CAMT Options History — December 2018

In December 2018, CAMT traded between $6.50 and $8.69. ATM implied volatility averaged 42.5%, placing in the 30.5% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 1.5% (HV 20d: 41.0%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.95.

Notable Days

  • 2018-12-05: Highest Volume — 154 contracts
  • 2018-12-17: Largest IV spike — 43.1% change
  • 2018-12-24: Highest IV Rank — 67.5%
  • 2018-12-07: Largest Expected Move — 29.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.61$6.50$8.69$8.69$6.72
Max Pain$8.38$7.50$10.00$7.50$7.50
ATM IV42.5%29.4%62.7%36.2%35.3%
Expected Move13.0%8.4%29.2%10.4%10.1%
HV 20d41.0%34.2%55.1%34.2%50.4%
HV 60d41.7%38.8%44.9%40.1%44.7%
IV Rank30.5%6.7%67.5%19.1%17.4%
IV Percentile37.5%3.6%89.7%12.7%11.5%
Term Structure-1.5%-36.2%21.6%-12.2%18.5%
VWIV42.2%23.7%66.4%39.8%31.1%
Skew 25d14.0%-22.4%38.3%8.8%30.6%
Skew 10d31.3%-22.3%97.2%8.8%38.5%
Call IV 25d42.4%27.4%75.0%28.1%35.6%
Put IV 25d56.5%24.8%105.6%36.9%66.2%
Bid-Ask Spread %102.4184.86126.1588.9789.60
Gamma HHI0.690.510.940.510.90
Net GEX-16.6K-23.5K-7.5K-7.5K-20.0K
Net DEX426.8K-46.1K884.0K-46.1K828.9K
Net VEX-2.8K-3.8K-1.5K-3.4K-1.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.005.560.000.00
Total Volume26.101545040
Total OI3,451.93,3543,4953,3543,405

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-12-03$8.69$7.5036.2%10.4%34.2%19.1%0.0%8.8%-12.2%-7.5K-46.1K-3.4K0.0088.97N/AN/A5001,5881,766
2018-12-04$8.22$7.5043.9%12.6%39.4%33.0%39.8%-3.4%-20.2%-9.6K139.6K-3.6K0.0092.28N/AN/A5401,6261,766
2018-12-05$8.26$7.5062.4%17.9%38.8%66.8%40.4%14.7%-35.1%-14.9K188.9K-2.7K1.85103.35N/AN/A541001,6261,766
2018-12-06$8.08$10.0042.1%11.7%39.4%29.8%0.0%20.9%3.9%-14.1K250.1K-3.6K0.0099.24N/AN/A301,6261,866
2018-12-07$8.00$10.0048.5%29.2%37.2%41.5%0.0%30.6%-10.0%-7.6K116.7K-3.8K5.56126.15N/AN/A181001,6231,866
2018-12-10$8.01$10.0034.4%11.5%37.2%15.7%0.0%6.9%0.9%-17.7K291.7K-3.3K0.0093.50N/AN/A001,6231,866
2018-12-11$7.93$10.0043.1%12.6%35.7%31.6%0.0%13.5%1.9%-15.5K316.6K-3.4K0.5096.85N/AN/A421,6231,866
2018-12-12$8.11$10.0029.4%8.4%36.4%6.7%0.0%-3.7%8.3%-15.2K221.8K-3.3K0.2998.20N/AN/A721,6231,864
2018-12-13$8.05$10.0041.6%11.9%36.0%28.9%0.0%5.6%3.6%-21.2K348.5K-2.7K0.3394.49N/AN/A621,6231,864
2018-12-14$7.97$10.0030.0%8.6%36.2%7.8%23.7%-10.2%7.5%-16.6K299.9K-3.2K1.33106.89N/AN/A341,6241,864
2018-12-17$7.74$7.5043.0%12.3%37.7%31.5%0.0%17.9%2.2%-17.6K391.5K-3.1K0.0084.86N/AN/A001,6241,865
2018-12-18$7.73$7.5039.2%11.2%35.7%24.5%0.0%33.6%15.8%-15.6K362.3K-3.1K1.00113.76N/AN/A111,6241,865
2018-12-19$7.54$7.5051.0%14.6%36.8%46.1%51.0%27.6%-13.6%-18.3K396.7K-2.9K1.00119.30N/AN/A551,6251,866
2018-12-20$7.28$7.5037.3%10.7%38.7%21.1%37.3%19.9%6.8%-19.3K512.8K-2.7K1.00110.85N/AN/A551,6271,868
2018-12-21$7.23$7.5052.0%14.9%38.7%47.9%51.5%11.8%-7.5%-23.5K639.5K-2.5K0.33125.78N/AN/A1241,6271,868
2018-12-24$6.50$7.5062.7%18.0%52.7%67.5%66.4%13.7%-36.2%-16.6K822.4K-1.8K0.38115.95N/AN/A1351,5371,866
2018-12-26$6.75$7.5042.5%12.2%55.1%30.5%36.8%-22.4%-4.2%-20.1K809.3K-1.9K1.5089.14N/AN/A231,5381,865
2018-12-27$6.67$7.5044.3%12.7%51.4%33.8%44.3%38.3%17.9%-19.9K884.0K-1.5K1.0099.05N/AN/A331,5391,865
2018-12-28$6.75$7.5031.1%8.9%51.8%9.7%31.1%25.9%21.6%-20.2K759.8K-1.9K1.00100.02N/AN/A331,5401,865
2018-12-31$6.72$7.5035.3%10.1%50.4%17.4%0.0%30.6%18.5%-20.0K828.9K-1.7K0.0089.60N/AN/A4001,5401,865