CAMT Options History — January 2018

In January 2018, CAMT traded between $5.74 and $7.08. ATM implied volatility averaged 56.6%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 15.0%. IV traded above realized volatility by 15.5% (HV 20d: 41.1%). Max pain ranged from $4.86 to $4.86. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.80.

Notable Days

  • 2018-01-09: Highest Volume — 400 contracts
  • 2018-01-22: Largest IV spike — 50.8% change
  • 2018-01-22: Highest IV Rank — 31.5%
  • 2018-01-22: Largest Expected Move — 22.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.63$5.74$7.08$5.74$6.75
Max Pain$4.86$4.86$4.86$4.86$4.86
ATM IV56.6%38.6%79.9%57.1%52.1%
Expected Move15.0%9.7%22.9%16.4%14.9%
HV 20d41.1%28.7%49.2%31.5%49.2%
HV 60d37.9%32.2%41.0%32.5%41.0%
IV Rank15.9%3.9%31.5%16.2%12.9%
IV Percentile37.2%6.0%79.0%34.9%30.2%
Term Structure-8.4%-41.1%16.4%-41.1%-8.5%
VWIV54.4%34.5%80.0%80.0%60.2%
Skew 25d-5.9%-14.7%9.8%-14.7%-12.0%
Skew 10d-5.0%-19.3%9.8%-11.3%-10.0%
Call IV 25d46.8%37.9%52.3%52.3%51.0%
Put IV 25d40.9%36.5%56.5%37.6%39.0%
Bid-Ask Spread %53.8614.0096.1051.5747.67
Gamma HHI0.610.460.790.740.55
Net GEX-8.7K-18.5K-3.0K-15.8K-5.5K
Net DEX377.6K214.7K654.5K593.8K335.9K
Net VEX-4.3K-4.7K-3.6K-4.0K-4.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.251.831.160.52
Total Volume211.6198740097238
Total OI4,558.7144,3444,7324,3444,732

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$5.74$4.8657.1%16.4%31.5%16.2%80.0%-14.7%-41.1%-15.8K593.8K-4.0K1.1651.57N/AN/A45529293,415
2018-01-03$5.76$4.8667.2%19.3%31.4%23.0%62.7%0.0%-33.7%-16.3K654.5K-4.1K1.1694.05N/AN/A45529293,425
2018-01-04$6.01$4.8663.8%9.7%34.7%20.7%34.5%0.0%16.4%-18.5K599.9K-3.6K1.1352.29N/AN/A45519293,425
2018-01-05$6.07$4.8659.0%10.7%29.0%17.5%34.9%0.0%13.5%-14.5K545.3K-4.0K0.9349.18N/AN/A55519393,426
2018-01-08$6.05$4.8676.3%10.3%28.7%29.1%36.1%0.0%4.0%-17.6K570.1K-3.6K1.4255.01N/AN/A36519523,426
2018-01-09$6.65$4.8650.0%14.4%42.6%11.5%51.1%0.0%-2.8%-10.0K379.2K-4.4K0.2554.54N/AN/A321799523,426
2018-01-10$6.67$4.8650.2%14.4%41.8%11.7%50.8%0.0%-8.2%-6.8K325.1K-4.7K0.2930.86N/AN/A268791,0653,474
2018-01-11$6.82$4.8644.4%12.7%41.6%7.8%46.4%0.0%1.8%-7.4K318.5K-4.4K0.4136.79N/AN/A191791,0673,474
2018-01-12$6.69$4.8641.4%11.9%42.5%5.8%47.4%0.0%-7.2%-10.4K383.8K-4.1K0.4744.28N/AN/A191891,0733,474
2018-01-16$6.69$4.8644.7%12.8%42.6%8.0%55.1%0.0%-1.4%-7.2K356.7K-4.4K1.4661.17N/AN/A61891,0753,474
2018-01-17$6.69$4.8653.7%15.4%42.5%14.0%53.0%0.0%-3.8%-9.2K412.2K-4.4K1.2132.48N/AN/A82991,0813,474
2018-01-18$6.86$4.8638.6%11.1%42.6%3.9%39.0%0.0%7.1%-5.7K369.4K-4.3K1.8396.10N/AN/A54991,0573,484
2018-01-19$7.08$4.8653.0%15.2%43.2%13.5%53.2%0.0%-3.9%-6.6K250.2K-4.5K0.5359.19N/AN/A188991,0573,484
2018-01-22$6.74$4.8679.9%22.9%46.6%31.5%73.8%0.0%-28.1%-7.8K271.7K-4.6K0.5914.00N/AN/A150891,1513,474
2018-01-23$7.00$4.8656.6%16.2%44.9%16.0%57.9%-4.5%-8.3%-3.9K261.7K-4.7K0.5949.40N/AN/A150891,2573,474
2018-01-24$6.90$4.8651.3%14.7%45.8%12.4%52.0%-5.2%-1.1%-3.9K324.2K-4.6K0.5968.84N/AN/A151891,2573,474
2018-01-25$6.91$4.8662.4%17.9%45.8%19.8%63.2%-6.6%-17.6%-5.0K257.8K-4.5K0.5955.92N/AN/A151891,2583,474
2018-01-26$6.97$4.8659.6%17.1%45.8%17.9%60.3%-1.3%-20.3%-4.1K263.7K-4.5K0.5961.00N/AN/A151891,2583,474
2018-01-29$7.08$4.8664.7%18.5%45.6%21.3%67.0%-12.6%-14.9%-3.0K214.7K-4.5K0.5462.61N/AN/A148801,2583,474
2018-01-30$7.04$4.8663.1%18.1%45.5%20.2%64.0%9.8%-18.1%-3.0K240.3K-4.4K0.5554.05N/AN/A148811,2573,475
2018-01-31$6.75$4.8652.1%14.9%49.2%12.9%60.2%-12.0%-8.5%-5.5K335.9K-4.1K0.5247.67N/AN/A157811,2573,475