CAMT Options History — December 2014

In December 2014, CAMT traded between $2.91 and $3.16. ATM implied volatility averaged 77.5%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 19.9%. IV traded above realized volatility by 29.5% (HV 20d: 48.0%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.90.

Notable Days

  • 2014-12-01: Highest Volume — 389 contracts
  • 2014-12-12: Largest IV drop — 41.4% change
  • 2014-12-11: Highest IV Rank — 38.3%
  • 2014-12-23: Largest Expected Move — 23.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.05$2.91$3.16$2.93$3.01
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV77.5%60.1%102.6%79.0%78.6%
Expected Move19.9%16.0%23.3%20.9%16.0%
HV 20d48.0%33.4%57.3%53.0%33.4%
HV 60d58.5%53.9%60.6%60.6%53.9%
IV Rank19.6%6.5%38.3%20.7%20.4%
IV Percentile19.3%1.3%51.9%16.7%19.4%
Term Structure-8.8%-32.2%14.4%-14.0%-15.9%
VWIV82.7%63.2%99.5%82.1%87.2%
Skew 25d-21.5%-65.1%25.9%-16.7%10.3%
Skew 10d-32.9%-81.9%24.1%-22.9%7.5%
Call IV 25d103.3%49.3%141.7%91.8%50.3%
Put IV 25d81.8%60.6%104.5%75.1%60.6%
Bid-Ask Spread %89.3944.42104.0094.4491.72
Gamma HHI0.880.810.930.840.93
Net GEX-5.7K-10.6K-4.8K-5.0K-7.4K
Net DEX145.5K-68.1K219.5K205.9K169.3K
Net VEX-2.1K-2.4K-204-2.4K-2.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.001.290.890.00
Total Volume270.63603893890
Total OI4,125.54,0734,1764,0734,088

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$2.93$2.5079.0%20.9%53.0%20.7%82.1%-16.7%-14.0%-5.0K205.9K-2.4K0.8994.44N/AN/A2061838233,250
2014-12-02$2.91$2.5082.2%20.6%51.9%23.0%82.7%-23.6%-17.6%-5.8K219.5K-2.3K0.9844.42N/AN/A1861838373,260
2014-12-03$3.00$2.5085.2%18.4%53.4%25.4%77.9%-18.7%-20.0%-4.8K-68.1K-2040.9885.25N/AN/A1861838543,260
2014-12-04$3.10$2.5087.6%18.0%54.0%27.1%0.0%25.9%-32.2%-10.6K124.0K-1.9K0.0099.38N/AN/A008543,260
2014-12-05$3.14$2.5078.5%18.7%54.1%20.3%0.0%-42.9%-11.7%-5.8K155.8K-2.1K0.98103.45N/AN/A1861838543,260
2014-12-08$3.00$2.5084.8%21.6%56.4%25.0%71.7%7.2%6.8%-4.9K182.8K-2.3K0.9892.77N/AN/A1861838543,260
2014-12-09$3.11$2.5094.5%19.5%57.3%32.3%63.2%22.1%-1.2%-5.2K150.2K-2.3K0.9897.71N/AN/A1861839043,260
2014-12-10$3.07$2.5086.8%19.0%53.1%26.5%0.0%-61.8%-8.4%-5.5K141.6K-2.1K0.9788.15N/AN/A1891839043,260
2014-12-11$3.09$2.50102.6%22.0%50.8%38.3%0.0%-38.1%-27.1%-5.5K133.8K-2.1K0.9797.42N/AN/A1891839143,260
2014-12-12$3.06$2.5060.1%21.0%49.4%6.5%0.0%-53.1%10.3%-5.6K149.9K-2.1K0.93104.00N/AN/A1971839113,260
2014-12-15$3.10$2.5065.4%21.7%48.2%10.5%0.0%-61.3%14.4%-5.9K137.1K-2.1K1.24102.34N/AN/A1471839163,260
2014-12-16$3.07$2.5063.2%19.0%47.6%8.9%0.0%-65.1%4.4%-5.4K143.0K-2.1K1.24102.34N/AN/A1471839163,260
2014-12-17$3.16$2.5068.9%19.5%47.2%13.1%0.0%-52.6%0.8%-5.7K132.4K-2.1K1.2457.36N/AN/A1471839153,260
2014-12-18$3.11$2.5068.0%19.1%47.8%12.4%0.0%-44.0%0.5%-5.7K129.2K-2.1K1.2079.84N/AN/A1521839153,260
2014-12-19$3.07$2.5071.3%20.3%48.1%14.9%0.0%-17.7%-5.6%-5.1K157.7K-2.2K0.0071.23N/AN/A2008893,260
2014-12-22$3.07$2.5075.3%20.7%47.6%17.9%86.7%-16.4%-10.3%-5.0K160.8K-2.3K1.2995.52N/AN/A1321708703,212
2014-12-23$3.02$2.5074.2%23.3%45.5%17.1%93.6%-20.0%11.9%-5.0K166.8K-2.2K1.2989.96N/AN/A1321708703,212
2014-12-24$3.05$2.5079.3%21.2%44.3%20.9%0.0%-35.2%-9.5%-5.5K138.2K-2.0K0.6183.49N/AN/A132808703,212
2014-12-26$3.03$2.5062.1%21.5%41.0%8.0%99.5%6.2%-23.8%-4.8K150.9K-2.3K0.61101.25N/AN/A132808703,222
2014-12-29$3.08$2.5075.6%20.0%38.1%18.1%87.2%3.4%-18.7%-4.9K147.1K-2.2K0.5893.07N/AN/A138808703,222
2014-12-30$3.02$2.5081.8%16.8%33.4%22.8%0.0%18.2%-25.7%-7.2K172.7K-2.0K0.0091.48N/AN/A508713,222
2014-12-31$3.01$2.5078.6%16.0%33.4%20.4%0.0%10.3%-15.9%-7.4K169.3K-2.0K0.0091.72N/AN/A008663,222