CAMT Options History — July 2014

In July 2014, CAMT traded between $3.20 and $5.02. ATM implied volatility averaged 92.0%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 28.1%. IV traded below realized volatility by 74.4% (HV 20d: 166.4%). Max pain ranged from $2.50 to $5.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.80.

Notable Days

  • 2014-07-07: Highest Volume — 4,005 contracts
  • 2014-07-02: Largest IV spike — 66.1% change
  • 2014-07-10: Highest IV Rank — 46.7%
  • 2014-07-02: Largest Expected Move — 31.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.79$3.20$5.02$3.33$3.71
Max Pain$3.98$2.50$5.00$5.00$5.00
ATM IV92.0%59.9%141.9%83.8%91.6%
Expected Move28.1%26.4%31.2%26.4%26.4%
HV 20d166.4%44.8%192.9%44.8%192.8%
HV 60d103.0%48.7%114.6%49.0%114.5%
IV Rank25.6%6.4%46.7%41.6%30.4%
IV Percentile16.7%1.4%42.5%31.7%23.2%
Term Structure-5.0%-61.2%47.9%15.1%-56.0%
VWIV93.6%57.8%101.7%92.1%93.1%
Skew 25d12.3%-6.0%23.5%2.8%-6.0%
Skew 10d32.6%-0.2%43.7%5.4%25.0%
Call IV 25d86.8%78.2%101.0%79.4%97.3%
Put IV 25d99.1%82.2%105.8%82.2%91.4%
Bid-Ask Spread %93.9581.80106.63106.0992.16
Gamma HHI0.600.370.900.380.41
Net GEX1.1K-1.2K2.4K-161755
Net DEX-43.4K-137.7K20.8K-9.9K-33.5K
Net VEX-825-1.2K-270-270-814
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.006.270.572.40
Total Volume299.45524,00517485
Total OI2,650.4551,2613,7501,2612,337

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-07-01$3.33$5.0083.8%26.4%44.8%0.0%0.0%2.8%15.1%-161-9.9K-2700.57106.09N/AN/A11163460801
2014-07-02$3.28$5.00139.2%31.2%45.0%0.0%92.1%16.0%-61.2%-1.2K-929-2990.50105.70N/AN/A105508825
2014-07-03$3.20$5.0099.5%26.4%45.9%0.0%95.0%-1.2%-12.6%-1.1K-12.3K-3080.20106.63N/AN/A51513830
2014-07-07$5.02$5.00141.9%28.5%166.5%0.0%99.4%17.4%-9.2%-65-137.7K-5110.1381.80N/AN/A3,538467518830
2014-07-08$4.13$5.00109.4%29.6%183.0%0.0%101.7%21.6%-12.3%2.2K-94.8K-1.1K0.4891.54N/AN/A6413072,5221,219
2014-07-09$4.22$5.00106.5%28.6%182.3%41.6%0.0%7.4%-6.1%2.3K-103.9K-1.2K0.1388.70N/AN/A167212,3401,316
2014-07-10$4.00$5.00113.1%28.5%183.4%46.7%0.0%15.3%-9.9%2.3K-89.6K-1.2K0.2393.16N/AN/A65152,4331,317
2014-07-11$4.18$5.00104.6%28.2%183.8%40.3%0.0%11.7%-3.6%2.4K-103.0K-1.2K0.0089.78N/AN/A902,4031,317
2014-07-14$4.14$5.00109.3%28.7%183.9%43.8%96.0%12.2%-6.0%2.2K-90.4K-1.1K3.1192.55N/AN/A9282,3481,317
2014-07-15$3.95$5.0084.9%28.6%184.5%25.4%0.0%21.8%-7.3%1.9K-52.0K-1.1K0.0096.42N/AN/A052,3491,342
2014-07-16$3.73$5.0070.8%28.5%186.2%14.7%98.7%10.7%34.0%1.3K1.1K-8800.2192.85N/AN/A2452,3491,341
2014-07-17$3.65$2.5067.4%28.7%186.5%12.1%0.0%18.8%4.3%1.1K6.3K-8290.0092.97N/AN/A022,3671,337
2014-07-18$3.61$2.5066.1%27.7%186.5%11.2%96.6%10.7%47.9%90120.8K-7480.9595.46N/AN/A21202,3671,339
2014-07-21$3.82$2.5091.8%28.3%187.3%30.5%98.5%12.9%-2.6%465-26.1K-7750.0189.29N/AN/A16811,343695
2014-07-22$3.66$2.5071.8%28.1%187.1%15.4%0.0%8.9%-9.0%1.3K-34.1K-8850.2595.39N/AN/A411,456696
2014-07-23$3.60$2.5073.7%28.1%186.4%16.9%57.8%19.6%-4.8%1.2K-31.1K-8530.0092.93N/AN/A901,452697
2014-07-24$3.52$2.5087.2%28.8%186.6%27.1%0.0%23.5%4.6%1.3K-27.4K-8590.0095.87N/AN/A301,454697
2014-07-25$3.51$2.5072.4%27.9%186.4%15.9%101.4%14.0%2.3%912-7.1K-7420.0095.40N/AN/A2901,454697
2014-07-28$3.43$2.5094.8%27.9%186.5%32.8%0.0%14.0%-10.6%1.6K-33.0K-8650.0286.33N/AN/A12521,481697
2014-07-29$3.94$2.5059.9%27.1%192.1%6.4%93.4%14.8%31.9%922-71.7K-8660.5894.79N/AN/A3251881,505697
2014-07-30$3.75$5.0084.3%27.0%192.9%24.9%93.1%2.8%-40.0%785-25.6K-8136.2790.99N/AN/A15941,584760
2014-07-31$3.71$5.0091.6%26.4%192.8%30.4%0.0%-6.0%-56.0%755-33.5K-8142.4092.16N/AN/A25601,576761