CAMT Options History — June 2015

In June 2015, CAMT traded between $2.75 and $2.99. ATM implied volatility averaged 73.6%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 20.5%. IV traded above realized volatility by 37.9% (HV 20d: 35.7%). 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 3 of 22 days. Put/call ratio averaged 0.74.

Notable Days

  • 2015-06-26: Highest Volume — 151 contracts
  • 2015-06-22: Largest IV spike — 42.5% change
  • 2015-06-30: Highest IV Rank — 36.9%
  • 2015-06-30: Largest Expected Move — 28.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.87$2.75$2.99$2.86$2.75
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV73.6%50.6%97.8%65.8%97.8%
Expected Move20.5%14.5%28.0%18.9%28.0%
HV 20d35.7%20.0%53.0%52.8%21.0%
HV 60d39.7%38.6%43.4%43.4%39.8%
IV Rank20.0%4.0%36.9%14.6%36.9%
IV Percentile33.6%1.2%75.0%15.5%75.0%
Term Structure-14.3%-46.3%8.5%-28.5%-46.3%
VWIV80.6%61.3%95.5%94.9%91.9%
Bid-Ask Spread %120.26108.61133.36111.50128.19
Gamma HHI0.990.981.000.981.00
Net GEX-30.8K-59.7K-22.8K-25.0K-25.6K
Net DEX660.5K445.7K779.3K536.7K760.4K
Net VEX-5.5K-6.2K-3.9K-5.6K-5.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.420.850.780.42
Total Volume109.6360151112151
Total OI9,724.5459,6889,7389,7369,738

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-06-01$2.86$2.5065.8%18.9%52.8%14.6%94.9%0.0%-28.5%-25.0K536.7K-5.6K0.78111.50N/AN/A63495089,228
2015-06-02$2.88$2.5073.6%21.1%52.8%20.0%0.0%0.0%-29.1%-29.3K578.7K-5.7K0.00111.39N/AN/A005089,228
2015-06-03$2.89$2.5068.1%19.5%52.9%16.1%95.5%0.0%-30.6%-26.1K521.0K-5.5K0.78111.39N/AN/A63495089,228
2015-06-04$2.88$2.5070.9%18.7%52.9%18.1%63.8%0.0%0.2%-28.3K631.1K-6.0K0.78121.08N/AN/A63495089,228
2015-06-05$2.88$2.5073.4%18.9%53.0%19.9%64.5%0.0%-11.8%-30.2K621.2K-5.9K0.78123.81N/AN/A63495089,228
2015-06-08$2.91$2.5080.7%20.5%52.2%25.0%76.0%0.0%-0.9%-30.0K587.7K-5.7K0.78123.84N/AN/A63495089,228
2015-06-09$2.91$2.5084.7%18.5%52.1%27.7%61.3%0.0%-6.7%-53.3K483.9K-4.4K0.78118.34N/AN/A63495089,228
2015-06-10$2.92$2.5072.9%20.9%52.1%19.5%78.5%0.0%-0.0%-59.7K445.7K-3.9K0.83123.84N/AN/A59495089,228
2015-06-11$2.90$2.5074.6%21.4%52.0%20.7%70.6%0.0%-11.1%-22.8K713.9K-6.2K0.78122.08N/AN/A63495089,228
2015-06-12$2.99$2.5072.3%20.7%25.5%19.1%83.8%0.0%8.5%-36.5K630.8K-5.0K0.78120.76N/AN/A63495049,228
2015-06-15$2.93$2.5050.8%14.6%26.3%4.0%0.0%0.0%-5.1%-25.3K759.1K-5.7K0.78108.72N/AN/A63495049,228
2015-06-16$2.91$2.5052.4%15.0%25.7%5.2%0.0%0.0%-5.0%-36.8K705.1K-5.3K0.78108.61N/AN/A63495049,228
2015-06-17$2.87$2.5055.0%15.8%25.3%7.0%0.0%0.0%-20.3%-27.3K720.7K-5.8K0.85108.72N/AN/A59505049,228
2015-06-18$2.87$2.5070.8%20.3%25.3%18.1%68.1%0.0%-11.7%-27.3K718.0K-5.8K0.85126.16N/AN/A59505069,230
2015-06-19$2.80$2.5050.6%14.5%26.5%4.0%0.0%0.0%-0.8%-26.7K626.3K-5.7K0.85111.21N/AN/A59505069,230
2015-06-22$2.85$2.5072.2%20.7%26.3%19.0%81.9%0.0%7.2%-39.3K683.7K-5.3K0.80128.62N/AN/A56455039,185
2015-06-23$2.87$2.5082.8%23.7%26.1%26.4%84.8%0.0%-20.2%-27.4K763.3K-5.6K0.80126.04N/AN/A56455039,185
2015-06-24$2.85$2.5085.4%24.5%22.9%28.3%85.4%0.0%-25.1%-25.6K774.9K-5.9K0.80125.70N/AN/A56455039,185
2015-06-25$2.85$2.5087.6%25.1%20.2%29.8%87.0%0.0%-24.0%-24.8K757.4K-5.7K0.80126.13N/AN/A56455039,185
2015-06-26$2.85$2.5089.4%25.6%20.0%31.1%89.4%0.0%-25.2%-25.4K732.0K-5.7K0.42126.13N/AN/A106455039,185
2015-06-29$2.80$2.5087.4%25.0%20.4%29.6%93.0%0.0%-27.4%-25.3K779.3K-5.8K0.42133.36N/AN/A106455539,185
2015-06-30$2.75$2.5097.8%28.0%21.0%36.9%91.9%0.0%-46.3%-25.6K760.4K-5.9K0.42128.19N/AN/A106455539,185