CAMT Options History — December 2017

In December 2017, CAMT traded between $5.41 and $5.88. ATM implied volatility averaged 51.9%, placing in the 12.8% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 13.2% (HV 20d: 38.6%). Max pain ranged from $4.86 to $4.86. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.90.

Notable Days

  • 2017-12-15: Highest Volume — 361 contracts
  • 2017-12-13: Largest IV drop — 51.7% change
  • 2017-12-01: Highest IV Rank — 29.9%
  • 2017-12-01: Largest Expected Move — 22.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.65$5.41$5.88$5.80$5.72
Max Pain$4.86$4.86$4.86$4.86$4.86
ATM IV51.9%33.6%77.5%77.5%37.0%
Expected Move12.6%8.9%22.2%22.2%10.6%
HV 20d38.6%34.5%41.5%41.3%34.5%
HV 60d35.5%32.6%36.8%35.3%32.6%
IV Rank12.8%0.6%29.9%29.9%2.8%
IV Percentile26.6%0.8%69.4%69.4%4.0%
Term Structure-0.5%-41.7%21.3%-41.7%5.0%
VWIV44.3%28.2%67.2%44.4%43.6%
Skew 25d0.8%-11.8%20.5%2.4%-10.8%
Skew 10d6.5%-18.9%48.8%1.1%-18.9%
Call IV 25d45.4%32.9%126.9%34.3%51.6%
Put IV 25d46.2%30.1%147.5%36.8%40.8%
Bid-Ask Spread %77.2819.87112.84112.8471.66
Gamma HHI0.740.680.790.790.70
Net GEX-16.0K-18.4K-9.3K-9.3K-18.4K
Net DEX552.7K358.2K645.9K358.2K616.7K
Net VEX-4.2K-4.9K-3.7K-4.9K-3.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.900.474.640.491.16
Total Volume120.85523618597
Total OI4,426.854,3204,5684,4844,344

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$5.80$4.8677.5%22.2%41.3%29.9%0.0%0.0%-41.7%-9.3K358.2K-4.9K0.49112.84N/AN/A57281,1573,327
2017-12-04$5.75$4.8677.1%15.2%41.5%29.6%44.4%0.0%2.3%-13.3K452.4K-4.5K0.47102.61N/AN/A59281,1593,327
2017-12-05$5.80$4.8653.3%11.0%40.6%13.7%44.4%2.4%10.0%-13.0K441.9K-4.6K0.4768.15N/AN/A59281,1563,327
2017-12-06$5.52$4.8654.9%12.3%41.2%14.8%58.2%0.0%-3.4%-13.6K489.9K-4.5K1.1772.53N/AN/A24281,1563,327
2017-12-07$5.62$4.8667.9%12.6%39.5%23.5%35.6%7.5%14.5%-15.4K511.9K-4.4K0.8090.69N/AN/A35281,1563,317
2017-12-08$5.56$4.8674.0%8.9%39.1%27.6%33.0%-0.0%21.3%-14.1K471.6K-4.4K0.8072.94N/AN/A35281,1563,317
2017-12-11$5.48$4.8669.9%12.3%39.3%24.8%36.6%18.4%20.6%-15.3K502.2K-4.3K0.9356.80N/AN/A30281,1563,317
2017-12-12$5.45$4.8675.1%16.9%38.8%28.3%0.0%20.5%-8.7%-14.9K537.8K-4.5K4.2992.05N/AN/A281201,1513,317
2017-12-13$5.41$4.8636.2%10.4%38.4%2.3%44.6%-7.1%-0.9%-18.4K618.8K-4.4K4.2987.96N/AN/A281201,1513,417
2017-12-14$5.51$4.8639.6%11.4%39.3%4.6%43.1%11.2%16.6%-17.5K541.2K-4.3K4.6467.77N/AN/A281301,1513,417
2017-12-15$5.50$4.8633.6%9.6%35.9%0.6%28.2%-5.2%7.8%-17.0K561.9K-4.3K0.5685.69N/AN/A2311301,1213,427
2017-12-18$5.63$4.8635.9%10.3%36.7%2.1%31.6%-2.9%1.4%-17.9K645.9K-4.0K3.6186.15N/AN/A361309133,407
2017-12-19$5.64$4.8636.2%10.4%36.7%2.3%32.1%-2.3%4.5%-17.1K643.6K-4.1K4.1785.22N/AN/A361509173,407
2017-12-20$5.88$4.8643.8%12.6%38.7%7.4%59.4%0.0%-8.1%-17.1K582.9K-4.1K3.8589.42N/AN/A391509173,427
2017-12-21$5.67$4.8641.8%12.0%40.2%6.0%35.0%0.0%-2.1%-17.2K623.9K-4.1K1.3373.28N/AN/A39529203,417
2017-12-22$5.73$4.8643.3%12.4%38.9%7.0%36.8%-2.4%-16.3%-18.2K626.1K-3.9K1.4156.38N/AN/A37529203,415
2017-12-26$5.74$4.8648.0%13.8%38.4%10.2%67.2%0.0%-7.5%-16.6K612.6K-4.1K1.2186.77N/AN/A43529263,415
2017-12-27$5.77$4.8648.1%13.8%38.5%10.3%66.3%-6.1%-17.1%-17.7K606.4K-3.9K1.1619.87N/AN/A45529263,415
2017-12-28$5.76$4.8643.9%12.6%34.9%7.4%57.2%-11.8%-7.6%-18.1K607.5K-3.8K1.1666.86N/AN/A45529293,415
2017-12-29$5.72$4.8637.0%10.6%34.5%2.8%43.6%-10.8%5.0%-18.4K616.7K-3.7K1.1671.66N/AN/A45529293,415