CAMT Options History — October 2015

In October 2015, CAMT traded between $2.41 and $2.74. ATM implied volatility averaged 77.0%, placing in the 23.9% IV rank vs the trailing year. The 30-day expected move averaged 18.5%. IV traded above realized volatility by 37.9% (HV 20d: 39.0%). 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 13 of 22 days. Put/call ratio averaged 0.12.

Notable Days

  • 2015-10-28: Highest Volume — 73 contracts
  • 2015-10-13: Largest IV spike — 64.5% change
  • 2015-10-13: Highest IV Rank — 64.1%
  • 2015-10-02: Largest Expected Move — 28.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.55$2.41$2.74$2.62$2.44
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV77.0%49.0%135.7%96.0%63.5%
Expected Move18.5%13.8%28.3%27.5%18.2%
HV 20d39.0%30.0%44.0%41.8%30.0%
HV 60d34.3%33.3%35.0%34.1%34.0%
IV Rank23.9%4.8%64.1%37.0%14.7%
IV Percentile42.4%1.6%95.2%79.8%23.4%
Term Structure-3.0%-59.5%28.5%-33.2%28.5%
VWIV59.6%46.7%72.3%52.6%49.9%
Bid-Ask Spread %113.2882.29137.79137.79124.99
Gamma HHI0.990.901.001.001.00
Net GEX-44.3K-63.4K262-45.0K-56.7K
Net DEX873.7K-36.9K1.2M988.2K1.2M
Net VEX-2.5K-3.3K-41-3.3K-2.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.120.000.160.110.06
Total Volume34.4098733073
Total OI9,233.1829,2209,2769,2209,276

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$2.62$0.0096.0%27.5%41.8%37.0%0.0%0.0%-33.2%-45.0K988.2K-3.3K0.11137.79N/AN/A2731719,049
2015-10-02$2.65$0.0098.8%28.3%41.9%38.9%0.0%0.0%-44.9%262-35.0K-410.11117.42N/AN/A2731779,049
2015-10-05$2.71$2.50101.8%17.3%42.6%40.9%52.6%0.0%2.6%-40.1K741.5K-3.2K0.00119.04N/AN/A801779,049
2015-10-06$2.74$2.50112.8%20.0%39.6%48.5%0.0%0.0%-22.7%206-36.9K-420.12111.15N/AN/A2531779,049
2015-10-07$2.69$2.5056.9%16.1%39.8%10.2%57.0%0.0%9.7%-46.3K763.9K-3.1K0.1296.60N/AN/A2531779,049
2015-10-08$2.58$2.5091.3%18.1%42.0%33.7%57.3%0.0%11.6%-37.6K959.1K-3.2K0.12108.69N/AN/A2531779,049
2015-10-09$2.59$2.50105.9%19.5%41.3%43.8%64.4%0.0%12.3%-44.5K1.0M-3.1K0.12109.81N/AN/A2531779,049
2015-10-12$2.55$2.5082.5%13.8%41.5%27.7%46.7%0.0%4.2%-51.7K833.2K-2.9K0.1691.88N/AN/A2541779,049
2015-10-13$2.57$2.50135.7%14.6%41.7%64.1%50.4%0.0%6.5%-53.3K846.9K-2.9K0.16110.27N/AN/A2541779,051
2015-10-14$2.49$2.5049.0%14.1%43.0%4.8%49.7%0.0%7.2%-56.1K857.2K-2.8K0.16117.00N/AN/A2541779,053
2015-10-15$2.55$2.5070.3%20.1%44.0%19.3%69.8%0.0%-2.9%-43.0K1.0M-2.9K0.16107.88N/AN/A2541779,053
2015-10-16$2.53$2.5059.2%17.0%43.8%11.7%59.6%0.0%-10.8%-47.7K893.5K-2.8K0.16113.05N/AN/A2541779,053
2015-10-19$2.58$2.5068.8%19.7%43.3%18.3%60.7%0.0%0.0%-37.5K957.6K-2.7K0.1683.46N/AN/A2541779,053
2015-10-20$2.53$2.5058.3%16.7%42.8%11.1%60.3%0.0%9.1%-54.2K856.5K-2.6K0.16119.62N/AN/A2541779,053
2015-10-21$2.50$2.5069.7%20.0%42.5%18.9%68.5%0.0%-15.3%-46.1K1.1M-2.6K0.15113.61N/AN/A2741779,053
2015-10-22$2.47$2.5067.1%19.2%42.5%17.1%67.1%0.0%4.3%-46.6K1.1M-2.6K0.15127.28N/AN/A2741799,053
2015-10-23$2.51$2.5052.8%15.1%31.5%7.4%53.1%0.0%14.8%-60.0K930.8K-2.5K0.15115.81N/AN/A2741799,053
2015-10-26$2.47$2.5072.2%20.7%31.2%20.7%72.3%0.0%-9.2%-46.7K1.1M-2.4K0.1582.29N/AN/A2741799,055
2015-10-27$2.41$2.5066.9%19.2%30.4%17.0%68.0%0.0%19.8%-48.9K1.1M-2.3K0.15135.28N/AN/A2741799,055
2015-10-28$2.44$2.5057.6%16.5%30.9%10.6%68.2%0.0%-59.5%-50.3K1.1M-2.3K0.06135.77N/AN/A6941799,057
2015-10-29$2.46$2.5056.3%16.2%30.4%9.8%56.3%0.0%5.0%-63.4K1.1M-2.2K0.06113.42N/AN/A6942199,057
2015-10-30$2.44$2.5063.5%18.2%30.0%14.7%49.9%0.0%28.5%-56.7K1.2M-2.2K0.06124.99N/AN/A6942199,057