CAMT Options History — July 2017

In July 2017, CAMT traded between $4.79 and $5.60. ATM implied volatility averaged 70.6%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 19.8%. IV traded below realized volatility by 3.3% (HV 20d: 73.9%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.58.

Notable Days

  • 2017-07-19: Highest Volume — 675 contracts
  • 2017-07-20: Largest IV spike — 100.4% change
  • 2017-07-06: Highest IV Rank — 41.7%
  • 2017-07-26: Largest Expected Move — 24.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.30$4.79$5.60$4.79$5.25
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV70.6%38.3%95.7%75.5%73.7%
Expected Move19.8%11.0%24.1%21.6%21.1%
HV 20d73.9%32.0%110.8%110.8%32.0%
HV 60d78.9%78.3%79.6%78.3%79.6%
IV Rank24.8%3.1%41.7%28.1%26.9%
IV Percentile40.2%1.6%69.4%47.6%44.8%
Term Structure-0.7%-13.7%33.2%-6.3%-6.1%
VWIV67.6%36.4%76.8%76.8%73.9%
Skew 25d18.0%-9.8%36.7%6.0%33.2%
Skew 10d40.9%-10.2%72.5%7.8%69.4%
Call IV 25d61.6%37.6%143.9%80.9%62.1%
Put IV 25d79.6%39.0%146.0%87.0%95.3%
Bid-Ask Spread %51.8619.9579.3342.0719.95
Gamma HHI0.490.470.540.500.48
Net GEX17.5K11.4K20.5K14.5K16.0K
Net DEX-680.3K-907.3K-358.7K-358.7K-583.2K
Net VEX-3.7K-4.1K-2.9K-3.4K-3.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.111.980.280.71
Total Volume437.75224675324301
Total OI6,834.25,6237,7217,1235,842

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$4.79$5.0075.5%21.6%110.8%28.1%76.8%6.0%-6.3%14.5K-358.7K-3.4K0.2842.07N/AN/A254706,187936
2017-07-05$4.86$5.0073.9%21.2%106.9%27.0%73.5%24.9%-4.1%14.3K-379.2K-3.6K0.3466.70N/AN/A207706,182940
2017-07-06$4.92$5.0095.7%17.9%98.3%41.7%61.7%18.9%2.6%16.5K-400.8K-3.5K0.3166.15N/AN/A225706,201944
2017-07-07$5.11$5.0075.4%19.9%87.6%28.0%68.5%17.0%2.4%16.8K-545.8K-3.9K0.2561.12N/AN/A277706,206944
2017-07-10$5.18$5.0068.2%20.9%87.8%23.2%73.0%28.5%0.3%17.7K-589.5K-3.8K0.1859.48N/AN/A391706,142944
2017-07-11$5.34$5.0071.5%21.4%85.3%25.4%70.5%22.6%-0.9%20.4K-804.1K-3.9K0.1242.99N/AN/A425516,258944
2017-07-12$5.41$5.0073.0%20.9%78.1%26.4%68.8%26.9%-3.5%19.1K-728.3K-4.1K0.1122.62N/AN/A491526,262946
2017-07-13$5.49$5.0070.3%20.2%75.7%24.6%71.7%-9.8%-2.4%20.0K-807.7K-4.1K0.1465.98N/AN/A441616,340947
2017-07-14$5.30$5.0075.3%21.6%76.6%27.9%76.4%10.3%-9.7%16.8K-668.4K-4.0K0.1478.87N/AN/A504736,361947
2017-07-17$5.39$5.0062.0%17.8%76.9%19.0%61.0%18.8%4.8%18.3K-732.0K-3.8K1.1179.33N/AN/A3083426,383952
2017-07-18$5.44$5.0059.0%16.9%76.9%17.0%55.7%11.7%5.1%17.4K-741.8K-3.8K0.7831.10N/AN/A3072406,3951,176
2017-07-19$5.60$5.0038.3%11.0%77.1%3.1%36.4%1.4%33.2%17.1K-907.3K-3.6K1.3140.11N/AN/A2923836,3741,134
2017-07-20$5.42$5.0076.8%22.0%77.8%29.0%76.5%36.7%-13.7%20.1K-758.0K-3.9K0.7350.13N/AN/A3892856,3371,384
2017-07-21$5.49$5.0067.6%19.4%77.5%22.8%66.8%23.9%4.2%19.5K-795.1K-3.8K0.6246.54N/AN/A3081916,3191,386
2017-07-24$5.50$5.0067.6%19.4%74.8%22.8%68.4%20.6%5.2%20.2K-797.7K-3.7K0.2247.51N/AN/A184404,943680
2017-07-25$5.55$5.0071.0%20.4%74.7%25.1%71.7%21.8%-8.4%20.5K-839.9K-3.8K0.7548.77N/AN/A1881414,943680
2017-07-26$5.44$5.0084.0%24.1%35.6%33.8%0.0%2.1%-9.9%11.4K-858.4K-2.9K0.7857.60N/AN/A1801414,947768
2017-07-27$5.34$5.0063.8%18.3%35.3%20.2%63.8%18.6%-1.1%17.1K-679.6K-3.4K0.8233.88N/AN/A1721414,935768
2017-07-28$5.27$5.0070.0%20.1%32.1%24.4%70.0%26.7%-5.2%16.7K-631.1K-3.4K1.9876.29N/AN/A1412794,939768
2017-07-31$5.25$5.0073.7%21.1%32.0%26.9%73.9%33.2%-6.1%16.0K-583.2K-3.4K0.7119.95N/AN/A1761254,934908