CAMT Options History — March 2015

In March 2015, CAMT traded between $3.06 and $3.29. ATM implied volatility averaged 79.8%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 21.1%. IV traded above realized volatility by 43.9% (HV 20d: 35.9%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.80.

Notable Days

  • 2015-03-02: Highest Volume — 336 contracts
  • 2015-03-05: Largest IV spike — 51.6% change
  • 2015-03-09: Highest IV Rank — 50.0%
  • 2015-03-31: Largest Expected Move — 28.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.16$3.06$3.29$3.11$3.17
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV79.8%52.8%119.8%94.0%98.8%
Expected Move21.1%15.1%28.3%26.9%28.3%
HV 20d35.9%29.9%42.5%33.8%36.8%
HV 60d35.8%32.7%37.0%34.9%36.0%
IV Rank20.8%1.0%50.0%31.2%34.7%
IV Percentile31.5%0.4%81.3%54.4%63.5%
Term Structure-12.1%-35.8%17.0%-22.8%-16.9%
VWIV81.5%72.2%86.8%86.8%72.2%
Bid-Ask Spread %86.9515.28116.03113.84116.03
Gamma HHI0.600.500.820.500.52
Net GEX-660-3.3K540526502
Net DEX-86.2K-127.9K3.4K-114.2K-117.1K
Net VEX-500-1.1K-259-294-275
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.002.530.552.53
Total Volume99.9090336336166
Total OI2,520.8642,5102,5322,5202,512

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$3.11$2.5094.0%26.9%33.8%31.2%86.8%0.0%-22.8%526-114.2K-2940.55113.84N/AN/A2171198001,720
2015-03-03$3.13$2.5095.3%27.3%30.8%32.2%85.5%0.0%-11.0%536-118.2K-2860.55113.07N/AN/A2171198071,720
2015-03-04$3.14$2.5070.8%20.3%30.8%14.2%72.2%0.0%-9.7%515-118.3K-2830.5522.36N/AN/A2171198071,720
2015-03-05$3.14$0.00107.4%26.3%30.8%41.0%0.0%0.0%-25.9%-2.4K3.4K-1.1K0.55106.75N/AN/A2171198071,720
2015-03-06$3.06$0.0096.4%22.6%29.9%33.0%0.0%0.0%-5.3%512-116.9K-3030.5599.88N/AN/A2171198071,720
2015-03-09$3.29$0.00119.8%18.1%40.2%50.0%0.0%0.0%-12.2%-2.3K-36.1K-1.0K0.00111.81N/AN/A708071,720
2015-03-10$3.14$0.00115.3%19.3%42.5%46.8%0.0%0.0%17.0%508-120.3K-2840.00111.44N/AN/A208101,720
2015-03-11$3.24$0.0063.1%18.1%36.7%8.6%0.0%0.0%2.1%511-127.9K-2920.00112.02N/AN/A008121,720
2015-03-12$3.20$0.0061.6%17.7%37.1%7.5%0.0%0.0%-31.6%-2.2K-14.5K-1.0K0.0097.63N/AN/A708121,720
2015-03-13$3.20$0.0058.5%16.8%37.0%5.2%0.0%0.0%9.4%524-124.3K-2730.0019.06N/AN/A008121,720
2015-03-16$3.15$0.0063.5%18.2%36.8%8.8%0.0%0.0%-27.3%-2.6K-12.7K-1.0K0.0072.81N/AN/A008121,720
2015-03-17$3.14$0.0083.6%24.0%36.8%23.6%0.0%0.0%-11.2%489-122.1K-2890.00115.58N/AN/A208121,720
2015-03-18$3.13$0.0062.0%17.8%36.6%7.7%0.0%0.0%12.7%510-112.9K-2690.0023.86N/AN/A007901,720
2015-03-19$3.18$0.0075.0%21.5%36.9%17.3%0.0%0.0%2.4%500-116.9K-2850.00112.02N/AN/A007901,720
2015-03-20$3.18$0.0061.3%17.6%36.8%7.3%0.0%0.0%-5.8%540-115.7K-2590.0096.70N/AN/A207901,720
2015-03-23$3.18$0.0086.0%24.6%36.4%25.3%0.0%0.0%-3.0%512-117.5K-2740.00114.70N/AN/A007921,720
2015-03-24$3.21$0.0086.0%24.7%36.5%25.3%0.0%0.0%-33.0%-2.9K-65.4K-6400.00114.47N/AN/A007921,720
2015-03-25$3.18$0.0066.6%19.1%36.7%11.1%0.0%0.0%-35.8%-3.2K-55.7K-6870.0097.36N/AN/A007921,720
2015-03-26$3.15$0.0052.8%15.1%36.7%1.0%0.0%0.0%6.5%515-115.3K-2712.5315.28N/AN/A471197921,720
2015-03-27$3.15$0.0065.8%18.9%36.6%10.5%0.0%0.0%-29.2%-3.3K-54.5K-6700.0027.33N/AN/A007921,720
2015-03-30$3.13$0.0072.5%20.8%36.6%15.4%0.0%0.0%-34.9%-2.8K-4.4K-8882.5398.85N/AN/A471197921,720
2015-03-31$3.17$0.0098.8%28.3%36.8%34.7%0.0%0.0%-16.9%502-117.1K-2752.53116.03N/AN/A471197921,720