CAMT Options History — August 2018

In August 2018, CAMT traded between $8.29 and $10.78. ATM implied volatility averaged 37.9%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded below realized volatility by 2.8% (HV 20d: 40.7%). Max pain ranged from $7.36 to $10.00. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 0.72.

Notable Days

  • 2018-08-22: Highest Volume — 799 contracts
  • 2018-08-02: Largest IV spike — 80.4% change
  • 2018-08-02: Highest IV Rank — 32.2%
  • 2018-08-02: Largest Expected Move — 15.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.72$8.29$10.78$8.29$10.16
Max Pain$9.66$7.36$10.00$7.36$10.00
ATM IV37.9%25.8%54.8%30.4%37.9%
Expected Move10.4%7.7%15.7%8.7%10.9%
HV 20d40.7%26.2%54.1%26.2%53.1%
HV 60d34.1%27.6%39.6%31.0%39.6%
IV Rank13.6%0.0%32.2%4.1%13.7%
IV Percentile17.3%0.0%62.7%2.4%14.3%
Term Structure2.8%-48.8%52.9%-8.1%4.1%
VWIV38.1%24.7%75.8%38.6%38.0%
Skew 25d-2.7%-68.9%31.8%9.2%6.9%
Skew 10d-1.3%-115.1%55.3%11.7%10.9%
Call IV 25d43.0%26.2%156.3%29.2%32.6%
Put IV 25d40.3%25.2%87.4%38.3%39.5%
Bid-Ask Spread %33.535.3870.0521.4918.04
Gamma HHI0.410.270.610.520.33
Net GEX15.0K-3.3K27.3K-3.3K27.1K
Net DEX-684.5K-1.2M-101.2K-101.2K-1.1M
Net VEX-3.7K-6.1K-1.9K-1.9K-6.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.122.452.450.76
Total Volume373.087114799114141
Total OI2,775.6961,7054,0371,7484,037

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-08-01$8.29$7.3630.4%8.7%26.2%4.1%38.6%9.2%-8.1%-3.3K-101.2K-1.9K2.4521.49N/AN/A3381808940
2018-08-02$8.35$7.3654.8%15.7%26.2%32.2%75.8%3.2%-48.8%71-106.2K-2.1K0.5012.56N/AN/A16281807940
2018-08-03$8.67$7.3630.3%8.7%28.7%4.1%39.5%5.8%16.4%-1.9K-127.2K-1.9K0.6118.87N/AN/A11671765940
2018-08-06$9.19$10.0046.8%8.4%33.9%22.9%24.7%-8.8%4.2%1.6K-276.7K-2.1K0.1449.20N/AN/A58980843985
2018-08-07$9.30$10.0035.8%7.9%32.7%10.3%25.1%10.2%7.3%14.5K-439.3K-2.6K0.4659.81N/AN/A175801,2301,014
2018-08-08$9.32$10.0026.2%7.7%32.4%0.0%25.0%-4.8%5.7%7.3K-496.2K-2.9K0.8719.71N/AN/A87761,3261,014
2018-08-09$9.28$10.0025.8%7.9%32.7%0.0%28.2%-3.8%9.0%5.4K-333.7K-2.6K1.0149.39N/AN/A76771,3311,020
2018-08-10$9.34$10.0031.0%9.7%30.5%5.9%35.3%-7.1%-1.1%2.4K-343.6K-2.5K1.2849.88N/AN/A60771,3291,000
2018-08-13$9.39$10.0043.4%10.0%30.6%20.0%35.0%1.6%2.3%18.5K-414.7K-2.6K0.9221.17N/AN/A84771,3261,000
2018-08-14$9.44$10.0043.4%9.9%28.8%20.0%34.6%-5.3%4.3%21.4K-393.1K-2.7K1.8819.33N/AN/A41771,3251,000
2018-08-15$9.37$10.0033.8%9.7%28.8%9.1%33.6%-3.3%5.3%18.6K-387.5K-2.6K1.0841.21N/AN/A76821,3371,000
2018-08-16$10.34$10.0034.8%10.0%42.8%10.2%34.8%18.2%5.1%22.0K-957.7K-2.4K0.145.38N/AN/A535771,3271,000
2018-08-17$10.43$10.0037.1%10.7%42.9%12.9%38.5%-5.1%2.9%8.8K-1.2M-2.8K0.1328.95N/AN/A663871,5271,001
2018-08-20$10.78$10.0042.4%12.2%43.0%18.9%46.3%-68.9%52.9%14.9K-1.0M-3.9K0.1270.05N/AN/A554661,513895
2018-08-21$10.04$10.0037.6%10.8%52.6%13.4%37.9%31.8%-0.2%18.6K-719.7K-4.2K1.4329.96N/AN/A2463511,915896
2018-08-22$10.32$10.0041.2%11.8%52.9%17.6%41.6%-7.5%-1.6%17.7K-839.0K-4.6K0.3558.27N/AN/A5902092,0531,102
2018-08-23$10.35$10.0041.3%11.8%53.0%17.7%41.4%-8.7%-2.8%24.1K-1.1M-5.6K0.3038.24N/AN/A4891452,5371,176
2018-08-24$10.45$10.0037.6%10.8%52.5%13.5%37.7%-7.8%3.5%27.3K-1.2M-6.0K1.0326.02N/AN/A1411452,7261,176
2018-08-27$10.43$10.0041.9%12.0%52.5%18.3%43.1%-4.0%1.3%27.1K-1.2M-6.0K0.4415.68N/AN/A3271452,7371,175
2018-08-28$10.31$10.0041.1%11.8%51.0%17.4%42.1%-8.6%-0.1%25.0K-1.1M-5.9K0.3333.58N/AN/A261852,6751,175
2018-08-29$9.91$10.0040.0%11.5%54.1%16.1%40.1%-9.8%-2.1%23.5K-894.2K-5.8K0.1361.03N/AN/A555742,7321,179
2018-08-30$10.04$10.0037.9%10.9%54.1%13.7%39.4%5.5%4.9%25.5K-1.0M-6.1K0.2623.36N/AN/A267702,8271,180
2018-08-31$10.16$10.0037.9%10.9%53.1%13.7%38.0%6.9%4.1%27.1K-1.1M-6.0K0.7618.04N/AN/A80612,8431,194