CAMT Options History — October 2014

In October 2014, CAMT traded between $3.29 and $4.00. ATM implied volatility averaged 109.8%, placing in the 44.0% IV rank vs the trailing year. The 30-day expected move averaged 21.1%. IV traded above realized volatility by 48.4% (HV 20d: 61.4%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 6.44.

Notable Days

  • 2014-10-31: Highest Volume — 2,320 contracts
  • 2014-10-16: Largest IV drop — 53.2% change
  • 2014-10-15: Highest IV Rank — 100.0%
  • 2014-10-16: Largest Expected Move — 25.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.59$3.29$4.00$3.60$3.30
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV109.8%65.2%184.9%115.7%77.7%
Expected Move21.1%18.0%25.0%21.3%18.1%
HV 20d61.4%57.7%72.9%61.7%71.6%
HV 60d59.8%54.7%62.2%62.2%61.8%
IV Rank44.0%10.3%100.0%48.6%19.7%
IV Percentile47.4%1.5%100.0%62.2%10.6%
Term Structure-1.2%-57.2%40.7%-57.2%-22.9%
VWIV71.5%58.7%84.1%79.7%65.8%
Skew 25d4.5%-12.1%22.8%7.2%-12.1%
Skew 10d18.3%-6.5%32.2%23.4%-6.5%
Call IV 25d76.9%61.7%85.6%74.0%82.5%
Put IV 25d81.5%70.4%88.7%81.2%70.4%
Bid-Ask Spread %96.7145.36109.7998.17101.69
Gamma HHI0.710.580.830.630.83
Net GEX-4.5K-7.2K-2.2K-2.6K-5.8K
Net DEX155.7K71.7K248.9K141.1K230.4K
Net VEX-2.3K-2.8K-1.9K-2.2K-2.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.440.0014.690.2613.41
Total Volume1,054.17402,320962,320
Total OI4,548.4783,8495,0343,8494,890

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-10-01$3.60$2.50115.7%21.3%61.7%48.6%0.0%7.2%-57.2%-2.6K141.1K-2.2K0.2698.17N/AN/A76201,1342,715
2014-10-02$3.60$2.5090.3%18.8%59.2%29.4%0.0%1.7%-31.2%-3.0K151.6K-2.1K0.0090.20N/AN/A001,1682,735
2014-10-03$3.72$2.50118.2%18.0%58.8%50.5%0.0%22.8%-48.8%-3.0K109.5K-2.2K0.00107.86N/AN/A15001,1682,735
2014-10-06$3.59$2.50103.7%24.9%57.9%39.6%0.0%12.3%24.7%-2.2K112.0K-2.3K0.0045.36N/AN/A101,3182,735
2014-10-07$3.56$2.50148.0%19.9%57.7%73.0%79.7%4.7%-24.2%-2.9K157.5K-2.0K0.00107.29N/AN/A0121,3192,735
2014-10-08$3.76$2.50123.9%23.5%57.7%54.8%76.8%3.0%21.9%-3.1K71.7K-2.2K3.02102.56N/AN/A1955891,3342,747
2014-10-09$3.56$2.50144.4%20.6%59.8%70.3%74.2%8.6%-13.5%-2.5K122.6K-2.2K2.3798.53N/AN/A2495891,3342,747
2014-10-10$3.47$2.50155.6%23.2%60.0%78.8%81.5%1.9%13.5%-3.1K144.4K-2.2K2.41105.08N/AN/A2445891,3112,747
2014-10-13$3.36$2.50143.2%19.8%57.8%69.4%72.8%-4.8%-10.3%-3.4K174.5K-1.9K4.89109.79N/AN/A2441,1921,2962,737
2014-10-14$3.43$2.50174.9%19.6%58.4%93.3%59.9%-5.2%-11.6%-5.7K243.3K-2.6K4.89105.14N/AN/A2441,1921,2963,738
2014-10-15$3.36$2.50184.9%19.4%58.3%100.0%72.3%-4.0%5.2%-5.5K248.9K-2.7K5.13104.76N/AN/A2441,2511,2963,738
2014-10-16$3.45$2.5086.5%25.0%59.3%26.3%58.7%5.4%30.4%-4.7K220.3K-2.8K0.1586.63N/AN/A5581,2813,709
2014-10-17$3.51$2.5084.6%24.6%59.5%24.9%84.1%7.6%28.5%-4.6K206.3K-2.8K10.0084.10N/AN/A2201,2813,706
2014-10-20$3.62$2.50101.2%21.0%58.5%37.3%72.5%4.4%-7.3%-6.2K135.0K-2.5K6.1899.84N/AN/A1941,1991,2153,606
2014-10-21$3.77$2.5083.3%22.2%60.1%23.9%71.9%10.0%40.7%-6.2K101.2K-2.3K8.1498.32N/AN/A1401,1401,2153,631
2014-10-22$3.61$2.50111.1%19.6%61.9%44.7%70.4%4.1%-3.1%-4.4K147.2K-2.8K8.14101.59N/AN/A1401,1401,2163,621
2014-10-23$3.79$2.5092.0%22.6%64.2%30.4%70.8%5.6%33.4%-7.2K102.5K-1.9K8.1499.54N/AN/A1401,1401,2163,621
2014-10-24$3.74$2.5094.0%21.2%64.4%31.9%62.3%9.7%-7.0%-5.1K140.4K-2.4K8.14101.82N/AN/A1401,1401,2163,621
2014-10-27$3.85$2.5065.2%22.2%64.8%10.3%71.0%16.5%22.5%-5.5K144.3K-2.2K7.7999.41N/AN/A1491,1601,2163,621
2014-10-28$4.00$2.5085.4%20.9%61.9%25.5%69.2%2.1%24.4%-4.9K73.1K-2.2K14.6999.21N/AN/A1472,1591,2283,641
2014-10-29$3.60$2.5072.6%18.1%65.5%15.9%78.7%10.8%-12.7%-5.2K171.4K-2.5K13.7578.24N/AN/A1572,1591,2503,641
2014-10-30$3.29$2.5069.7%22.2%72.9%13.7%66.2%-8.4%-22.3%-5.6K232.0K-2.5K13.7599.25N/AN/A1572,1591,2493,641
2014-10-31$3.30$2.5077.7%18.1%71.6%19.7%65.8%-12.1%-22.9%-5.8K230.4K-2.4K13.41101.69N/AN/A1612,1591,2493,641