CAMT Options History — September 2018

In September 2018, CAMT traded between $8.12 and $9.93. ATM implied volatility averaged 42.3%, placing in the 18.8% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded below realized volatility by 6.6% (HV 20d: 48.9%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.96.

Notable Days

  • 2018-09-10: Highest Volume — 431 contracts
  • 2018-09-27: Largest IV drop — 38.1% change
  • 2018-09-20: Highest IV Rank — 31.6%
  • 2018-09-20: Largest Expected Move — 15.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.67$8.12$9.93$9.93$8.55
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV42.3%27.4%53.6%43.6%35.1%
Expected Move12.1%7.9%15.4%12.5%10.1%
HV 20d48.9%37.0%59.9%50.6%46.2%
HV 60d42.8%39.9%44.5%39.9%44.5%
IV Rank18.8%1.8%31.6%20.2%10.6%
IV Percentile31.2%1.6%67.1%34.1%9.5%
Term Structure5.2%-7.9%20.3%0.4%19.4%
VWIV44.1%29.7%65.5%43.6%29.7%
Skew 25d5.1%-23.4%16.1%4.5%-23.4%
Skew 10d18.1%-10.9%64.3%7.2%-10.9%
Call IV 25d39.3%27.6%53.2%39.4%53.2%
Put IV 25d44.4%29.8%60.8%43.9%29.8%
Bid-Ask Spread %29.5210.0186.2613.9937.83
Gamma HHI0.310.290.350.350.29
Net GEX15.3K8.3K26.2K26.2K14.0K
Net DEX-311.6K-953.3K-33.2K-953.3K-371.5K
Net VEX-4.9K-5.9K-4.1K-5.8K-5.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.172.000.421.89
Total Volume208.105151431206214
Total OI4,050.4743,3284,3284,0443,708

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-09-04$9.93$10.0043.6%12.5%50.6%20.2%43.6%4.5%0.4%26.2K-953.3K-5.8K0.4213.99N/AN/A145612,8491,195
2018-09-05$9.81$10.0047.6%13.6%50.9%24.8%47.6%-0.4%-6.9%25.4K-874.0K-5.9K0.4815.43N/AN/A128622,8841,195
2018-09-06$9.05$10.0043.0%12.4%58.8%19.6%39.1%-10.1%0.5%17.2K-383.2K-5.3K0.5017.68N/AN/A132662,8791,194
2018-09-07$8.85$10.0045.5%12.9%59.3%22.4%49.4%4.9%-1.6%16.0K-344.5K-5.1K0.5524.23N/AN/A113622,8871,190
2018-09-10$8.66$10.0047.7%12.5%59.6%24.9%46.5%-2.1%1.6%14.0K-238.0K-4.9K0.1727.02N/AN/A369622,8971,191
2018-09-11$8.75$10.0041.3%13.0%59.7%17.6%43.7%16.1%-2.9%17.1K-247.0K-5.1K0.6139.60N/AN/A102623,1341,178
2018-09-12$8.60$10.0048.1%13.8%59.8%25.4%47.0%2.4%9.3%14.0K-196.5K-5.0K0.4921.23N/AN/A122603,1101,178
2018-09-13$8.65$10.0047.7%13.7%59.9%25.0%44.8%-3.8%-7.9%17.9K-315.4K-5.1K0.8832.85N/AN/A90793,1101,183
2018-09-14$8.70$10.0039.1%11.2%46.4%15.1%46.8%4.0%16.2%16.5K-272.5K-5.1K0.9131.55N/AN/A87793,1101,201
2018-09-17$8.34$10.0037.6%10.8%47.4%13.5%40.0%13.5%9.7%12.7K-119.3K-4.7K1.0326.64N/AN/A77793,1141,201
2018-09-18$8.35$10.0035.8%10.3%44.7%11.4%39.8%15.9%14.9%12.0K-90.5K-4.6K1.1021.48N/AN/A72793,1161,211
2018-09-19$8.13$10.0039.1%11.2%39.5%15.1%43.0%14.7%12.5%10.6K-33.2K-4.4K0.6321.11N/AN/A126793,1161,211
2018-09-20$8.24$10.0053.6%15.4%38.0%31.6%50.9%15.7%-4.7%11.3K-60.6K-4.5K0.9224.91N/AN/A86793,1171,211
2018-09-21$8.13$10.0044.2%12.7%37.6%20.9%43.2%8.4%9.5%10.5K-91.7K-4.4K1.7017.66N/AN/A731243,1281,140
2018-09-24$8.12$10.0044.3%12.7%37.0%21.0%44.7%11.2%3.1%9.2K-148.5K-4.1K1.5821.53N/AN/A59932,3231,005
2018-09-25$8.29$10.0038.7%11.1%38.7%14.6%41.6%13.7%10.5%8.3K-113.9K-4.3K0.5486.26N/AN/A2661432,3231,061
2018-09-26$8.87$10.0044.3%12.7%47.8%21.0%65.5%11.1%-4.3%20.1K-602.7K-5.3K1.8969.86N/AN/A741402,5251,176
2018-09-27$8.76$10.0027.4%7.9%46.3%1.8%31.6%0.5%20.3%17.3K-463.8K-5.1K2.0010.01N/AN/A701402,5251,183
2018-09-28$8.55$10.0035.1%10.1%46.2%10.6%29.7%-23.4%19.4%14.0K-371.5K-5.1K1.8937.83N/AN/A741402,5251,183