CAMT Options History — May 2015

In May 2015, CAMT traded between $2.87 and $3.46. ATM implied volatility averaged 87.4%, placing in the 28.3% IV rank vs the trailing year. The 30-day expected move averaged 18.9%. IV traded above realized volatility by 40.2% (HV 20d: 47.3%). 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 2 of 20 days. Put/call ratio averaged 8.49.

Notable Days

  • 2015-05-05: Highest Volume — 1,216 contracts
  • 2015-05-12: Largest IV drop — 39.6% change
  • 2015-05-07: Highest IV Rank — 73.4%
  • 2015-05-01: Largest Expected Move — 32.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.15$2.87$3.46$3.43$2.90
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV87.4%45.0%152.0%114.9%58.9%
Expected Move18.9%12.9%32.9%32.9%16.9%
HV 20d47.3%38.1%60.7%38.3%54.0%
HV 60d38.2%31.5%43.4%35.0%43.4%
IV Rank28.3%0.0%73.4%45.9%9.7%
IV Percentile36.9%0.0%95.2%82.9%4.8%
Term Structure-15.9%-43.9%13.6%-43.9%-5.8%
VWIV72.5%39.6%111.6%111.6%81.9%
Bid-Ask Spread %103.6718.34116.7596.03111.80
Gamma HHI0.980.951.000.971.00
Net GEX-22.9K-40.6K-17.4K-17.4K-40.6K
Net DEX451.0K296.4K687.0K329.2K610.8K
Net VEX-5.2K-6.3K-4.2K-4.4K-5.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.490.7818.621.570.78
Total Volume577.101,216234112
Total OI9,913.58,69110,6229,5069,736

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$3.43$2.50114.9%32.9%38.3%45.9%111.6%0.0%-43.9%-17.4K329.2K-4.4K1.5796.03N/AN/A911437938,713
2015-05-04$3.46$0.00142.4%18.9%38.3%66.3%0.0%0.0%-4.8%-17.4K296.4K-4.2K0.00116.75N/AN/A01,0047938,723
2015-05-05$3.44$0.00143.3%20.5%38.2%66.9%0.0%0.0%-27.0%-18.9K330.0K-4.8K12.3699.70N/AN/A911,1257939,723
2015-05-06$3.39$0.00147.7%21.3%38.6%70.2%0.0%0.0%-34.5%-19.9K357.3K-5.1K12.36100.61N/AN/A911,1257939,723
2015-05-07$3.35$0.00152.0%21.1%38.5%73.4%0.0%0.0%-26.2%-18.4K391.3K-5.2K12.36116.67N/AN/A911,1257939,723
2015-05-08$3.43$0.00151.7%21.3%38.1%73.1%0.0%0.0%-34.4%-20.4K351.4K-4.9K0.0098.75N/AN/A007939,723
2015-05-11$3.37$0.00126.6%21.8%38.8%54.6%0.0%0.0%-20.1%-19.1K390.7K-4.9K0.00115.94N/AN/A007939,723
2015-05-12$3.38$0.0076.5%21.9%38.7%17.6%0.0%0.0%-19.6%-21.4K339.1K-4.7K12.36115.90N/AN/A911,1257939,723
2015-05-13$3.38$0.0073.5%21.1%38.7%15.3%0.0%0.0%-24.5%-20.7K316.1K-4.6K12.36116.44N/AN/A911,1257939,723
2015-05-14$2.96$0.0047.5%13.6%60.5%0.0%39.6%0.0%6.9%-19.9K505.4K-5.7K1.2018.34N/AN/A961157939,723
2015-05-15$2.99$2.5050.1%14.4%60.7%1.9%0.0%0.0%-8.7%-19.5K403.1K-5.0K1.32103.65N/AN/A871158079,815
2015-05-18$2.94$2.5059.8%17.2%55.9%8.8%41.2%0.0%-6.7%-22.5K427.3K-5.1K0.00107.49N/AN/A054988,193
2015-05-19$2.99$2.5045.0%12.9%52.8%0.0%46.0%0.0%13.6%-23.3K434.2K-5.1K12.00103.09N/AN/A2244988,198
2015-05-20$2.99$2.5058.6%16.8%51.8%9.5%83.5%0.0%-14.5%-25.1K559.5K-5.5K18.62108.62N/AN/A551,0245008,222
2015-05-21$2.97$2.5056.0%16.1%51.8%7.7%78.6%0.0%-0.9%-24.9K635.2K-6.2K18.62108.00N/AN/A551,0245009,222
2015-05-22$2.90$2.5061.1%17.5%51.7%11.3%53.0%0.0%-10.2%-29.0K687.0K-6.3K16.25109.54N/AN/A631,0245009,222
2015-05-26$2.87$2.5061.5%17.6%51.7%11.5%90.7%0.0%-22.8%-26.2K554.0K-5.8K1.65108.72N/AN/A631045119,227
2015-05-27$2.97$2.5057.8%16.6%54.0%8.9%78.1%0.0%-11.6%-26.2K524.0K-5.7K1.29108.72N/AN/A63815089,227
2015-05-28$2.88$2.5063.7%18.3%54.1%13.1%93.3%0.0%-21.8%-27.5K578.4K-6.0K0.78108.72N/AN/A63495089,228
2015-05-29$2.90$2.5058.9%16.9%54.0%9.7%81.9%0.0%-5.8%-40.6K610.8K-5.4K0.78111.80N/AN/A63495089,228