2017-06-08: Highest Volume — 2,036 contracts
  • 2017-06-07: Largest IV spike — 64.2% change
  • 2017-06-08: Highest IV Rank — 48.1%
  • 2017-06-26: Largest Expected Move — 21.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.79$4.83$7.64$6.50$4.83
Max Pain$5.57$5.00$7.50$5.00$5.00
ATM IV66.1%36.8%112.0%62.8%70.7%
Expected Move17.1%10.5%21.3%18.0%20.3%
HV 20d94.8%54.4%117.0%54.4%112.0%
HV 60d63.6%42.2%78.3%42.2%78.2%
IV Rank20.2%1.9%48.1%17.9%24.8%
IV Percentile31.7%0.8%79.4%23.4%42.5%
Term Structure5.6%-21.4%26.8%-21.4%-2.3%
VWIV61.9%37.8%95.8%62.4%73.8%
Skew 25d10.1%-11.9%71.4%71.4%-11.9%
Skew 10d20.5%-22.3%85.9%85.9%-22.3%
Call IV 25d64.6%39.7%85.4%82.1%85.4%
Put IV 25d74.7%59.4%153.5%153.5%73.4%
Bid-Ask Spread %56.0827.5781.0627.5749.07
Gamma HHI0.630.500.920.660.50
Net GEX22.0K14.8K31.4K18.0K14.9K
Net DEX-824.3K-2.0M-374.7K-1.0M-425.7K
Net VEX-3.9K-4.8K-2.2K-2.2K-3.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.131.000.420.66
Total Volume590.51912,036367416
Total OI5,915.6362,8207,1182,8207,105

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$6.50$5.0062.8%18.0%54.4%17.9%62.4%0.0%-21.4%18.0K-1.0M-2.2K0.4227.57N/AN/A2591082,626194
2017-06-02$6.96$5.0042.3%12.1%55.8%5.2%37.8%0.0%4.3%22.2K-1.2M-2.4K0.2679.47N/AN/A4011042,713194
2017-06-05$7.15$5.0036.8%10.5%55.7%1.9%39.4%0.0%6.6%23.3K-1.3M-2.7K0.1366.10N/AN/A564742,930195
2017-06-06$7.64$5.0046.9%13.0%56.5%8.1%45.5%0.0%6.5%31.4K-2.0M-3.9K1.0036.10N/AN/A9579613,595206
2017-06-07$6.65$7.5077.0%14.2%78.4%26.6%54.9%71.4%-1.1%23.0K-1.0M-4.3K0.8168.30N/AN/A6775473,964810
2017-06-08$5.77$7.50112.0%15.3%95.9%48.1%60.6%-2.5%21.3%20.3K-621.3K-4.0K0.7358.75N/AN/A1,1768604,466828
2017-06-09$5.66$7.5070.8%16.9%96.4%22.8%57.6%-6.4%12.0%23.0K-651.1K-4.3K0.6046.01N/AN/A2461475,1811,162
2017-06-12$5.29$7.5081.7%19.8%100.2%29.5%95.8%-1.0%18.6%21.8K-575.1K-4.3K0.2181.06N/AN/A417865,4091,078
2017-06-13$5.81$7.5093.7%17.9%104.5%36.8%65.5%-1.8%6.7%26.5K-847.6K-4.8K0.4457.50N/AN/A2891285,6961,088
2017-06-14$5.49$5.0057.4%16.5%107.0%14.6%61.8%-1.1%11.1%22.3K-654.0K-4.4K0.5462.20N/AN/A170925,8851,138
2017-06-15$5.55$5.0066.5%19.1%106.2%20.1%65.3%28.3%5.3%24.1K-758.4K-4.7K0.5863.34N/AN/A149875,9461,172
2017-06-16$5.57$5.0060.6%17.4%106.2%16.5%58.8%24.2%11.0%23.4K-744.7K-4.5K0.5868.00N/AN/A121705,9441,167
2017-06-19$5.60$5.0048.7%14.0%105.7%9.2%46.2%4.1%26.8%20.8K-839.9K-4.2K0.2439.26N/AN/A256625,618773
2017-06-20$5.46$5.0053.7%15.4%102.0%12.3%50.9%2.5%21.8%22.3K-796.4K-4.3K0.2731.39N/AN/A259695,714773
2017-06-21$5.37$5.0067.7%19.4%102.2%20.9%66.6%30.9%1.8%21.0K-656.3K-4.1K0.2340.27N/AN/A362845,717790
2017-06-22$5.49$5.0070.2%20.1%100.7%22.4%69.2%26.1%-6.1%22.0K-739.9K-4.3K0.3566.82N/AN/A3331175,665765
2017-06-23$5.80$5.0064.0%18.4%98.3%18.6%72.5%24.3%16.5%28.4K-985.6K-4.7K0.3255.63N/AN/A3531125,655810
2017-06-26$5.88$5.0074.3%21.3%98.4%24.9%74.1%4.9%-12.7%28.6K-1.0M-4.6K0.3235.48N/AN/A298965,779820
2017-06-27$4.91$5.0063.9%18.3%117.0%18.5%67.7%-8.1%1.6%14.8K-374.7K-3.2K0.2574.10N/AN/A5581395,843819
2017-06-28$5.06$5.0064.4%18.5%116.3%20.6%64.6%-0.4%-2.8%16.9K-497.4K-3.7K0.3553.62N/AN/A246866,099831
2017-06-29$4.86$5.0068.9%19.7%116.2%23.6%70.0%-2.4%-2.5%15.3K-386.4K-3.4K0.5673.66N/AN/A2921636,153828
2017-06-30$4.83$5.0070.7%20.3%112.0%24.8%73.8%-11.9%-2.3%14.9K-425.7K-3.7K0.6649.07N/AN/A2501666,179926