CAMT Options History — March 2014 In March 2014, CAMT traded between $3.52 and $4.16. ATM implied volatility averaged 101.2%. The 30-day expected move averaged 27.7%. IV traded above realized volatility by 50.5% (HV 20d: 50.7%). Max pain ranged from $2.50 to $5.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.01.
Notable Days 2014-03-05 : Highest Volume — 113 contracts2014-03-06 : Largest IV spike — 54.7% change2014-03-31 : Largest Expected Move — 37.9%Monthly Statistics Metric Avg Min Max Open Close Price $3.81 $3.52 $4.16 $4.00 $3.69 Max Pain $4.52 $2.50 $5.00 $2.50 $5.00 ATM IV 101.2% 55.2% 141.1% 76.6% 132.1% Expected Move 27.7% 15.8% 37.9% 22.0% 37.9% HV 20d 50.7% 45.6% 54.5% 53.6% 51.0% HV 60d 62.3% 60.3% 64.2% 64.2% 60.3% Term Structure 18.7% -31.8% 60.6% 53.0% -31.8% VWIV 89.7% 58.2% 124.6% 58.2% 112.3% Bid-Ask Spread % 101.76 71.33 115.44 96.23 95.48 Gamma HHI 0.61 0.37 0.74 0.37 0.73 Net GEX 313 188 891 245 299 Net DEX -38.4K -47.2K -24.0K -30.1K -39.7K Net VEX -297 -373 -274 -332 -275 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.01 0.00 0.08 0.00 0.00 Total Volume 16.19 0 113 6 0 Total OI 541.952 485 588 515 547
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2014-03-03 $4.00 $2.50 76.6% 22.0% 53.6% 0.0% 0.0% 0.0% 53.0% 245 -30.1K -332 0.00 96.23 N/A N/A 6 0 372 143 2014-03-04 $4.16 $2.50 70.7% 20.3% 51.1% 0.0% 0.0% 0.0% 55.8% 891 -47.2K -373 0.00 97.68 N/A N/A 0 0 378 143 2014-03-05 $4.00 $2.50 55.2% 15.8% 51.5% 0.0% 0.0% 0.0% 40.7% 267 -31.3K -339 0.00 97.06 N/A N/A 113 0 378 143 2014-03-06 $3.82 $2.50 85.5% 24.5% 50.4% 0.0% 0.0% 0.0% 46.9% 188 -24.0K -290 0.00 99.03 N/A N/A 72 0 343 143 2014-03-07 $3.75 $5.00 115.2% 28.7% 49.3% 0.0% 0.0% 0.0% 2.7% 269 -41.8K -317 0.00 112.12 N/A N/A 0 2 413 143 2014-03-10 $3.84 $5.00 94.5% 26.3% 49.9% 0.0% 0.0% 0.0% 37.5% 439 -43.2K -286 0.00 115.21 N/A N/A 0 5 413 143 2014-03-11 $3.70 $5.00 141.0% 27.5% 45.6% 0.0% 0.0% 0.0% 9.1% 307 -37.2K -297 0.00 112.30 N/A N/A 4 0 413 148 2014-03-12 $3.75 $5.00 141.1% 31.7% 46.1% 0.0% 0.0% 0.0% -7.8% 291 -36.8K -303 0.00 98.28 N/A N/A 0 0 413 148 2014-03-13 $3.52 $5.00 103.4% 29.7% 49.2% 0.0% 0.0% 0.0% 60.6% 273 -31.4K -290 0.00 114.60 N/A N/A 0 5 413 148 2014-03-14 $3.59 $5.00 109.5% 31.4% 49.8% 0.0% 0.0% 0.0% -8.5% 292 -31.2K -284 0.00 98.04 N/A N/A 0 0 413 148 2014-03-17 $3.68 $5.00 109.6% 31.4% 50.7% 0.0% 0.0% 0.0% -15.8% 290 -33.5K -280 0.00 94.73 N/A N/A 0 0 413 148 2014-03-18 $3.67 $5.00 111.8% 32.1% 48.7% 0.0% 0.0% 0.0% -4.8% 306 -34.8K -277 0.00 96.03 N/A N/A 5 0 413 148 2014-03-19 $3.86 $5.00 84.4% 24.2% 49.6% 0.0% 0.0% 0.0% 32.6% 311 -46.1K -302 0.00 96.25 N/A N/A 0 0 413 148 2014-03-20 $3.92 $5.00 91.2% 26.1% 50.2% 0.0% 58.2% 0.0% 54.7% 341 -46.6K -296 0.00 112.68 N/A N/A 27 0 413 148 2014-03-21 $3.79 $5.00 109.1% 31.3% 51.2% 0.0% 124.6% 0.0% -4.3% 215 -41.2K -280 0.00 106.85 N/A N/A 14 0 440 148 2014-03-24 $3.89 $5.00 97.8% 28.0% 52.3% 0.0% 63.8% 0.0% 51.5% 252 -43.5K -281 0.08 113.50 N/A N/A 25 2 342 143 2014-03-25 $3.95 $5.00 100.9% 28.9% 52.7% 0.0% 112.3% 0.0% 1.1% 238 -45.8K -288 0.00 101.07 N/A N/A 30 0 352 145 2014-03-26 $3.80 $5.00 84.3% 24.2% 53.9% 0.0% 0.0% 0.0% 42.3% 243 -38.1K -274 0.00 115.44 N/A N/A 30 0 382 145 2014-03-27 $3.82 $5.00 95.3% 27.3% 54.0% 0.0% 0.0% 0.0% -9.8% 323 -42.2K -283 0.00 71.33 N/A N/A 0 0 402 145 2014-03-28 $3.71 $5.00 115.6% 33.2% 54.5% 0.0% 0.0% 0.0% -12.9% 295 -40.1K -282 0.00 93.05 N/A N/A 0 0 402 145 2014-03-31 $3.69 $5.00 132.1% 37.9% 51.0% 0.0% 0.0% 0.0% -31.8% 299 -39.7K -275 0.00 95.48 N/A N/A 0 0 402 145
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