CAMT Options History — November 2014

In November 2014, CAMT traded between $2.88 and $3.24. ATM implied volatility averaged 74.5%, placing in the 17.3% IV rank vs the trailing year. The 30-day expected move averaged 20.1%. IV traded above realized volatility by 8.4% (HV 20d: 66.1%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 1.84.

Notable Days

  • 2014-11-03: Highest Volume — 2,307 contracts
  • 2014-11-28: Largest IV spike — 38.9% change
  • 2014-11-10: Highest IV Rank — 31.3%
  • 2014-11-18: Largest Expected Move — 24.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.06$2.88$3.24$3.19$3.09
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV74.5%60.6%93.1%73.7%86.1%
Expected Move20.1%17.2%24.2%20.1%17.4%
HV 20d66.1%50.0%71.5%71.5%50.0%
HV 60d61.2%59.2%63.4%62.2%60.6%
IV Rank17.3%6.9%31.3%16.7%26.0%
IV Percentile12.5%1.4%37.1%8.2%31.0%
Term Structure-6.5%-31.1%19.5%-17.2%-31.1%
VWIV70.4%56.9%84.0%80.5%78.2%
Skew 25d-3.8%-31.0%25.4%-12.1%-16.0%
Skew 10d-7.7%-54.2%29.0%-10.6%-24.0%
Call IV 25d79.3%53.8%119.1%82.3%84.0%
Put IV 25d75.5%64.7%92.1%70.2%68.0%
Bid-Ask Spread %92.4645.21104.7099.4198.73
Gamma HHI0.870.820.970.840.82
Net GEX-6.2K-14.5K-4.9K-5.6K-5.0K
Net DEX231.1K-57.7K292.3K247.6K161.8K
Net VEX-2.3K-2.5K-440-2.5K-2.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.840.0014.5914.595.26
Total Volume377.26302,3072,3070
Total OI4,745.5793,8615,0234,8904,073

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$3.19$2.5073.7%20.1%71.5%16.7%80.5%-12.1%-17.2%-5.6K247.6K-2.5K14.5999.41N/AN/A1482,1591,2493,641
2014-11-04$3.16$2.5065.0%17.2%71.5%10.2%64.5%-8.5%-15.3%-6.5K262.8K-2.4K1.1199.57N/AN/A1481641,2563,641
2014-11-05$3.24$2.5073.6%20.0%68.9%16.7%63.8%24.4%-20.6%-6.8K242.0K-2.3K1.1195.39N/AN/A1481641,2563,652
2014-11-06$3.21$2.5071.4%21.4%66.7%15.0%67.8%-9.8%-19.0%-6.4K247.7K-2.4K0.8199.41N/AN/A2031641,2563,652
2014-11-07$3.18$2.5083.8%18.0%66.2%24.3%68.6%-13.3%-9.9%-6.4K254.5K-2.4K0.81102.38N/AN/A2031641,2813,652
2014-11-10$3.10$2.5093.1%22.5%65.9%31.3%66.0%20.0%11.1%-5.4K260.4K-2.5K0.81101.26N/AN/A2031641,2813,652
2014-11-11$2.92$2.5081.4%18.4%68.1%22.5%64.4%0.9%3.4%-5.9K249.8K-2.5K0.7382.11N/AN/A2071511,1983,594
2014-11-12$3.05$2.5081.6%18.3%70.3%22.7%56.9%-31.0%-7.4%-5.7K262.5K-2.3K0.6992.43N/AN/A2091441,2813,655
2014-11-13$2.95$2.5082.3%21.9%69.9%23.1%74.8%-14.2%-5.1%-5.1K265.4K-2.5K0.59100.30N/AN/A2441441,2973,658
2014-11-14$3.05$2.5060.6%17.7%70.9%6.9%0.0%-27.0%3.6%-5.7K244.1K-2.3K0.00104.70N/AN/A001,3453,658
2014-11-17$2.98$2.5078.3%18.2%69.7%20.2%66.3%10.7%-10.9%-5.2K267.5K-2.4K0.64104.33N/AN/A2351511,3453,658
2014-11-18$2.90$2.5088.6%24.2%67.3%27.8%76.8%25.4%-6.3%-4.9K256.9K-2.5K0.6496.51N/AN/A2351511,3463,668
2014-11-19$2.92$2.5062.2%21.6%66.7%8.1%0.0%8.6%19.5%-6.2K292.3K-2.3K0.0045.21N/AN/A001,3463,668
2014-11-20$2.93$2.5067.5%22.4%63.2%12.1%70.5%10.6%12.1%-5.5K281.0K-2.4K0.6298.21N/AN/A2381481,3463,667
2014-11-21$2.88$2.5070.4%21.3%63.2%14.2%72.7%8.2%3.0%-5.3K279.9K-2.4K0.62103.90N/AN/A2381481,3463,677
2014-11-24$3.01$2.5068.6%23.2%64.8%12.9%84.0%-15.4%-13.9%-5.7K191.0K-2.4K0.0094.49N/AN/A10506693,192
2014-11-25$3.10$2.5064.5%20.3%63.9%9.8%78.2%-20.4%0.9%-5.6K181.4K-2.4K0.4991.42N/AN/A181887743,192
2014-11-26$3.24$2.5062.0%17.6%56.8%7.9%0.0%-13.9%-20.3%-14.5K-57.7K-4405.2646.92N/AN/A191008143,230
2014-11-28$3.09$2.5086.1%17.4%50.0%26.0%0.0%-16.0%-31.1%-5.0K161.8K-2.4K0.0098.73N/AN/A008233,250