CAMT Options History — July 2015

In July 2015, CAMT traded between $2.59 and $2.93. ATM implied volatility averaged 78.3%, placing in the 23.5% IV rank vs the trailing year. The 30-day expected move averaged 19.5%. IV traded above realized volatility by 53.4% (HV 20d: 24.9%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.66.

Notable Days

  • 2015-07-29: Highest Volume — 220 contracts
  • 2015-07-28: Largest IV spike — 54.1% change
  • 2015-07-13: Highest IV Rank — 75.2%
  • 2015-07-01: Largest Expected Move — 26.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.77$2.59$2.93$2.70$2.90
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV78.3%42.0%152.5%90.7%54.5%
Expected Move19.5%12.1%26.0%26.0%15.6%
HV 20d24.9%18.6%28.2%21.6%28.2%
HV 60d38.1%36.2%40.3%39.9%37.0%
IV Rank23.5%0.0%75.2%32.0%8.5%
IV Percentile38.3%0.0%97.2%68.3%4.0%
Term Structure-12.3%-63.9%20.5%-26.6%-20.8%
VWIV74.4%42.1%95.3%91.1%50.7%
Bid-Ask Spread %107.2527.12132.79132.0640.90
Gamma HHI0.990.911.001.001.00
Net GEX-26.0K-52.7K672-23.6K672
Net DEX617.2K-97.4K1.0M872.6K-97.4K
Net VEX-4.1K-5.8K-84-5.8K-84
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.401.290.421.29
Total Volume140.818101220151220
Total OI9,730.3649,7139,7539,7389,753

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-07-01$2.70$2.5090.7%26.0%21.6%32.0%91.1%0.0%-26.6%-23.6K872.6K-5.8K0.42132.06N/AN/A106455539,185
2015-07-02$2.69$2.5062.3%17.8%21.6%12.1%0.0%0.0%-33.4%-26.7K894.4K-5.7K0.42117.80N/AN/A106455539,185
2015-07-06$2.71$2.5057.1%19.7%21.9%8.5%87.1%0.0%-8.3%-24.8K863.0K-5.7K0.42112.75N/AN/A106455539,185
2015-07-07$2.65$2.5087.3%18.1%22.4%29.6%64.7%0.0%-19.8%-22.6K835.1K-5.7K0.42123.71N/AN/A106445539,185
2015-07-08$2.66$2.50106.9%20.0%22.5%43.3%0.0%0.0%-63.9%-29.7K900.7K-5.5K0.42125.76N/AN/A106445539,185
2015-07-09$2.61$2.5081.6%16.9%22.9%25.6%63.5%0.0%3.3%-26.8K933.5K-5.6K0.4273.71N/AN/A106445539,185
2015-07-10$2.59$2.50124.4%22.4%22.9%55.5%93.6%0.0%-8.6%-26.7K900.3K-5.6K0.42121.76N/AN/A106445539,185
2015-07-13$2.59$2.50152.5%18.4%18.6%75.2%67.6%0.0%-6.8%-32.2K1.0M-5.3K0.42123.30N/AN/A106445539,185
2015-07-14$2.71$2.5095.2%22.0%25.7%35.1%0.0%0.0%-34.9%-37.2K887.9K-5.1K0.42125.25N/AN/A106445539,185
2015-07-15$2.74$2.5059.6%17.1%26.2%10.2%0.0%0.0%-63.7%-23.5K764.8K-5.4K0.40123.55N/AN/A110445539,185
2015-07-16$2.77$2.5070.7%20.3%26.3%17.9%76.5%0.0%-8.9%-30.6K844.5K-5.3K0.71132.79N/AN/A62445539,185
2015-07-17$2.84$2.5065.3%18.7%28.0%14.2%75.4%0.0%1.8%-52.7K666.9K-4.4K0.71126.94N/AN/A62445559,185
2015-07-20$2.86$2.5076.3%21.9%26.6%21.9%80.9%0.0%-6.8%-27.3K-73.0K-1250.69126.49N/AN/A62435559,158
2015-07-21$2.88$2.5076.8%22.0%26.0%22.3%81.8%0.0%1.0%-18.1K-75.0K-1230.69126.41N/AN/A62435559,158
2015-07-22$2.90$2.5072.9%20.9%26.0%19.5%76.4%0.0%-12.9%548-77.7K-1150.69119.44N/AN/A62435559,158
2015-07-23$2.93$2.5068.3%19.6%26.0%16.3%78.7%0.0%-9.6%-18.7K-81.9K-1000.74116.12N/AN/A58435559,158
2015-07-24$2.86$2.5072.5%20.8%27.6%19.2%78.2%0.0%-0.3%-28.7K756.0K-5.1K0.74122.08N/AN/A58435559,158
2015-07-27$2.88$2.5051.0%14.6%27.7%4.2%53.5%0.0%18.7%-24.8K666.0K-5.0K0.7427.12N/AN/A58435559,158
2015-07-28$2.85$2.5078.7%22.6%27.1%23.6%82.6%0.0%-10.3%-43.8K697.1K-4.5K0.74110.80N/AN/A58435559,158
2015-07-29$2.83$2.5076.2%21.8%26.4%21.8%95.3%0.0%20.2%-32.3K740.2K-4.9K1.2960.93N/AN/A961245559,158
2015-07-30$2.80$2.5042.0%12.1%25.8%0.0%42.1%0.0%20.5%-23.1K723.7K-5.1K1.2969.78N/AN/A961245959,158
2015-07-31$2.90$2.5054.5%15.6%28.2%8.5%50.7%0.0%-20.8%672-97.4K-841.2940.90N/AN/A961245959,158