CAMT Options History — September 2014 In September 2014, CAMT traded between $3.47 and $4.43. ATM implied volatility averaged 89.1%, placing in the 28.5% IV rank vs the trailing year. The 30-day expected move averaged 23.7%. IV traded above realized volatility by 33.5% (HV 20d: 55.6%). Max pain ranged from $2.50 to $5.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 9.29.
Notable Days 2014-09-29 : Highest Volume — 1,593 contracts2014-09-10 : Largest IV spike — 40.7% change2014-09-10 : Highest IV Rank — 48.2%2014-09-02 : Largest Expected Move — 27.5%Monthly Statistics Metric Avg Min Max Open Close Price $3.85 $3.47 $4.43 $4.15 $3.93 Max Pain $3.10 $2.50 $5.00 $5.00 $2.50 ATM IV 89.1% 72.1% 115.1% 80.5% 72.1% Expected Move 23.7% 18.5% 27.5% 27.5% 21.1% HV 20d 55.6% 48.6% 63.9% 48.6% 55.1% HV 60d 114.9% 71.7% 118.1% 116.0% 71.7% IV Rank 28.5% 15.7% 48.2% 22.0% 15.7% IV Percentile 25.7% 5.4% 57.6% 14.0% 5.4% Term Structure -20.2% -44.6% 5.5% 5.5% -3.6% VWIV 92.3% 78.4% 104.3% 95.4% 78.4% Skew 25d 1.6% -8.1% 9.0% -1.4% 7.3% Skew 10d 18.6% 0.2% 32.5% 26.3% 17.9% Call IV 25d 82.1% 68.0% 94.9% 94.0% 68.0% Put IV 25d 83.7% 75.2% 96.0% 92.5% 75.3% Bid-Ask Spread % 92.24 55.52 105.77 90.97 93.61 Gamma HHI 0.46 0.36 0.66 0.36 0.66 Net GEX 205 -4.1K 2.0K 798 -4.1K Net DEX 4.4K -104.5K 118.3K -48.5K 104.1K Net VEX -1.0K -1.9K -617 -817 -1.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 9.29 0.00 105.20 0.13 8.92 Total Volume 185.762 0 1,593 17 496 Total OI 2,224.143 1,706 3,953 1,709 3,953
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 2014-09-02 $4.15 $5.00 80.5% 27.5% 48.6% 22.0% 0.0% -1.4% 5.5% 798 -48.5K -817 0.13 90.97 N/A N/A 15 2 1,052 657 2014-09-03 $4.26 $5.00 103.7% 27.4% 49.0% 39.5% 95.4% 2.7% -2.1% 1.8K -78.3K -947 0.07 90.60 N/A N/A 41 3 1,049 657 2014-09-04 $4.43 $5.00 101.3% 26.4% 48.6% 37.8% 0.0% -8.1% -9.5% 2.0K -104.5K -926 0.83 90.08 N/A N/A 48 40 1,074 660 2014-09-05 $4.20 $5.00 103.4% 27.0% 53.8% 39.3% 94.6% 2.8% -12.0% 1.7K -69.5K -911 0.00 94.75 N/A N/A 50 0 1,114 700 2014-09-08 $4.01 $5.00 77.6% 26.7% 57.2% 19.8% 104.3% 4.2% -10.3% 749 -20.4K -810 0.00 83.48 N/A N/A 74 0 1,089 700 2014-09-09 $3.93 $2.50 81.8% 26.5% 57.9% 23.0% 0.0% -3.1% -4.1% 877 -38.8K -877 0.00 93.97 N/A N/A 5 0 1,154 700 2014-09-10 $4.15 $2.50 115.1% 26.3% 60.4% 48.2% 92.0% -7.5% -0.4% 1.1K -59.6K -920 0.17 94.17 N/A N/A 276 46 1,149 700 2014-09-11 $4.03 $2.50 94.9% 27.1% 61.5% 32.9% 89.9% -4.2% 1.9% 1.1K -46.6K -934 24.00 88.78 N/A N/A 1 24 1,302 746 2014-09-12 $3.95 $2.50 96.2% 26.7% 60.7% 33.8% 91.8% 5.7% -1.2% 884 -27.6K -880 0.11 93.10 N/A N/A 18 2 1,302 770 2014-09-15 $3.73 $2.50 83.1% 25.0% 63.9% 24.0% 0.0% -7.3% -36.6% 826 -3.3K -784 2.00 55.52 N/A N/A 1 2 1,315 772 2014-09-16 $3.68 $2.50 102.4% 19.7% 63.5% 38.6% 0.0% 3.1% -39.8% 769 -1.9K -781 0.00 85.94 N/A N/A 0 0 1,315 774 2014-09-17 $3.73 $2.50 85.7% 20.1% 63.5% 26.0% 0.0% 5.7% -32.4% 816 -3.2K -769 0.00 97.64 N/A N/A 0 0 1,315 774 2014-09-18 $3.68 $2.50 80.9% 23.5% 63.4% 22.3% 0.0% 7.6% -30.0% 772 3.0K -765 0.00 100.10 N/A N/A 9 0 1,315 774 2014-09-19 $3.62 $2.50 86.2% 23.8% 53.3% 26.3% 0.0% 3.1% -34.2% 701 14.1K -721 0.13 101.81 N/A N/A 15 2 1,306 774 2014-09-22 $3.47 $2.50 80.8% 23.3% 54.7% 22.2% 0.0% 3.0% -39.7% 513 37.7K -617 25.64 98.98 N/A N/A 39 1,000 1,036 701 2014-09-23 $3.47 $2.50 87.5% 21.8% 50.9% 27.3% 78.4% 0.8% -44.6% -1.5K 118.3K -1.3K 0.00 100.77 N/A N/A 45 0 1,061 1,701 2014-09-24 $3.55 $2.50 83.8% 18.5% 51.5% 24.5% 0.0% 0.1% -34.6% -1.5K 93.5K -1.4K 0.00 96.16 N/A N/A 20 0 1,100 1,701 2014-09-25 $3.58 $2.50 83.3% 19.8% 50.4% 24.1% 0.0% 3.6% -34.0% -1.3K 73.7K -1.4K 0.00 101.69 N/A N/A 0 0 1,120 1,701 2014-09-26 $3.61 $2.50 82.5% 18.9% 49.4% 23.5% 0.0% 9.0% -33.2% -1.3K 78.9K -1.4K 0.10 105.77 N/A N/A 31 3 1,120 1,701 2014-09-29 $3.68 $2.50 88.7% 20.1% 49.9% 28.2% 0.0% 5.7% -29.2% -1.2K 71.9K -1.4K 105.20 79.11 N/A N/A 15 1,578 1,099 1,704 2014-09-30 $3.93 $2.50 72.1% 21.1% 55.1% 15.7% 0.0% 7.3% -3.6% -4.1K 104.1K -1.9K 8.92 93.61 N/A N/A 50 446 1,084 2,869
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