CAMT Options History — October 2017

In October 2017, CAMT traded between $5.39 and $5.83. ATM implied volatility averaged 56.4%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 16.7%. IV traded above realized volatility by 20.7% (HV 20d: 35.6%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 2.55.

Notable Days

  • 2017-10-03: Highest Volume — 2,145 contracts
  • 2017-10-11: Largest IV spike — 32.7% change
  • 2017-10-30: Highest IV Rank — 28.1%
  • 2017-10-30: Largest Expected Move — 21.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.67$5.39$5.83$5.39$5.75
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV56.4%44.6%75.6%61.3%70.7%
Expected Move16.7%13.1%21.7%17.6%20.3%
HV 20d35.6%20.6%40.0%37.9%20.6%
HV 60d41.7%38.1%43.5%42.8%38.1%
IV Rank15.2%7.3%28.1%18.5%24.9%
IV Percentile25.8%8.3%61.1%29.8%54.0%
Term Structure-3.2%-34.1%19.0%0.2%4.3%
VWIV56.1%42.4%71.7%61.6%71.7%
Skew 25d16.9%-15.9%41.8%21.5%41.8%
Skew 10d43.5%16.4%61.9%35.6%41.2%
Call IV 25d61.1%38.5%171.1%46.8%52.5%
Put IV 25d78.0%52.9%196.8%68.4%94.3%
Bid-Ask Spread %74.4919.2694.7950.5394.27
Gamma HHI0.530.480.790.500.49
Net GEX817-10.4K4.2K2.0K1.3K
Net DEX-202.1K-328.4K-30.8K-30.8K-120.2K
Net VEX-5.0K-5.7K-3.9K-5.4K-5.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.550.5717.4017.400.95
Total Volume549.3642252,1452,024374
Total OI5,990.0455,7436,3185,7436,302

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$5.39$5.0061.3%17.6%37.9%18.5%61.6%21.5%0.2%2.0K-30.8K-5.4K17.4050.53N/AN/A1101,9142,8922,851
2017-10-03$5.62$5.0050.5%14.5%39.4%11.3%53.2%13.7%13.5%2.8K-183.7K-5.3K10.9268.82N/AN/A1801,9652,9162,851
2017-10-04$5.69$5.0045.8%13.1%39.2%8.1%44.0%16.2%3.8%4.2K-270.0K-5.3K12.5228.26N/AN/A1571,9653,0072,934
2017-10-05$5.62$5.0058.1%15.0%39.1%16.4%52.3%12.3%2.1%3.2K-183.6K-5.5K0.8559.94N/AN/A1571333,0272,934
2017-10-06$5.52$5.0044.6%21.2%40.0%7.3%69.8%31.4%-20.8%2.8K-159.6K-5.7K0.8052.05N/AN/A1571253,0272,965
2017-10-09$5.57$5.0052.2%16.4%39.9%12.4%56.7%13.4%-2.2%2.9K-156.0K-5.3K0.5962.97N/AN/A2121253,0172,967
2017-10-10$5.65$5.0046.6%16.2%39.0%8.6%54.8%15.0%-2.1%3.2K-182.1K-5.2K0.7847.10N/AN/A1601252,9962,967
2017-10-11$5.68$5.0061.8%17.7%38.8%18.9%57.8%16.9%-6.9%3.4K-159.9K-5.4K0.7275.72N/AN/A1741252,9762,967
2017-10-12$5.71$5.0060.0%17.2%38.7%17.7%58.0%21.6%-1.9%3.1K-229.0K-5.2K0.7619.26N/AN/A1651253,0022,967
2017-10-13$5.68$5.0055.8%16.0%38.9%14.9%53.5%12.2%-0.4%2.5K-218.4K-5.2K0.7690.23N/AN/A1641253,0012,967
2017-10-16$5.60$5.0054.6%15.6%38.9%14.0%53.1%9.6%1.2%2.3K-176.5K-5.0K0.7492.41N/AN/A1681252,9992,967
2017-10-17$5.65$5.0057.1%16.4%38.7%15.7%56.7%11.2%-5.2%1.9K-195.7K-4.9K0.7491.40N/AN/A1681252,9982,967
2017-10-18$5.83$5.0047.0%13.5%36.9%8.9%42.4%19.2%19.0%3.0K-299.3K-4.9K0.8889.50N/AN/A1421252,9982,967
2017-10-19$5.71$5.0056.5%16.2%35.9%15.3%56.2%12.4%-2.3%2.0K-240.1K-4.9K0.8888.81N/AN/A1421252,9982,967
2017-10-20$5.73$5.0057.3%16.4%35.8%15.8%57.0%-15.9%-2.4%1.8K-240.6K-4.8K0.7388.95N/AN/A1451062,9982,967
2017-10-23$5.65$5.0049.9%14.3%35.8%10.9%0.0%11.4%14.2%-9.3K-328.4K-3.9K0.5793.25N/AN/A143822,9722,935
2017-10-24$5.67$5.0064.6%18.5%35.8%20.7%64.3%12.5%-34.0%1.8K-176.0K-4.7K0.5792.11N/AN/A143822,9722,940
2017-10-25$5.68$5.0057.8%16.6%30.1%16.2%55.2%15.6%-19.1%328-234.4K-4.5K1.3489.84N/AN/A1431912,9722,940
2017-10-26$5.71$5.0052.0%14.9%30.1%12.3%0.0%27.5%1.8%-7.2K-302.5K-4.1K0.9187.89N/AN/A2001822,9723,099
2017-10-27$5.79$5.0060.4%17.3%29.6%17.9%47.8%25.8%0.8%464-144.2K-5.2K0.8180.63N/AN/A2241823,0693,249
2017-10-30$5.74$5.0075.6%21.7%25.1%28.1%0.0%25.7%-34.1%-10.4K-215.6K-4.4K0.8194.79N/AN/A2241823,0533,249
2017-10-31$5.75$5.0070.7%20.3%20.6%24.9%71.7%41.8%4.3%1.3K-120.2K-5.1K0.9594.27N/AN/A1921823,0533,249