CAMT Options History — May 2018

In May 2018, CAMT traded between $6.89 and $8.35. ATM implied volatility averaged 41.1%, placing in the 12.2% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 6.1% (HV 20d: 35.0%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.99.

Notable Days

  • 2018-05-08: Highest Volume — 1,007 contracts
  • 2018-05-24: Largest IV drop — 45.3% change
  • 2018-05-08: Highest IV Rank — 30.5%
  • 2018-05-23: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.96$6.89$8.35$6.89$8.08
Max Pain$6.85$5.00$7.50$7.36$7.36
ATM IV41.1%26.8%57.3%48.8%29.3%
Expected Move11.6%7.7%14.0%14.0%8.4%
HV 20d35.0%30.6%40.0%30.6%33.4%
HV 60d32.9%31.5%34.6%34.6%31.6%
IV Rank12.2%0.0%30.5%20.1%2.9%
IV Percentile19.3%0.0%56.7%32.1%1.2%
Term Structure6.4%-5.8%20.7%-2.6%12.9%
VWIV43.6%27.2%56.9%53.4%28.9%
Skew 25d11.3%-25.6%48.5%-1.3%1.4%
Skew 10d26.4%-7.3%83.5%-3.7%-4.6%
Call IV 25d37.3%27.6%50.9%49.7%34.4%
Put IV 25d48.6%25.4%88.1%48.4%35.8%
Bid-Ask Spread %36.2910.6568.0632.0611.08
Gamma HHI0.500.300.770.730.53
Net GEX231-22.2K12.0K-12.0K4.5K
Net DEX-260.1K-835.7K382.4K326.7K-253.1K
Net VEX-1.6K-2.3K-1.1K-1.4K-1.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.990.556.095.170.68
Total Volume359.682621,00728464
Total OI3,3309107,2633,854923

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-05-01$6.89$7.3648.8%14.0%30.6%20.1%53.4%-1.3%-2.6%-12.0K326.7K-1.4K5.1732.06N/AN/A462387223,132
2018-05-02$6.96$7.3642.0%12.0%30.6%11.7%46.4%0.1%-3.9%-13.6K382.4K-1.3K3.5464.65N/AN/A702487323,132
2018-05-03$7.20$5.0045.8%12.3%32.6%16.3%46.2%-1.1%2.5%-16.8K297.6K-1.4K6.0918.65N/AN/A442687663,142
2018-05-04$7.29$5.0045.4%12.6%32.4%15.9%43.9%48.5%2.6%-19.1K263.7K-1.5K2.8821.69N/AN/A932687693,172
2018-05-07$7.37$5.0045.4%12.6%31.6%15.9%44.0%1.9%3.4%-22.2K181.5K-1.5K2.8213.87N/AN/A922598083,172
2018-05-08$7.87$5.0057.3%12.8%36.9%30.5%44.7%7.8%5.2%-15.7K-98.5K-1.5K5.9018.52N/AN/A1468618103,202
2018-05-09$8.23$5.0035.0%10.0%39.4%3.1%37.5%0.0%18.5%2.1K-341.3K-1.3K1.3044.04N/AN/A2002608842,614
2018-05-10$8.34$7.5038.6%11.1%39.4%7.6%36.6%-3.2%-5.8%2.5K-398.5K-1.2K1.6720.29N/AN/A2073458912,623
2018-05-11$8.35$7.5038.2%11.0%39.4%7.1%40.5%-25.6%-3.7%2.7K-333.6K-1.6K1.5443.05N/AN/A2193389952,671
2018-05-14$8.25$7.5046.1%13.2%39.9%16.7%49.1%19.3%2.3%4.0K-358.6K-1.4K2.0625.60N/AN/A1422921,0532,670
2018-05-15$8.23$7.5043.1%12.4%40.0%13.1%51.0%20.6%11.4%3.3K-326.1K-1.3K1.1463.42N/AN/A2592969572,700
2018-05-16$8.32$7.3643.1%12.3%37.6%13.1%51.6%27.4%11.6%10.6K-835.7K-2.3K1.4450.97N/AN/A2123061,8225,430
2018-05-17$8.22$7.3644.6%12.8%37.9%15.0%51.7%20.2%8.0%10.9K-807.7K-2.3K1.0751.82N/AN/A2863061,8235,440
2018-05-18$8.22$7.3645.4%13.0%37.8%16.0%52.1%20.7%8.0%11.0K-804.5K-2.3K1.4652.21N/AN/A2093061,8235,440
2018-05-21$8.29$7.3647.5%13.6%34.8%18.5%56.0%28.4%6.6%10.9K-535.1K-2.3K0.6951.43N/AN/A1641131,359386
2018-05-22$8.26$7.3648.8%14.0%33.7%20.1%56.9%30.0%3.4%11.1K-550.0K-2.3K0.9654.85N/AN/A1281231,382386
2018-05-23$8.33$7.3648.9%14.0%33.7%20.3%56.3%16.1%-2.0%12.0K-537.5K-2.3K0.9652.80N/AN/A1281231,372396
2018-05-24$8.23$7.3626.8%7.7%33.5%0.0%27.2%2.3%16.7%4.4K-266.6K-1.1K0.5914.46N/AN/A3923693223
2018-05-25$8.16$7.3627.1%7.8%31.3%0.3%28.0%5.9%11.4%4.4K-250.8K-1.1K0.5510.65N/AN/A4223693223
2018-05-29$8.14$7.3628.2%8.1%31.3%1.7%28.3%17.2%20.7%4.6K-248.1K-1.1K0.5914.12N/AN/A3923696223
2018-05-30$7.95$7.3629.5%8.5%33.3%3.2%29.5%1.3%14.5%5.3K-228.6K-1.1K0.6768.06N/AN/A3926696214
2018-05-31$8.08$7.3629.3%8.4%33.4%2.9%28.9%1.4%12.9%4.5K-253.1K-1.1K0.6811.08N/AN/A3826696227