CAMT Options History — August 2015

In August 2015, CAMT traded between $2.59 and $2.95. ATM implied volatility averaged 70.3%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 19.7%. IV traded above realized volatility by 42.2% (HV 20d: 28.1%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.93.

Notable Days

  • 2015-08-04: Highest Volume — 220 contracts
  • 2015-08-14: Largest IV spike — 68.3% change
  • 2015-08-25: Highest IV Rank — 32.4%
  • 2015-08-25: Largest Expected Move — 25.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.79$2.59$2.95$2.81$2.68
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV70.3%43.5%89.3%69.3%69.3%
Expected Move19.7%12.5%25.6%19.9%19.9%
HV 20d28.1%23.3%32.0%30.8%30.3%
HV 60d28.5%25.1%37.5%37.5%27.7%
IV Rank19.4%1.0%32.4%18.7%18.7%
IV Percentile32.2%0.4%72.6%25.4%29.0%
Term Structure-13.1%-32.6%7.7%7.7%3.7%
VWIV67.7%39.6%86.3%53.2%66.1%
Bid-Ask Spread %101.6838.34131.0238.3486.30
Gamma HHI1.001.001.001.001.00
Net GEX-34.5K-48.8K209-24.3K-38.3K
Net DEX677.6K-113.8K938.4K693.6K932.3K
Net VEX-4.2K-5.0K-40-5.0K-4.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.071.591.290.07
Total Volume123.7140220044
Total OI9,616.6679,2249,7769,7719,230

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$2.81$2.5069.3%19.9%30.8%18.7%0.0%0.0%7.7%-24.3K693.6K-5.0K0.0038.34N/AN/A006139,158
2015-08-04$2.85$2.5057.4%16.5%29.7%10.5%53.2%0.0%-2.6%-31.4K717.5K-4.7K1.2978.77N/AN/A961246139,158
2015-08-05$2.82$2.5060.9%17.5%30.2%12.9%54.1%0.0%-6.4%-37.7K669.3K-4.7K1.2945.48N/AN/A961246139,158
2015-08-06$2.79$2.5058.1%17.3%29.5%11.0%46.5%0.0%-3.5%-38.2K696.6K-4.7K1.44124.11N/AN/A861246139,158
2015-08-07$2.82$2.5058.4%19.4%29.3%11.2%66.2%0.0%-21.4%-48.8K644.8K-4.3K1.44131.02N/AN/A861246139,158
2015-08-10$2.81$2.5081.3%15.8%29.4%26.9%69.6%0.0%-23.1%-40.8K727.8K-4.4K1.4489.49N/AN/A861246139,158
2015-08-11$2.80$2.5078.3%17.2%25.1%24.8%0.0%0.0%-32.6%-32.2K632.6K-4.6K0.00126.41N/AN/A006139,158
2015-08-12$2.81$2.5056.5%16.2%24.9%9.9%39.6%0.0%6.8%-48.6K655.6K-4.2K1.59101.93N/AN/A781246139,158
2015-08-13$2.83$2.5043.5%12.5%24.7%1.0%61.9%0.0%-23.9%-37.7K540.0K-4.4K1.3387.94N/AN/A781046139,158
2015-08-14$2.86$2.5073.1%21.0%23.4%21.3%68.6%0.0%-9.5%-30.6K675.6K-4.6K1.29127.66N/AN/A781016139,162
2015-08-17$2.87$2.5075.9%21.8%23.3%23.2%70.0%0.0%-24.5%-40.1K582.0K-4.1K1.29124.87N/AN/A781016139,163
2015-08-18$2.95$2.5078.7%22.6%25.1%25.1%79.1%0.0%-11.7%209-113.8K-401.29122.56N/AN/A781016139,163
2015-08-19$2.94$2.5057.8%16.6%25.1%10.8%0.0%0.0%-17.3%-34.4K371.1K-3.5K0.0038.88N/AN/A006139,163
2015-08-20$2.83$2.5072.3%20.7%28.3%20.7%69.6%0.0%-17.0%-39.5K702.2K-4.2K1.29106.75N/AN/A781016139,163
2015-08-21$2.77$2.5080.1%23.0%28.0%26.0%78.3%0.0%-24.8%-30.5K672.5K-4.5K1.29129.39N/AN/A781016139,163
2015-08-24$2.69$2.5083.2%23.8%29.5%28.2%70.8%0.0%-0.5%-42.9K938.4K-4.2K0.08123.47N/AN/A3631769,048
2015-08-25$2.68$2.5089.3%25.6%29.4%32.4%86.3%0.0%-27.6%-30.8K927.7K-4.4K0.08118.87N/AN/A3631769,048
2015-08-26$2.60$2.5068.4%19.6%30.9%18.1%78.4%0.0%-18.2%-29.4K921.3K-4.4K0.0898.27N/AN/A3631769,048
2015-08-27$2.59$2.5080.4%23.1%30.8%26.3%81.4%0.0%-17.5%-38.8K760.2K-4.2K0.07116.97N/AN/A4131769,048
2015-08-28$2.70$2.5084.5%24.2%32.0%29.1%79.3%0.0%-10.4%-29.3K881.9K-4.4K0.07117.87N/AN/A4131819,049
2015-08-31$2.68$2.5069.3%19.9%30.3%18.7%66.1%0.0%3.7%-38.3K932.3K-4.2K0.0786.30N/AN/A4131819,049