CAMT Options History — March 2018

In March 2018, CAMT traded between $6.58 and $7.00. ATM implied volatility averaged 53.8%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded above realized volatility by 17.5% (HV 20d: 36.4%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.45.

Notable Days

  • 2018-03-13: Highest Volume — 203 contracts
  • 2018-03-05: Largest IV spike — 53.0% change
  • 2018-03-12: Highest IV Rank — 29.4%
  • 2018-03-29: Largest Expected Move — 17.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.77$6.58$7.00$6.58$6.73
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV53.8%38.0%74.5%48.5%60.5%
Expected Move13.6%10.9%17.3%13.9%17.3%
HV 20d36.4%32.0%42.6%41.1%34.3%
HV 60d41.6%40.6%42.3%41.1%41.7%
IV Rank16.3%4.9%29.4%10.7%25.2%
IV Percentile39.3%6.3%81.0%26.6%54.4%
Term Structure4.3%-19.1%34.1%25.2%-19.1%
VWIV55.0%29.7%82.5%43.8%82.5%
Skew 25d20.0%-14.0%81.1%-5.7%-10.2%
Skew 10d23.5%-10.9%95.0%-3.5%-5.9%
Call IV 25d49.7%35.5%65.2%45.5%65.2%
Put IV 25d69.6%36.0%128.4%39.8%55.0%
Bid-Ask Spread %92.9230.56114.7390.3830.56
Gamma HHI0.410.380.640.410.64
Net GEX-14.2K-17.4K-6.9K-14.0K-6.9K
Net DEX308.3K212.3K417.0K417.0K212.3K
Net VEX-2.9K-3.6K-1.6K-3.5K-1.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.340.560.370.56
Total Volume169.619142203189142
Total OI3,979.193,9364,0223,9374,022

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$6.58$5.0048.5%13.9%41.1%10.7%43.8%0.0%25.2%-14.0K417.0K-3.5K0.3790.38N/AN/A138517333,204
2018-03-02$6.81$5.0042.2%12.1%42.2%6.5%36.2%-5.7%9.6%-14.7K340.7K-3.3K0.35104.46N/AN/A147517323,204
2018-03-05$6.62$5.0064.6%11.9%42.6%21.4%59.4%-11.3%4.4%-14.0K405.3K-3.4K0.3558.00N/AN/A146517343,204
2018-03-06$6.63$5.0071.1%15.1%42.3%25.8%63.8%-14.0%0.6%-13.7K398.8K-3.6K0.3560.69N/AN/A146517363,204
2018-03-07$6.83$5.0067.7%15.7%40.6%23.5%63.6%0.0%-7.0%-16.6K351.5K-3.1K0.3771.40N/AN/A139517363,204
2018-03-08$6.65$5.0062.0%14.1%41.6%19.7%51.7%0.0%2.5%-13.3K347.9K-3.4K0.37109.51N/AN/A139517363,204
2018-03-09$6.60$5.0072.3%13.3%37.1%27.8%64.3%3.7%9.3%-13.6K379.3K-3.4K0.37114.44N/AN/A139517363,204
2018-03-12$6.76$5.0074.5%12.2%32.6%29.4%29.7%32.4%34.1%-14.2K374.2K-3.3K0.34102.13N/AN/A149517363,204
2018-03-13$6.67$5.0058.1%13.4%32.0%17.9%52.9%-2.4%4.5%-13.6K345.1K-3.3K0.34110.29N/AN/A152517463,204
2018-03-14$7.00$5.0039.4%11.3%35.9%4.9%42.9%72.3%9.5%-14.8K298.1K-3.1K0.52106.75N/AN/A99517493,204
2018-03-15$6.96$5.0056.6%16.2%35.7%21.7%62.8%0.0%-4.2%-13.5K241.5K-3.2K0.48107.30N/AN/A107518013,204
2018-03-16$6.93$5.0041.6%11.9%35.8%8.2%42.0%81.1%3.2%-15.0K246.1K-3.0K0.48105.28N/AN/A107518113,204
2018-03-19$7.00$5.0043.9%12.6%35.3%10.3%46.9%78.0%8.2%-15.6K300.6K-3.1K0.4898.43N/AN/A107517963,204
2018-03-20$6.83$5.0038.0%10.9%34.1%5.0%44.2%55.9%0.8%-17.4K289.6K-2.7K0.5278.80N/AN/A99518003,204
2018-03-21$6.92$5.0055.1%15.8%32.1%20.3%70.5%3.4%-10.8%-16.8K263.1K-2.7K0.5386.44N/AN/A97518043,203
2018-03-22$6.75$5.0053.5%15.3%33.3%18.9%61.6%10.6%-2.9%-14.0K278.6K-2.8K0.5385.37N/AN/A97518123,203
2018-03-23$6.68$5.0041.2%11.8%33.5%7.9%49.9%12.5%-1.7%-16.2K254.0K-2.0K0.5299.74N/AN/A98518123,203
2018-03-26$6.78$5.0047.3%13.6%33.8%13.3%57.2%28.1%17.7%-12.8K237.5K-2.5K0.52110.17N/AN/A98518193,203
2018-03-27$6.75$5.0045.4%13.0%33.9%11.6%56.8%3.7%0.6%-13.5K230.3K-2.1K0.52114.73N/AN/A98518193,203
2018-03-28$6.66$5.0047.2%13.5%34.2%13.3%71.5%1.7%5.7%-13.4K261.9K-2.5K0.52106.51N/AN/A98518193,203
2018-03-29$6.73$5.0060.5%17.3%34.3%25.2%82.5%-10.2%-19.1%-6.9K212.3K-1.6K0.5630.56N/AN/A91518193,203