CAMT Options History — February 2018

In February 2018, CAMT traded between $6.25 and $6.95. ATM implied volatility averaged 50.7%, placing in the 12.1% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 4.7% (HV 20d: 46.0%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.47.

Notable Days

  • 2018-02-09: Highest Volume — 388 contracts
  • 2018-02-15: Largest IV spike — 73.5% change
  • 2018-02-06: Highest IV Rank — 31.9%
  • 2018-02-09: Largest Expected Move — 22.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.60$6.25$6.95$6.90$6.56
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV50.7%32.5%80.5%72.1%41.4%
Expected Move13.0%9.3%22.8%13.3%11.9%
HV 20d46.0%39.5%51.3%49.4%43.5%
HV 60d42.5%40.5%43.8%41.2%42.0%
IV Rank12.1%0.0%31.9%26.3%6.0%
IV Percentile29.4%0.0%82.9%70.6%13.1%
Term Structure6.0%-33.4%28.2%4.7%12.4%
VWIV49.1%33.0%75.7%49.7%40.4%
Skew 25d3.3%-10.3%33.2%8.0%-10.0%
Skew 10d6.5%-20.2%45.1%10.0%-1.9%
Call IV 25d46.1%36.6%53.1%53.1%45.0%
Put IV 25d49.4%33.7%77.0%61.1%35.0%
Bid-Ask Spread %80.9739.78112.2363.6989.82
Gamma HHI0.480.400.800.530.41
Net GEX-12.2K-17.4K-2.0K-5.1K-14.2K
Net DEX418.1K264.8K560.0K264.8K396.5K
Net VEX-3.7K-4.3K-3.3K-4.3K-3.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.220.790.520.38
Total Volume276.474185388236185
Total OI4,414.3163,7764,7424,7423,937

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-02-01$6.90$5.0072.1%13.3%49.4%26.3%49.7%0.0%4.7%-5.1K264.8K-4.3K0.5263.69N/AN/A155811,2673,475
2018-02-02$6.74$5.0069.2%12.7%49.0%24.3%50.4%0.0%4.4%-5.8K337.6K-4.1K0.5239.78N/AN/A155811,2663,475
2018-02-05$6.65$5.0069.3%15.4%49.4%24.4%57.2%8.0%-6.3%-7.0K374.4K-4.0K0.4985.49N/AN/A164811,2663,475
2018-02-06$6.95$5.0080.5%13.5%51.3%31.9%46.9%17.2%28.2%-2.0K292.2K-4.3K0.4480.20N/AN/A183811,2633,475
2018-02-07$6.94$5.0043.8%12.6%39.5%7.4%56.8%-10.3%-5.7%-4.9K360.9K-3.5K0.3151.07N/AN/A258811,2663,475
2018-02-08$6.58$5.0047.3%13.5%44.1%9.7%49.7%0.0%-2.3%-9.7K369.5K-3.3K0.3487.84N/AN/A238811,1793,475
2018-02-09$6.25$5.0079.5%22.8%46.7%31.2%75.7%0.0%-33.4%-17.3K560.0K-3.4K0.2284.60N/AN/A317711,1693,475
2018-02-12$6.42$5.0036.0%10.3%47.6%2.1%49.4%0.0%12.8%-17.4K496.6K-3.3K0.7983.70N/AN/A1411111,2493,465
2018-02-13$6.40$5.0038.2%11.0%47.6%3.6%53.0%0.0%20.7%-15.7K487.0K-3.6K0.6896.52N/AN/A1641111,2493,472
2018-02-14$6.51$5.0032.5%9.3%48.1%0.0%34.2%7.4%27.9%-14.8K503.8K-3.8K0.7070.85N/AN/A1591111,2263,472
2018-02-15$6.53$5.0056.3%16.1%47.1%15.9%63.0%0.0%-9.2%-15.5K479.0K-3.6K0.7196.60N/AN/A1441021,2263,471
2018-02-16$6.44$5.0049.7%14.2%45.5%11.5%50.2%10.5%1.9%-16.8K477.1K-3.3K0.53112.23N/AN/A1931021,2343,469
2018-02-20$6.70$5.0043.5%12.5%44.9%7.4%42.8%-10.3%13.8%-14.7K410.2K-3.6K0.3972.83N/AN/A231915733,203
2018-02-21$6.49$5.0038.0%10.9%43.8%3.7%39.8%-2.9%15.3%-14.6K447.9K-3.5K0.3371.85N/AN/A278916793,203
2018-02-22$6.57$5.0049.1%14.1%44.0%11.1%61.1%-3.6%-7.4%-14.1K420.4K-3.8K0.3391.86N/AN/A278917323,203
2018-02-23$6.53$5.0040.6%11.6%44.0%5.4%40.9%-1.9%10.3%-13.8K435.6K-3.7K0.5089.25N/AN/A182917323,203
2018-02-26$6.58$5.0034.3%9.8%44.0%1.3%33.0%2.3%16.5%-14.6K416.9K-3.6K0.3871.95N/AN/A134517333,203
2018-02-27$6.60$5.0041.5%11.9%43.5%6.0%39.6%33.2%9.9%-13.2K413.0K-3.7K0.3898.21N/AN/A134517333,204
2018-02-28$6.56$5.0041.4%11.9%43.5%6.0%40.4%-10.0%12.4%-14.2K396.5K-3.6K0.3889.82N/AN/A134517333,204