CAMT Options History — August 2014 In August 2014, CAMT traded between $3.47 and $4.15. ATM implied volatility averaged 99.9%, placing in the 36.6% IV rank vs the trailing year. The 30-day expected move averaged 26.6%. IV traded above realized volatility by 28.2% (HV 20d: 71.7%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.31.
Notable Days 2014-08-06 : Highest Volume — 157 contracts2014-08-14 : Largest IV drop — 49.8% change2014-08-13 : Highest IV Rank — 91.0%2014-08-22 : Largest Expected Move — 27.7%Monthly Statistics Metric Avg Min Max Open Close Price $3.77 $3.47 $4.15 $3.63 $4.06 Max Pain $5.00 $5.00 $5.00 $5.00 $5.00 ATM IV 99.9% 71.3% 171.7% 88.4% 82.1% Expected Move 26.6% 24.7% 27.7% 24.7% 27.0% HV 20d 71.7% 50.0% 192.7% 192.7% 50.2% HV 60d 114.5% 113.5% 116.1% 114.4% 116.1% IV Rank 36.6% 15.1% 91.0% 28.0% 23.2% IV Percentile 34.0% 4.5% 98.0% 21.7% 16.0% Term Structure 18.4% -45.7% 50.6% -45.7% 24.3% VWIV 98.5% 92.1% 119.3% 95.8% 119.3% Skew 25d -1.0% -11.2% 9.1% -11.2% -1.7% Skew 10d 24.3% 14.7% 35.6% 17.7% 24.1% Call IV 25d 89.9% 84.3% 95.9% 95.9% 90.2% Put IV 25d 88.9% 83.4% 94.6% 84.7% 88.5% Bid-Ask Spread % 90.84 85.17 95.26 91.03 89.32 Gamma HHI 0.39 0.36 0.47 0.39 0.47 Net GEX 815 553 1.5K 553 1.5K Net DEX -17.8K -67.8K 33.0K -23.9K -56.1K Net VEX -836 -993 -767 -803 -904 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.31 0.00 10.00 0.23 10.00 Total Volume 40.095 0 157 58 11 Total OI 2,000.952 1,436 2,468 2,395 1,699
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 2014-08-01 $3.63 $5.00 88.4% 24.7% 192.7% 28.0% 95.8% -11.2% -45.7% 553 -23.9K -803 0.23 91.03 N/A N/A 47 11 1,594 801 2014-08-04 $3.52 $5.00 103.6% 26.4% 98.2% 39.5% 92.2% -3.9% 40.2% 596 -26.5K -807 0.06 90.53 N/A N/A 145 9 1,599 811 2014-08-05 $3.55 $5.00 85.0% 27.1% 72.8% 25.4% 0.0% -1.0% 29.5% 610 -20.8K -810 0.00 89.48 N/A N/A 0 5 1,648 820 2014-08-06 $3.47 $5.00 110.9% 26.4% 72.1% 45.0% 92.1% -4.6% 50.6% 569 -19.0K -786 0.08 89.16 N/A N/A 145 12 1,648 815 2014-08-07 $3.53 $5.00 92.9% 26.0% 70.8% 31.4% 0.0% -0.4% 16.2% 637 11.7K -844 0.00 93.28 N/A N/A 1 0 1,543 827 2014-08-08 $3.53 $5.00 125.6% 25.3% 68.3% 56.1% 0.0% -3.3% 34.3% 582 19.7K -788 0.36 92.74 N/A N/A 28 10 1,542 827 2014-08-11 $3.58 $5.00 149.7% 25.9% 68.8% 74.3% 97.3% 1.1% 27.4% 589 26.3K -775 0.00 88.98 N/A N/A 4 0 1,514 817 2014-08-12 $3.58 $5.00 167.3% 27.3% 67.2% 87.6% 0.0% 3.6% 29.4% 643 25.4K -783 0.00 88.90 N/A N/A 7 0 1,514 817 2014-08-13 $3.66 $5.00 171.7% 27.3% 64.8% 91.0% 0.0% 9.1% -14.5% 773 15.5K -820 0.21 92.04 N/A N/A 33 7 1,507 817 2014-08-14 $3.81 $5.00 86.3% 26.6% 65.9% 26.4% 0.0% 6.3% 38.4% 594 33.0K -767 0.00 89.72 N/A N/A 0 3 1,480 824 2014-08-15 $3.75 $5.00 73.9% 26.8% 66.1% 17.0% 0.0% 3.6% -14.6% 765 30.7K -801 0.03 86.27 N/A N/A 31 1 1,480 827 2014-08-18 $3.66 $5.00 73.7% 26.3% 63.4% 16.9% 94.5% 2.8% -8.6% 759 -31.5K -791 3.64 90.90 N/A N/A 14 51 889 547 2014-08-19 $3.71 $5.00 71.3% 26.2% 61.7% 15.1% 0.0% -6.3% -13.1% 733 -31.7K -878 6.00 94.69 N/A N/A 2 12 892 598 2014-08-20 $3.77 $5.00 79.5% 27.1% 61.6% 21.3% 0.0% -4.5% 38.8% 647 -19.7K -833 0.00 85.17 N/A N/A 0 0 890 610 2014-08-21 $4.13 $5.00 98.6% 26.4% 68.4% 35.7% 119.3% -0.3% -1.5% 929 -54.7K -916 0.05 92.79 N/A N/A 126 6 890 610 2014-08-22 $4.14 $5.00 92.3% 27.7% 68.3% 30.9% 0.0% 2.3% 11.0% 1.5K -67.8K -993 0.34 89.99 N/A N/A 59 20 981 615 2014-08-25 $3.89 $5.00 81.2% 27.4% 72.0% 22.5% 0.0% -1.4% 37.9% 770 -33.6K -899 0.00 92.63 N/A N/A 5 0 1,032 635 2014-08-26 $3.94 $5.00 82.6% 27.2% 52.5% 23.6% 0.0% -9.2% 50.1% 724 -31.7K -838 1.20 92.36 N/A N/A 10 12 1,037 635 2014-08-27 $4.05 $5.00 94.0% 26.8% 50.0% 32.2% 0.0% -1.6% 25.2% 1.3K -55.9K -886 0.00 95.26 N/A N/A 0 0 1,047 647 2014-08-28 $4.15 $5.00 86.5% 27.0% 50.2% 26.6% 0.0% 0.0% 30.1% 1.4K -63.8K -843 0.00 92.39 N/A N/A 15 0 1,047 647 2014-08-29 $4.06 $5.00 82.1% 27.0% 50.2% 23.2% 0.0% -1.7% 24.3% 1.5K -56.1K -904 10.00 89.32 N/A N/A 1 10 1,052 647
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