CAMT Options History — October 2018

In October 2018, CAMT traded between $7.00 and $8.74. ATM implied volatility averaged 44.1%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded below realized volatility by 0.1% (HV 20d: 44.2%). Max pain ranged from $7.36 to $10.00. Net GEX was positive for 8 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 1.50.

Notable Days

  • 2018-10-10: Highest Volume — 748 contracts
  • 2018-10-10: Largest IV spike — 47.1% change
  • 2018-10-11: Highest IV Rank — 35.1%
  • 2018-10-11: Largest Expected Move — 16.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.73$7.00$8.74$8.53$7.99
Max Pain$7.60$7.36$10.00$10.00$7.36
ATM IV44.1%33.0%56.7%48.5%46.3%
Expected Move13.1%10.1%16.2%13.9%13.3%
HV 20d44.2%37.2%48.1%45.6%48.1%
HV 60d47.0%44.6%48.8%44.6%48.1%
IV Rank20.8%8.2%35.1%25.9%23.3%
IV Percentile40.3%6.0%76.2%54.4%50.8%
Term Structure5.0%-23.6%142.1%20.2%-18.1%
VWIV46.7%36.1%59.8%54.4%39.5%
Skew 25d1.8%-26.1%20.3%13.4%-7.2%
Skew 10d3.3%-27.4%21.5%21.5%-10.9%
Call IV 25d43.0%31.6%57.0%39.0%49.5%
Put IV 25d44.8%29.2%70.2%52.5%42.3%
Bid-Ask Spread %53.824.8789.7435.3789.74
Gamma HHI0.450.290.620.290.42
Net GEX-3.2K-18.8K19.0K13.5K-4.1K
Net DEX165.0K-438.3K590.8K-324.1K93.5K
Net VEX-4.3K-4.9K-3.7K-4.9K-4.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.500.2613.381.920.26
Total Volume368.478103748213220
Total OI4,261.2173,7084,6903,7084,538

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-10-01$8.53$10.0048.5%13.9%45.6%25.9%54.4%13.4%20.2%13.5K-324.1K-4.9K1.9235.37N/AN/A731402,5251,183
2018-10-02$8.70$10.0044.7%12.8%46.4%21.5%40.5%20.3%14.1%17.5K-418.6K-4.9K0.7112.68N/AN/A84602,5271,183
2018-10-03$8.74$7.5040.9%11.7%46.5%17.2%51.7%0.6%-7.3%19.0K-438.3K-4.8K0.664.87N/AN/A92612,5451,183
2018-10-04$8.67$7.3646.6%11.0%37.2%23.7%36.1%-4.0%-1.5%17.4K-388.3K-4.7K0.8674.10N/AN/A71612,5551,184
2018-10-05$8.26$7.3633.8%14.8%40.1%9.1%47.1%-8.0%-23.6%12.3K-250.8K-4.3K0.5651.30N/AN/A66372,5561,184
2018-10-08$8.21$7.3634.0%12.3%39.6%9.4%45.3%4.0%3.6%10.8K-184.8K-4.1K0.4945.64N/AN/A75372,5351,185
2018-10-09$7.90$7.3633.0%14.0%41.2%8.2%49.5%-14.4%-1.9%5.3K-80.7K-4.0K1.4749.94N/AN/A55812,5351,184
2018-10-10$7.67$7.3648.5%13.9%41.9%25.9%49.7%-26.1%-8.4%1.4K75.5K-3.7K13.3872.50N/AN/A526962,5381,234
2018-10-11$7.30$7.3656.7%16.2%44.4%35.1%57.9%5.7%0.9%-10.0K407.6K-4.3K3.1470.42N/AN/A662072,5391,808
2018-10-12$7.44$7.3647.3%13.6%45.2%24.4%47.5%8.2%-2.1%-14.2K490.0K-4.6K0.5631.23N/AN/A4612592,5342,011
2018-10-15$7.38$7.3635.4%10.1%43.3%10.9%36.4%5.7%5.8%-18.3K453.4K-4.2K0.5686.50N/AN/A4622592,6712,013
2018-10-16$7.71$7.3646.6%13.4%46.8%23.7%49.0%10.2%-8.7%-14.6K235.0K-4.5K0.5534.73N/AN/A4672592,6712,013
2018-10-17$7.54$7.3644.5%12.7%46.5%21.2%44.5%9.4%-2.6%-18.8K318.4K-4.4K0.5661.60N/AN/A4662592,6712,013
2018-10-18$7.37$7.3644.5%12.8%46.5%21.3%50.9%-5.7%-8.3%-15.9K397.3K-4.2K0.5637.87N/AN/A4652592,6672,023
2018-10-19$7.18$7.3640.1%11.5%47.0%16.3%40.3%7.1%2.9%-8.7K521.8K-3.9K2.0665.98N/AN/A1543172,6672,023
2018-10-22$7.26$7.3647.4%13.6%47.4%24.5%49.5%6.5%142.1%-7.7K381.1K-4.1K1.0326.62N/AN/A1481522,4481,882
2018-10-23$7.33$7.3653.9%15.5%46.7%32.0%59.8%13.2%4.7%-9.6K413.7K-4.3K1.0554.96N/AN/A1741822,4332,007
2018-10-24$7.00$7.3645.2%13.0%39.9%22.1%48.0%-6.7%-3.3%-11.7K590.8K-3.8K0.9056.43N/AN/A1931732,4412,052
2018-10-25$7.20$7.3640.4%11.6%42.3%16.6%39.7%2.9%4.8%-10.3K476.6K-4.2K1.1135.22N/AN/A1531702,4422,052
2018-10-26$7.26$7.3637.9%10.9%42.4%13.8%38.1%-5.7%9.1%-9.5K397.2K-4.3K0.7485.21N/AN/A1581172,4532,052
2018-10-29$7.44$7.3644.4%12.7%43.9%21.2%44.6%4.0%1.5%-10.1K374.9K-4.2K0.7788.78N/AN/A1581222,4592,050
2018-10-30$7.79$7.3653.2%15.2%46.9%31.1%53.3%8.0%-9.4%-7.8K254.4K-4.5K0.5866.07N/AN/A161932,4592,080
2018-10-31$7.99$7.3646.3%13.3%48.1%23.3%39.5%-7.2%-18.1%-4.1K93.5K-4.7K0.2689.74N/AN/A175452,4572,081