CAMT Options History — November 2018

In November 2018, CAMT traded between $7.59 and $8.38. ATM implied volatility averaged 46.8%, placing in the 24.6% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 7.3% (HV 20d: 39.6%). Max pain ranged from $7.36 to $7.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.20.

Notable Days

  • 2018-11-15: Highest Volume — 352 contracts
  • 2018-11-30: Largest IV spike — 64.8% change
  • 2018-11-13: Highest IV Rank — 49.5%
  • 2018-11-30: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.96$7.59$8.38$8.23$8.38
Max Pain$7.49$7.36$7.50$7.36$7.50
ATM IV46.8%28.6%69.3%38.1%47.1%
Expected Move11.7%8.2%13.5%10.9%13.5%
HV 20d39.6%31.9%49.6%49.6%31.9%
HV 60d44.2%39.6%49.4%48.5%39.6%
IV Rank24.6%3.2%49.5%14.0%38.9%
IV Percentile46.1%2.4%93.7%19.0%55.6%
Term Structure0.9%-18.6%9.6%-7.9%-7.8%
VWIV40.8%27.4%54.1%44.8%47.3%
Skew 25d12.6%-8.6%54.8%-7.6%14.5%
Skew 10d34.2%-11.1%111.5%-11.1%84.0%
Call IV 25d40.0%25.9%58.6%50.4%25.9%
Put IV 25d52.6%35.5%91.5%42.9%40.4%
Bid-Ask Spread %61.2121.0295.1643.2677.03
Gamma HHI0.540.410.630.480.53
Net GEX-10.3K-15.4K-3.9K-6.8K-10.1K
Net DEX146.5K-160.1K416.3K17.3K96.9K
Net VEX-3.9K-4.6K-3.4K-4.6K-3.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.200.080.330.250.28
Total Volume240.095138352253138
Total OI4,050.2863,2554,6694,5543,351

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-11-01$8.23$7.3638.1%10.9%49.6%14.0%44.8%-7.6%-7.9%-6.8K17.3K-4.6K0.2543.26N/AN/A202512,4652,089
2018-11-02$8.21$7.3642.2%12.1%46.5%18.7%34.8%-5.9%-18.6%-5.4K-26.2K-4.6K0.2992.45N/AN/A175512,4672,081
2018-11-05$8.05$7.5053.8%12.7%47.0%31.9%32.3%9.6%-0.7%-3.9K84.8K-4.6K0.3345.61N/AN/A209702,4672,081
2018-11-06$7.91$7.5066.1%12.3%45.3%45.8%39.1%6.1%1.5%-6.1K171.1K-4.4K0.2244.31N/AN/A236512,5072,101
2018-11-07$8.03$7.5054.2%12.9%44.2%32.3%40.1%30.4%-2.9%-8.0K14.1K-4.2K0.2469.44N/AN/A226542,5642,102
2018-11-08$8.32$7.5045.4%12.0%41.2%22.3%51.1%0.1%9.6%-5.5K-160.1K-4.3K0.2484.03N/AN/A228542,5632,105
2018-11-09$8.26$7.5063.4%11.6%41.2%42.7%48.4%-3.7%7.6%-4.9K-105.5K-4.4K0.2451.77N/AN/A221532,5642,105
2018-11-12$8.01$7.5066.6%12.6%42.9%46.3%54.1%-4.8%-1.0%-10.4K49.3K-4.1K0.2167.44N/AN/A223462,5612,106
2018-11-13$7.92$7.5069.3%10.5%40.6%49.5%31.2%17.6%8.0%-11.6K14.6K-3.9K0.1050.17N/AN/A277272,5612,066
2018-11-14$7.80$7.5043.7%12.5%40.1%20.4%38.6%54.8%1.4%-12.5K135.1K-3.9K0.1076.15N/AN/A260272,5642,066
2018-11-15$7.80$7.5045.7%13.1%39.0%22.6%44.0%38.0%-2.2%-13.8K146.7K-3.7K0.0895.16N/AN/A325272,5642,066
2018-11-16$7.85$7.5040.1%11.5%37.5%16.3%48.0%-7.6%0.9%-13.7K78.5K-3.7K0.1241.45N/AN/A272322,5632,066
2018-11-19$7.59$7.5036.8%10.6%39.8%12.6%39.5%-8.6%5.8%-13.0K398.8K-3.5K0.1042.71N/AN/A223221,5631,760
2018-11-20$7.61$7.5036.1%10.3%39.7%11.7%36.2%13.5%7.1%-14.2K416.3K-3.4K0.1473.55N/AN/A200291,4951,760
2018-11-21$7.65$7.5041.1%11.8%35.4%17.4%38.5%17.6%6.6%-15.4K403.5K-3.4K0.1561.79N/AN/A190291,4941,768
2018-11-23$7.65$7.5045.4%13.0%34.3%22.3%45.4%16.4%-0.0%-12.1K345.9K-3.6K0.2780.47N/AN/A109291,4941,768
2018-11-26$7.77$7.5042.3%12.1%34.5%18.8%42.5%32.6%-1.9%-11.0K291.5K-3.6K0.2321.02N/AN/A124291,5021,768
2018-11-27$7.80$7.5040.8%11.7%33.6%17.1%40.7%30.0%0.9%-13.8K342.1K-3.5K0.2323.77N/AN/A124291,5021,768
2018-11-28$8.17$7.5037.0%10.6%33.7%12.8%33.0%13.7%5.1%-11.3K190.6K-3.6K0.1752.41N/AN/A179301,5021,768
2018-11-29$8.19$7.5028.6%8.2%32.6%3.2%27.4%6.9%8.2%-12.4K171.2K-3.4K0.2391.45N/AN/A131301,5831,766
2018-11-30$8.38$7.5047.1%13.5%31.9%38.9%47.3%14.5%-7.8%-10.1K96.9K-3.6K0.2877.03N/AN/A108301,5851,766