CAMT Options History — September 2015

In September 2015, CAMT traded between $2.46 and $2.75. ATM implied volatility averaged 77.5%, placing in the 24.3% IV rank vs the trailing year. The 30-day expected move averaged 21.2%. IV traded above realized volatility by 42.9% (HV 20d: 34.5%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.10.

Notable Days

  • 2015-09-02: Highest Volume — 50 contracts
  • 2015-09-21: Largest IV spike — 57.5% change
  • 2015-09-08: Highest IV Rank — 42.9%
  • 2015-09-29: Largest Expected Move — 29.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.62$2.46$2.75$2.63$2.58
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV77.5%51.1%104.6%84.5%94.4%
Expected Move21.2%14.7%29.0%24.2%27.1%
HV 20d34.5%29.8%42.8%30.2%41.4%
HV 60d29.6%27.8%34.3%27.8%34.0%
IV Rank24.3%6.2%42.9%29.1%35.9%
IV Percentile47.1%3.2%84.1%62.3%78.6%
Term Structure-12.6%-40.4%18.6%-19.0%-40.4%
VWIV88.2%86.8%89.7%86.8%89.7%
Bid-Ask Spread %108.4473.67133.0297.90124.71
Gamma HHI1.001.001.001.001.00
Net GEX-38.6K-68.6K-25.1K-25.1K-44.6K
Net DEX891.8K-36.3K1.2M864.4K1.0M
Net VEX-3.6K-4.3K-41-4.3K-3.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.100.060.140.070.14
Total Volume32.8570504424
Total OI9,233.4299,2229,2429,2309,222

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$2.63$2.5084.5%24.2%30.2%29.1%86.8%0.0%-19.0%-25.1K864.4K-4.3K0.0797.90N/AN/A4131819,049
2015-09-02$2.63$2.5087.1%25.0%30.1%30.9%89.7%0.0%-20.9%-29.8K922.3K-4.3K0.06131.54N/AN/A4731819,049
2015-09-03$2.61$0.0090.6%21.2%30.0%33.2%0.0%0.0%-14.4%-29.0K912.2K-4.2K0.07120.89N/AN/A4331899,049
2015-09-04$2.63$0.0093.1%20.5%29.8%35.0%0.0%0.0%-15.3%-27.0K864.1K-4.2K0.07105.24N/AN/A4331939,049
2015-09-08$2.75$0.00104.6%19.9%34.4%42.9%0.0%0.0%-17.1%-34.5K726.8K-4.0K0.00133.02N/AN/A001939,049
2015-09-09$2.71$0.0081.0%23.2%34.7%26.7%0.0%0.0%-24.7%-41.6K845.4K-3.9K0.0773.67N/AN/A4331939,049
2015-09-10$2.66$0.0078.1%22.4%35.2%24.7%0.0%0.0%-12.9%-41.4K916.0K-4.0K0.07125.06N/AN/A4331939,049
2015-09-11$2.60$0.0065.3%18.7%35.6%15.9%0.0%0.0%0.7%-34.3K996.3K-3.9K0.0798.76N/AN/A4131939,049
2015-09-14$2.62$0.0061.8%17.7%35.5%13.5%0.0%0.0%-11.1%-32.1K971.6K-3.9K0.07108.43N/AN/A4131939,049
2015-09-15$2.62$0.0067.1%19.2%35.4%17.2%0.0%0.0%-8.5%-35.0K969.7K-3.8K0.0096.74N/AN/A001939,049
2015-09-16$2.60$0.0051.1%14.7%33.3%6.2%0.0%0.0%-1.5%-45.6K763.5K-3.7K0.0794.66N/AN/A4131939,049
2015-09-17$2.59$0.0071.4%20.5%33.3%20.1%0.0%0.0%-9.8%-36.7K978.4K-3.8K0.0784.02N/AN/A4131939,049
2015-09-18$2.62$0.0056.0%16.1%31.7%9.6%0.0%0.0%6.9%-39.9K989.5K-3.7K0.07118.74N/AN/A4131939,049
2015-09-21$2.69$0.0088.2%25.3%32.7%31.6%0.0%0.0%-19.7%-68.6K-36.3K-410.14123.40N/AN/A2131739,049
2015-09-22$2.62$0.0051.7%14.8%32.4%6.6%0.0%0.0%4.0%-40.4K950.6K-3.7K0.1483.99N/AN/A2131739,049
2015-09-23$2.66$0.0051.9%14.9%32.9%6.7%0.0%0.0%18.6%-35.2K921.6K-3.6K0.1493.80N/AN/A2131759,049
2015-09-24$2.67$0.0078.3%22.4%30.9%24.8%0.0%0.0%-8.5%-55.5K923.1K-3.3K0.14130.81N/AN/A2131759,049
2015-09-25$2.46$0.0077.9%22.3%42.8%24.5%0.0%0.0%-18.2%-36.4K1.0M-3.6K0.1479.55N/AN/A2131759,049
2015-09-28$2.51$0.0091.2%26.2%40.5%33.7%0.0%0.0%-20.2%-39.6K1.2M-3.2K0.14128.96N/AN/A2131759,049
2015-09-29$2.58$0.00101.3%29.0%41.9%40.6%0.0%0.0%-32.9%-39.3K1.0M-3.4K0.14123.42N/AN/A2131739,049
2015-09-30$2.58$0.0094.4%27.1%41.4%35.9%0.0%0.0%-40.4%-44.6K1.0M-3.3K0.14124.71N/AN/A2131739,049