CAMT Options History — February 2015

In February 2015, CAMT traded between $3.00 and $3.33. ATM implied volatility averaged 72.6%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 20.4%. IV traded above realized volatility by 35.8% (HV 20d: 36.8%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 11 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 3.94.

Notable Days

2015-02-10: Highest Volume — 2,121 contracts
2015-02-26: Largest IV spike — 37.5% change
2015-02-10: Highest IV Rank — 37.5%
2015-02-27: Largest Expected Move — 25.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3.11	$3.00	$3.33	$3.23	$3.09
Max Pain	$2.50	$2.50	$2.50	$2.50	$2.50
ATM IV	72.6%	54.1%	102.6%	64.7%	88.2%
Expected Move	20.4%	15.5%	25.3%	18.5%	25.3%
HV 20d	36.8%	33.5%	44.9%	41.0%	33.9%
HV 60d	40.3%	34.9%	42.4%	42.4%	34.9%
IV Rank	15.5%	2.0%	37.5%	9.7%	26.9%
IV Percentile	19.2%	0.4%	61.1%	4.4%	48.0%
Term Structure	2.1%	-33.1%	23.7%	-8.8%	1.4%
VWIV	66.0%	48.3%	87.4%	75.2%	83.8%
Skew 25d	-1.0%	-2.3%	0.4%	-2.3%	0.4%
Skew 10d	-11.7%	-12.2%	-11.3%	-12.2%	-11.3%
Call IV 25d	76.4%	76.2%	76.6%	76.6%	76.2%
Put IV 25d	75.4%	74.3%	76.6%	74.3%	76.6%
Bid-Ask Spread %	75.95	8.99	113.64	89.22	112.98
Gamma HHI	0.70	0.50	0.98	0.87	0.50
Net GEX	-1.7K	-7.0K	688	-6.2K	531
Net DEX	-54.2K	-152.1K	141.9K	74.1K	-113.7K
Net VEX	-687	-1.8K	-76	-1.6K	-290
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.94	0.00	8.87	0.00	0.53
Total Volume	1,173.158	0	2,121	48	343
Total OI	3,293.158	2,402	4,272	4,141	2,520

Daily Data (19 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
2015-02-02	$3.23	$2.50	64.7%	18.5%	41.0%	9.7%	75.2%	0.0%	-8.8%	-6.2K	74.1K	-1.6K	0.00	89.22	N/A	N/A	48	0	920	3,221
2015-02-03	$3.25	$2.50	71.6%	20.5%	38.7%	14.8%	87.4%	-2.3%	-33.1%	158	-114.8K	-84	0.41	8.99	N/A	N/A	155	63	949	3,221
2015-02-04	$3.24	$2.50	67.7%	19.4%	37.9%	11.9%	77.8%	0.4%	2.4%	150	-122.4K	-76	0.41	9.80	N/A	N/A	155	63	969	3,221
2015-02-05	$3.33	$2.50	67.5%	23.2%	37.1%	11.8%	51.6%	0.0%	0.3%	-6.7K	92.4K	-1.6K	0.56	99.88	N/A	N/A	161	90	901	3,221
2015-02-06	$3.29	$2.50	66.2%	16.3%	36.8%	10.8%	66.1%	0.0%	-13.5%	-6.1K	102.3K	-1.7K	0.56	19.89	N/A	N/A	161	90	887	3,215
2015-02-09	$3.20	$2.50	86.0%	23.7%	38.2%	25.3%	0.0%	0.0%	10.4%	-6.6K	103.7K	-1.6K	0.31	98.37	N/A	N/A	292	90	912	3,215
2015-02-10	$3.00	$2.50	102.6%	20.8%	44.8%	37.5%	0.0%	0.0%	23.4%	-7.0K	141.9K	-1.8K	5.09	98.92	N/A	N/A	348	1,773	1,057	3,215
2015-02-11	$3.02	$2.50	87.7%	25.1%	44.9%	26.6%	0.0%	0.0%	0.2%	-2.6K	3.8K	-1.2K	6.09	101.10	N/A	N/A	291	1,773	1,130	1,856
2015-02-12	$3.01	$2.50	74.0%	21.2%	34.8%	16.5%	66.9%	0.0%	15.3%	-7	-135.5K	-199	6.09	46.34	N/A	N/A	291	1,773	1,117	1,856
2015-02-13	$3.08	$2.50	86.6%	24.8%	35.8%	25.8%	0.0%	0.0%	-14.2%	597	-147.0K	-167	6.16	100.94	N/A	N/A	288	1,773	1,117	1,856
2015-02-17	$3.10	$2.50	81.0%	23.2%	35.9%	21.6%	48.3%	0.0%	23.7%	661	-146.2K	-171	5.28	99.98	N/A	N/A	336	1,773	1,114	1,856
2015-02-18	$3.07	$2.50	65.3%	18.7%	35.1%	10.2%	54.1%	0.0%	15.1%	-2.4K	-24.5K	-1.1K	5.28	112.28	N/A	N/A	336	1,773	1,179	1,856
2015-02-19	$3.05	$2.50	57.8%	16.6%	34.6%	4.7%	0.0%	0.0%	19.0%	649	-151.6K	-226	0.00	95.28	N/A	N/A	0	0	1,179	1,856
2015-02-20	$3.07	$2.50	67.2%	19.3%	34.1%	11.6%	0.0%	0.0%	-16.2%	640	-152.1K	-228	0.00	99.09	N/A	N/A	4	0	1,179	1,856
2015-02-23	$3.03	$2.50	58.3%	16.7%	34.3%	5.0%	65.8%	0.0%	7.8%	688	-116.9K	-212	8.87	19.63	N/A	N/A	203	1,801	780	1,622
2015-02-24	$3.03	$2.50	54.1%	15.5%	33.9%	2.0%	56.4%	0.0%	23.5%	481	-107.9K	-278	8.87	21.86	N/A	N/A	203	1,801	785	1,720
2015-02-25	$3.02	$2.50	55.9%	16.0%	33.5%	3.3%	59.3%	0.0%	-3.0%	485	-107.0K	-276	8.46	94.94	N/A	N/A	213	1,801	785	1,720
2015-02-26	$3.06	$2.50	76.9%	22.0%	33.7%	18.7%	64.9%	0.0%	-13.4%	527	-108.8K	-266	8.04	113.64	N/A	N/A	224	1,801	787	1,720
2015-02-27	$3.09	$2.50	88.2%	25.3%	33.9%	26.9%	83.8%	0.0%	1.4%	531	-113.7K	-290	0.53	112.98	N/A	N/A	224	119	800	1,720