CAMT Options History — November 2017

In November 2017, CAMT traded between $5.48 and $6.44. ATM implied volatility averaged 57.3%, placing in the 16.1% IV rank vs the trailing year. The 30-day expected move averaged 15.3%. IV traded above realized volatility by 26.1% (HV 20d: 31.2%). Max pain ranged from $4.86 to $5.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.38.

Notable Days

  • 2017-11-07: Highest Volume — 1,186 contracts
  • 2017-11-29: Largest IV spike — 124.1% change
  • 2017-11-29: Highest IV Rank — 54.1%
  • 2017-11-29: Largest Expected Move — 32.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.05$5.48$6.44$5.65$6.04
Max Pain$4.95$4.86$5.00$5.00$4.86
ATM IV57.3%32.8%113.8%68.5%65.8%
Expected Move15.3%9.4%32.6%19.6%18.9%
HV 20d31.2%21.1%40.6%21.1%40.1%
HV 60d33.2%31.0%38.7%38.3%34.6%
IV Rank16.1%0.0%54.1%23.4%22.1%
IV Percentile29.8%0.0%89.7%48.8%47.6%
Term Structure-7.0%-73.0%24.9%-11.1%-52.4%
VWIV51.9%35.3%72.5%54.8%56.8%
Skew 25d8.6%-17.0%58.1%-17.0%-4.8%
Skew 10d15.7%-10.4%82.5%-10.4%9.7%
Call IV 25d63.0%33.4%184.5%184.5%51.9%
Put IV 25d71.6%40.3%167.5%167.5%47.1%
Bid-Ask Spread %54.9319.75108.2794.7857.63
Gamma HHI0.630.380.860.780.76
Net GEX-9.6K-20.3K352-9.5K-11.2K
Net DEX145.1K-242.4K590.7K-242.4K370.7K
Net VEX-6.1K-10.3K-4.4K-4.4K-4.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.263.001.080.51
Total Volume611.429831,18644683
Total OI6,579.4294,1188,5066,3034,484

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$5.65$5.0068.5%19.6%21.1%23.4%0.0%-17.0%-11.1%-9.5K-242.4K-4.4K1.0894.78N/AN/A2142323,0543,249
2017-11-02$5.48$0.0068.3%12.5%23.4%23.2%0.0%9.4%15.0%-1.3K126.5K-5.1K1.1984.23N/AN/A2102503,0543,449
2017-11-03$5.50$0.0067.7%15.5%22.6%22.8%0.0%11.7%-0.8%-2.3K99.3K-5.0K2.0331.53N/AN/A1232503,0543,457
2017-11-06$5.65$0.0074.1%16.1%24.4%27.2%54.8%0.0%2.9%-1.8K30.0K-5.1K0.40108.27N/AN/A6232503,0543,457
2017-11-07$5.90$5.0096.0%19.4%28.4%41.9%60.9%58.1%-14.1%352-111.6K-5.2K0.2685.55N/AN/A9392473,0593,457
2017-11-08$6.11$5.0055.9%16.0%30.7%14.9%55.7%41.2%-29.4%-1.6K-43.7K-5.2K0.8553.33N/AN/A3172702,7933,455
2017-11-09$5.98$5.0061.1%17.5%31.9%18.4%57.3%-4.3%-12.0%-7.9K24.3K-5.0K0.9037.97N/AN/A3012702,8223,475
2017-11-10$5.96$5.0057.9%16.6%31.9%16.3%59.6%0.0%-11.9%-6.2K46.6K-5.0K0.8867.55N/AN/A3062702,8253,475
2017-11-13$6.03$5.0038.7%11.1%31.4%3.3%42.7%0.0%5.3%-9.5K-292-4.9K0.6724.97N/AN/A4032702,8273,475
2017-11-14$6.09$5.0049.2%14.1%31.4%10.4%53.9%0.0%-14.4%-9.8K13.6K-4.8K0.7859.71N/AN/A3572782,7703,475
2017-11-15$6.09$5.0065.0%18.6%29.7%21.0%58.5%0.0%-44.2%-9.3K-4.3K-5.0K0.6223.07N/AN/A4482782,8173,475
2017-11-16$6.33$5.0032.8%9.4%31.1%0.0%49.1%0.0%9.6%-8.5K-105.6K-4.7K0.7249.21N/AN/A3842782,8073,475
2017-11-17$6.42$5.0033.6%9.6%31.2%0.5%35.3%0.0%24.9%-9.4K-150.5K-4.7K0.7454.82N/AN/A3762782,8053,475
2017-11-20$6.44$5.0038.6%11.1%30.4%3.9%43.3%-3.0%14.1%-9.2K169.5K-4.7K3.0019.75N/AN/A1444321,1682,950
2017-11-21$6.21$5.0033.8%9.7%34.0%0.7%39.2%-0.8%12.6%-11.1K345.5K-5.3K3.0037.28N/AN/A1444321,1793,327
2017-11-22$6.27$4.8643.5%12.5%34.0%7.2%43.6%7.7%20.6%-18.4K469.4K-10.3K2.6843.82N/AN/A1614322,2396,267
2017-11-24$6.44$4.8649.3%14.1%34.9%11.0%72.5%17.2%6.7%-17.5K465.0K-10.0K2.6770.38N/AN/A1624322,2316,267
2017-11-27$6.29$4.8638.9%11.1%36.3%4.1%50.3%3.6%8.9%-19.6K468.5K-9.5K1.9337.65N/AN/A2244322,2316,267
2017-11-28$6.25$4.8650.8%14.6%36.2%12.0%49.2%-7.4%-4.5%-20.3K485.5K-9.5K1.9355.21N/AN/A2244322,2176,267
2017-11-29$5.96$4.86113.8%32.6%40.6%54.1%56.8%-4.8%-73.0%-17.7K590.7K-9.3K2.0556.77N/AN/A2244602,2176,267
2017-11-30$6.04$4.8665.8%18.9%40.1%22.1%0.0%0.0%-52.4%-11.2K370.7K-4.9K0.5157.63N/AN/A55281,1573,327