CAMT Options History — August 2017

In August 2017, CAMT traded between $4.21 and $5.46. ATM implied volatility averaged 56.0%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded above realized volatility by 8.1% (HV 20d: 47.9%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 0.54.

Notable Days

  • 2017-08-18: Highest Volume — 563 contracts
  • 2017-08-17: Largest IV spike — 55.2% change
  • 2017-08-03: Highest IV Rank — 29.3%
  • 2017-08-17: Largest Expected Move — 21.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.60$4.21$5.46$5.46$4.45
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV56.0%38.5%77.2%75.8%51.1%
Expected Move15.7%11.0%21.9%21.7%14.7%
HV 20d47.9%33.9%54.1%33.9%49.4%
HV 60d77.3%67.4%80.8%79.9%67.4%
IV Rank15.0%3.2%29.3%28.3%11.7%
IV Percentile21.5%2.0%53.2%49.2%14.3%
Term Structure7.0%-12.2%28.7%-6.4%5.6%
VWIV55.7%38.5%78.0%78.0%51.1%
Skew 25d10.4%-14.1%58.1%17.7%2.5%
Skew 10d20.0%-24.3%86.9%46.1%8.1%
Call IV 25d62.2%49.9%78.3%60.1%53.3%
Put IV 25d72.5%51.7%135.3%77.7%55.7%
Bid-Ask Spread %38.5111.6980.1425.7080.01
Gamma HHI0.540.480.610.480.55
Net GEX9.6K5.5K16.8K16.8K6.5K
Net DEX-179.5K-730.6K52.5K-730.6K-73.9K
Net VEX-2.3K-3.6K-1.6K-3.6K-1.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.200.970.900.82
Total Volume389.565268563268552
Total OI4,948.5653,3056,0125,9143,406

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-08-01$5.46$5.0075.8%21.7%33.9%28.3%78.0%17.7%-6.4%16.8K-730.6K-3.6K0.9025.70N/AN/A1411274,978936
2017-08-02$5.18$5.0074.0%21.2%39.7%27.1%74.6%40.3%-4.4%15.4K-558.5K-3.4K0.9761.79N/AN/A1401364,978936
2017-08-03$5.22$5.0077.2%17.5%39.6%29.3%59.2%41.6%16.3%15.7K-586.3K-3.4K0.5035.55N/AN/A2531274,984950
2017-08-04$4.95$5.0060.3%16.5%42.1%17.9%57.5%33.1%4.7%14.4K-402.6K-2.9K0.9526.83N/AN/A1731654,934952
2017-08-07$4.93$5.0064.0%17.6%41.7%20.4%61.7%-6.5%0.5%14.2K-308.9K-2.9K0.9631.38N/AN/A1731664,9201,003
2017-08-08$4.91$5.0070.7%17.9%39.8%24.9%62.5%58.1%0.3%13.8K-330.8K-2.8K0.9630.71N/AN/A1731664,927953
2017-08-09$4.83$5.0055.2%15.8%39.5%14.4%55.2%50.9%5.6%13.7K-273.6K-2.7K0.5526.60N/AN/A2911604,927953
2017-08-10$4.40$5.0067.9%19.5%49.5%23.0%67.9%-1.3%0.4%9.8K-102.9K-2.4K0.4063.81N/AN/A2901165,020957
2017-08-11$4.56$5.0055.0%15.8%51.2%14.3%55.5%-7.9%6.7%10.8K-93.9K-2.5K0.4250.88N/AN/A2901215,030972
2017-08-14$4.69$5.0047.3%13.5%52.1%9.1%47.4%-0.1%9.8%13.0K-138.4K-2.4K0.4280.14N/AN/A2901215,030977
2017-08-15$4.65$5.0069.3%19.9%51.7%24.0%70.5%14.8%-5.0%12.5K-125.9K-2.4K0.4076.26N/AN/A2801115,030972
2017-08-16$4.55$5.0049.2%14.1%50.1%10.4%49.3%0.8%9.5%6.5K16.6K-2.1K0.3775.06N/AN/A2901075,030972
2017-08-17$4.29$5.0076.4%21.9%52.4%28.7%76.4%-6.7%-12.2%5.6K52.5K-1.9K0.4447.39N/AN/A2421065,040972
2017-08-18$4.30$5.0053.4%15.3%51.9%13.2%60.7%-6.7%-6.8%5.5K18.4K-1.7K0.2334.93N/AN/A4571065,128796
2017-08-21$4.21$5.0046.3%13.3%51.7%8.5%45.6%-14.1%4.9%5.5K-57.7K-1.8K0.2022.41N/AN/A448902,683622
2017-08-22$4.24$5.0043.4%12.4%51.6%6.5%56.9%-3.2%28.7%5.6K-36.7K-1.7K0.2322.43N/AN/A4521032,792626
2017-08-23$4.35$5.0045.2%13.0%53.3%7.7%45.2%13.1%19.6%6.4K-77.1K-1.8K0.4715.31N/AN/A2211032,797631
2017-08-24$4.32$5.0038.5%11.0%53.3%3.2%38.5%0.3%16.3%6.0K-69.8K-1.7K0.4315.52N/AN/A2311002,776631
2017-08-25$4.31$5.0039.0%11.2%53.4%3.6%39.0%-0.8%16.8%5.6K-34.4K-1.6K0.4315.74N/AN/A2331002,756632
2017-08-28$4.38$5.0040.7%11.7%54.1%4.7%40.7%1.0%16.9%6.1K-53.7K-1.7K0.4511.69N/AN/A2331052,766632
2017-08-29$4.35$5.0040.9%11.7%51.1%4.8%40.9%9.8%17.8%6.2K-73.4K-1.8K0.4513.86N/AN/A2331052,767638
2017-08-30$4.38$5.0047.3%13.5%49.0%9.1%47.3%1.6%15.4%6.3K-87.4K-1.8K0.4321.63N/AN/A2331002,767638
2017-08-31$4.45$5.0051.1%14.7%49.4%11.7%51.1%2.5%5.6%6.5K-73.9K-1.7K0.8280.01N/AN/A3032492,767639