CAMT Options History — September 2017

In September 2017, CAMT traded between $4.51 and $5.19. ATM implied volatility averaged 55.2%, placing in the 14.5% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded above realized volatility by 21.5% (HV 20d: 33.7%). 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 15 of 20 days. Put/call ratio averaged 4.04.

Notable Days

  • 2017-09-29: Highest Volume — 2,071 contracts
  • 2017-09-05: Largest IV spike — 63.8% change
  • 2017-09-12: Highest IV Rank — 28.5%
  • 2017-09-27: Largest Expected Move — 18.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.92$4.51$5.19$4.51$5.13
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV55.2%38.7%76.1%38.7%49.9%
Expected Move15.4%11.1%18.7%11.1%14.3%
HV 20d33.7%21.0%49.8%47.0%34.9%
HV 60d51.8%40.5%61.5%61.3%42.3%
IV Rank14.5%3.4%28.5%3.4%10.9%
IV Percentile21.1%2.4%55.6%2.4%13.5%
Term Structure2.9%-12.1%13.9%12.0%5.5%
VWIV53.7%38.7%65.5%38.7%49.9%
Skew 25d20.2%4.9%38.2%5.0%30.8%
Skew 10d33.9%10.8%77.2%10.8%55.3%
Call IV 25d45.2%37.3%51.7%51.2%47.3%
Put IV 25d65.4%49.9%78.1%56.2%78.1%
Bid-Ask Spread %70.2440.3691.8056.1775.99
Gamma HHI0.540.480.720.540.48
Net GEX8.1K46111.6K7.0K996
Net DEX-180.4K-320.0K108.3K-83.9K108.3K
Net VEX-2.6K-5.4K-1.9K-2.1K-5.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.040.3619.610.8211.25
Total Volume677.851512,0715522,071
Total OI3,937.353,5995,7183,6365,718

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$4.51$5.0038.7%11.1%47.0%3.4%38.7%5.0%12.0%7.0K-83.9K-2.1K0.8256.17N/AN/A3032492,847789
2017-09-05$4.62$5.0063.5%15.0%48.1%20.0%52.5%13.6%-1.8%8.1K-124.0K-2.1K0.9463.79N/AN/A2652492,847789
2017-09-06$4.71$5.0040.7%14.8%48.7%4.7%51.5%12.3%10.0%9.3K-246.3K-2.3K1.1066.62N/AN/A2272492,869789
2017-09-07$4.86$5.0064.0%17.4%49.8%20.4%60.7%28.2%-3.0%9.7K-242.5K-2.4K1.0977.11N/AN/A2282492,871789
2017-09-08$4.85$5.0056.5%17.6%35.6%15.3%61.5%11.9%-5.2%9.6K-194.3K-2.3K1.0277.74N/AN/A2442492,872789
2017-09-11$4.85$5.0071.5%17.0%33.7%25.4%59.4%22.7%10.3%9.4K-233.2K-2.4K1.0291.80N/AN/A2442492,892789
2017-09-12$5.00$5.0076.1%16.2%33.9%28.5%56.4%30.1%2.8%10.4K-270.8K-2.4K1.0974.37N/AN/A1101202,892789
2017-09-13$5.09$5.0051.3%14.7%34.0%11.8%51.3%31.2%6.0%11.2K-320.0K-2.4K0.9866.31N/AN/A1291262,891768
2017-09-14$5.09$5.0057.2%16.4%32.6%15.8%57.2%33.5%0.7%11.6K-307.6K-2.3K0.7874.74N/AN/A1521192,901778
2017-09-15$5.09$5.0058.0%16.6%22.2%16.3%58.0%21.0%0.4%9.9K-314.8K-2.3K0.9342.06N/AN/A1281192,883778
2017-09-18$5.02$5.0047.2%13.5%23.5%9.1%47.0%38.2%0.0%10.3K-314.9K-2.1K0.4489.10N/AN/A105462,827772
2017-09-19$5.10$5.0051.5%14.8%21.0%11.9%51.2%21.1%13.9%9.5K-319.1K-2.4K0.4460.79N/AN/A107472,821782
2017-09-20$4.93$5.0051.2%14.7%26.1%11.8%51.2%18.4%7.1%8.7K-206.5K-2.1K0.4451.90N/AN/A107472,821785
2017-09-21$4.79$5.0051.9%14.9%28.2%12.2%51.9%16.3%4.4%8.2K-159.5K-2.0K0.3660.76N/AN/A130472,821785
2017-09-22$4.87$5.0052.3%15.0%28.1%12.5%52.3%7.2%2.2%8.4K-158.6K-1.9K2.1683.53N/AN/A1302812,840785
2017-09-25$4.80$5.0059.4%17.0%28.9%17.3%59.4%4.9%-12.1%8.2K-149.2K-2.2K2.1686.06N/AN/A1302812,8401,019
2017-09-26$4.85$5.0045.5%13.1%28.7%7.9%45.5%13.7%7.9%7.5K-104.5K-2.2K16.7987.87N/AN/A1131,8972,8401,019
2017-09-27$5.15$5.0065.4%18.7%34.3%21.3%65.5%20.3%-10.9%4.2K-50.0K-4.1K17.4577.69N/AN/A1091,9022,8412,119
2017-09-28$5.19$5.0052.5%15.0%34.3%12.6%52.5%24.1%7.9%46182.6K-5.4K19.6140.36N/AN/A971,9022,8492,851
2017-09-29$5.13$5.0049.9%14.3%34.9%10.9%49.9%30.8%5.5%996108.3K-5.3K11.2575.99N/AN/A1691,9022,8672,851