CAMT Options History — June 2014 In June 2014, CAMT traded between $3.04 and $3.36. ATM implied volatility averaged 104.6%. The 30-day expected move averaged 28.2%. IV traded above realized volatility by 69.1% (HV 20d: 35.5%). Max pain ranged from $2.50 to $5.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 7.59.
Notable Days 2014-06-02 : Highest Volume — 206 contracts2014-06-06 : Largest IV spike — 41.3% change2014-06-03 : Largest Expected Move — 38.5%Monthly Statistics Metric Avg Min Max Open Close Price $3.20 $3.04 $3.36 $3.21 $3.19 Max Pain $3.63 $2.50 $5.00 $5.00 $5.00 ATM IV 104.6% 72.0% 159.5% 134.1% 92.2% Expected Move 28.2% 20.7% 38.5% 38.5% 27.9% HV 20d 35.5% 27.4% 42.6% 41.1% 42.6% HV 60d 48.2% 46.1% 49.8% 49.8% 48.9% Term Structure 12.2% -51.4% 68.2% -51.4% 39.3% VWIV 96.4% 93.4% 99.5% 93.4% 99.5% Skew 25d 27.9% 12.4% 39.1% 33.7% 23.1% Skew 10d 19.5% 11.7% 25.3% 21.0% 18.4% Call IV 25d 73.2% 67.6% 82.4% 67.6% 76.6% Put IV 25d 101.1% 94.9% 107.4% 101.4% 99.7% Bid-Ask Spread % 101.08 79.32 115.22 106.75 113.94 Gamma HHI 0.76 0.39 0.90 0.44 0.88 Net GEX -530 -1.4K 560 178 -1.2K Net DEX -9.7K -36.8K 18.1K -36.8K -5.9K Net VEX -279 -445 -116 -116 -269 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 7.59 0.00 33.33 33.33 2.00 Total Volume 18.143 0 206 206 0 Total OI 1,187.143 937 1,261 937 1,261
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 2014-06-02 $3.21 $5.00 134.1% 38.5% 41.1% 0.0% 0.0% 0.0% -51.4% 178 -36.8K -116 33.33 106.75 N/A N/A 6 200 458 479 2014-06-03 $3.16 $5.00 134.1% 38.5% 38.1% 0.0% 0.0% 0.0% -25.4% -852 -4.2K -445 0.00 102.54 N/A N/A 0 0 458 679 2014-06-04 $3.21 $5.00 108.3% 31.0% 38.2% 0.0% 0.0% 0.0% -36.2% 547 -33.3K -283 0.00 110.02 N/A N/A 0 0 458 679 2014-06-05 $3.21 $5.00 111.6% 32.0% 36.0% 0.0% 0.0% 0.0% -41.6% 560 -34.3K -273 0.00 114.81 N/A N/A 0 0 458 679 2014-06-06 $3.32 $2.50 157.7% 26.0% 37.6% 0.0% 0.0% 0.0% 35.5% -945 -9.7K -260 0.00 91.62 N/A N/A 0 0 458 679 2014-06-09 $3.27 $2.50 159.5% 27.3% 38.1% 0.0% 0.0% 0.0% 68.2% -948 -5.4K -255 0.00 90.27 N/A N/A 0 0 458 679 2014-06-10 $3.16 $2.50 138.7% 35.8% 34.4% 0.0% 0.0% 0.0% -16.2% 549 -32.4K -269 0.00 92.31 N/A N/A 0 0 458 679 2014-06-11 $3.09 $2.50 151.0% 24.0% 34.6% 0.0% 0.0% 0.0% 42.8% 542 -28.7K -254 0.00 79.32 N/A N/A 0 0 458 679 2014-06-12 $3.14 $2.50 98.9% 28.3% 30.7% 0.0% 0.0% 0.0% 28.7% -1.0K -1.7K -265 0.00 100.20 N/A N/A 0 100 458 679 2014-06-13 $3.13 $2.50 79.7% 22.9% 27.4% 0.0% 0.0% 0.0% 38.3% -1.4K 12.1K -323 0.00 95.36 N/A N/A 0 0 458 779 2014-06-16 $3.04 $2.50 86.6% 24.8% 28.5% 0.0% 0.0% 0.0% 36.1% 56 -12.8K -179 0.00 80.02 N/A N/A 0 0 458 779 2014-06-17 $3.10 $2.50 90.1% 25.8% 29.8% 0.0% 0.0% 0.0% 21.3% 450 -2.6K -293 0.00 99.04 N/A N/A 0 0 458 779 2014-06-18 $3.15 $2.50 93.3% 26.7% 30.4% 0.0% 0.0% 0.0% 35.3% -1.4K 18.1K -287 0.00 109.66 N/A N/A 1 0 458 779 2014-06-19 $3.12 $2.50 72.3% 20.7% 30.0% 0.0% 0.0% 0.0% 44.2% -967 6.4K -386 0.00 110.14 N/A N/A 0 0 459 779 2014-06-20 $3.16 $2.50 76.2% 21.8% 28.7% 0.0% 0.0% 0.0% 18.5% -651 -174 -327 0.00 115.22 N/A N/A 0 0 459 779 2014-06-23 $3.36 $0.00 78.4% 29.4% 36.2% 0.0% 93.4% 33.7% 7.4% -889 -8.4K -238 0.12 100.32 N/A N/A 33 4 448 779 2014-06-24 $3.21 $5.00 78.9% 26.0% 40.0% 0.0% 0.0% 39.1% 10.1% -733 362 -352 2.50 100.35 N/A N/A 2 5 451 781 2014-06-25 $3.27 $5.00 87.6% 28.7% 40.5% 0.0% 99.5% 27.2% -17.4% -1.2K -3.2K -248 2.00 100.06 N/A N/A 10 20 450 781 2014-06-26 $3.35 $5.00 95.0% 28.6% 41.0% 0.0% 0.0% 31.6% -11.7% -1.1K -4.9K -272 0.00 100.59 N/A N/A 0 0 460 801 2014-06-27 $3.30 $5.00 72.0% 26.5% 41.0% 0.0% 0.0% 12.4% 30.0% -811 -15.7K -267 0.00 110.04 N/A N/A 0 0 460 801 2014-06-30 $3.19 $5.00 92.2% 27.9% 42.6% 0.0% 0.0% 23.1% 39.3% -1.2K -5.9K -269 0.00 113.94 N/A N/A 0 0 460 801
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