CAMT Options History — January 2015

In January 2015, CAMT traded between $2.94 and $3.34. ATM implied volatility averaged 99.3%, placing in the 35.4% IV rank vs the trailing year. The 30-day expected move averaged 21.2%. IV traded above realized volatility by 63.6% (HV 20d: 35.7%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.41.

Notable Days

  • 2015-01-15: Highest Volume — 285 contracts
  • 2015-01-14: Largest IV drop — 64.7% change
  • 2015-01-13: Highest IV Rank — 100.0%
  • 2015-01-22: Largest Expected Move — 31.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.13$2.94$3.34$3.04$3.11
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV99.3%60.5%188.0%88.2%81.3%
Expected Move21.2%17.0%31.8%17.1%23.3%
HV 20d35.7%28.8%39.9%31.8%39.0%
HV 60d50.5%41.7%53.9%53.9%41.7%
IV Rank35.4%6.7%100.0%27.6%21.9%
IV Percentile44.3%1.6%100.0%39.8%26.6%
Term Structure-0.3%-29.7%27.1%-29.7%-12.7%
VWIV70.6%61.8%77.8%63.9%77.4%
Skew 25d10.6%-44.4%44.1%20.2%30.0%
Skew 10d6.0%-60.3%44.1%16.8%23.7%
Call IV 25d73.2%49.8%115.6%49.8%70.7%
Put IV 25d83.7%57.3%118.8%70.0%100.6%
Bid-Ask Spread %73.2226.88105.50102.2526.88
Gamma HHI0.860.540.970.900.90
Net GEX-6.1K-13.5K-44-5.9K-7.0K
Net DEX73.8K-118.2K171.5K168.7K117.8K
Net VEX-1.5K-2.1K-60-2.0K-1.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.000.560.510.50
Total Volume135.850285237188
Total OI4,137.34,0884,2244,0884,138

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$3.04$2.5088.2%17.1%31.8%27.6%63.9%20.2%-29.7%-5.9K168.7K-2.0K0.51102.25N/AN/A157808663,222
2015-01-05$2.94$2.50105.8%19.8%31.6%40.8%0.0%-3.9%4.9%-4.9K171.5K-2.1K0.00101.27N/AN/A009213,222
2015-01-06$3.02$2.50112.1%17.0%32.9%45.5%77.8%-6.2%19.7%-5.9K147.8K-2.0K0.00105.50N/AN/A1009213,222
2015-01-07$3.13$2.50116.3%17.0%31.2%48.6%0.0%13.8%27.1%-13.5K42.3K-1.3K0.00100.28N/AN/A009213,222
2015-01-08$3.08$2.50118.7%18.9%29.1%50.5%71.6%-6.0%8.6%-6.2K147.4K-2.0K0.4051.29N/AN/A202808743,222
2015-01-09$3.12$2.50121.1%17.5%29.1%52.2%66.9%7.2%16.7%-44-118.2K-600.54101.11N/AN/A149809243,222
2015-01-12$3.10$2.50157.3%18.5%29.1%79.4%69.1%-44.4%19.7%-52-115.7K-650.5683.35N/AN/A144809243,222
2015-01-13$3.10$2.50188.0%18.7%28.8%100.0%69.3%4.8%6.1%-7.4K116.6K-1.8K0.5570.19N/AN/A145809293,222
2015-01-14$3.34$2.5066.4%19.0%38.9%11.0%76.2%18.9%6.3%-8.4K58.1K-1.6K0.4788.79N/AN/A170809253,222
2015-01-15$3.28$2.5075.3%21.6%39.4%17.5%76.5%15.2%4.9%-5.6K67.0K-1.9K0.5489.49N/AN/A1851009503,222
2015-01-16$3.29$2.5075.8%21.7%38.2%17.9%71.5%11.3%-20.0%-5.6K44.7K-1.8K0.0039.97N/AN/A3009903,234
2015-01-20$3.21$2.5096.7%27.7%38.9%33.2%0.0%44.1%-10.7%-6.3K87.9K-1.8K0.0092.65N/AN/A508933,224
2015-01-21$3.15$2.50100.5%28.8%39.2%36.0%0.0%27.5%-22.8%-6.9K84.1K-1.6K0.0034.15N/AN/A008973,224
2015-01-22$3.09$2.50111.0%31.8%39.9%43.7%0.0%3.3%-24.5%-7.0K100.0K-1.7K0.5085.75N/AN/A125638973,224
2015-01-23$3.11$2.50100.4%28.8%39.4%35.8%0.0%31.9%-17.5%-7.1K106.0K-1.7K0.5035.50N/AN/A125639073,221
2015-01-26$3.15$2.5077.4%22.2%39.5%19.0%0.0%28.4%9.9%-3.6K-96.2K-900.0060.47N/AN/A009073,221
2015-01-27$3.10$2.5066.2%19.0%39.9%10.8%0.0%0.5%6.2%-7.1K131.6K-1.8K0.0082.59N/AN/A009073,221
2015-01-28$3.12$2.5060.5%17.4%39.6%6.7%61.8%3.6%2.8%-6.8K100.1K-1.7K0.5075.66N/AN/A125639073,221
2015-01-29$3.14$2.5066.3%19.0%38.9%10.9%64.8%11.1%-0.5%-6.8K115.3K-1.7K0.5037.22N/AN/A125639173,221
2015-01-30$3.11$2.5081.3%23.3%39.0%21.9%77.4%30.0%-12.7%-7.0K117.8K-1.7K0.5026.88N/AN/A125639173,221