CAMT Options History — November 2015

In November 2015, CAMT traded between $2.40 and $2.53. ATM implied volatility averaged 61.1%, placing in the 13.1% IV rank vs the trailing year. The 30-day expected move averaged 17.6%. IV traded above realized volatility by 37.6% (HV 20d: 23.5%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.44.

Notable Days

2015-11-19: Highest Volume — 97 contracts
2015-11-30: Largest IV spike — 120.1% change
2015-11-13: Highest IV Rank — 47.7%
2015-11-13: Largest Expected Move — 32.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2.46	$2.40	$2.53	$2.44	$2.47
Max Pain	$2.50	$2.50	$2.50	$2.50	$2.50
ATM IV	61.1%	44.8%	111.6%	45.9%	103.0%
Expected Move	17.6%	13.2%	32.0%	13.2%	29.5%
HV 20d	23.5%	19.4%	28.4%	28.4%	25.4%
HV 60d	33.2%	32.1%	34.0%	33.9%	32.8%
IV Rank	13.1%	1.9%	47.7%	2.7%	41.8%
IV Percentile	22.1%	0.8%	91.7%	1.2%	86.5%
Term Structure	-0.4%	-70.5%	28.8%	-4.5%	-9.3%
VWIV	58.7%	55.4%	62.0%	58.7%	62.0%
Bid-Ask Spread %	87.27	49.10	146.00	60.36	146.00
Gamma HHI	0.98	0.70	1.00	1.00	0.70
Net GEX	-62.8K	-129.4K	290	-65.5K	28
Net DEX	990.9K	-9.6K	2.2M	1.0M	-5.8K
Net VEX	-975	-2.0K	-32	-2.0K	-53
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.44	0.06	16.00	0.06	2.13
Total Volume	52.6	0	97	73	0
Total OI	6,982.65	77	9,278	9,276	109

Daily Data (20 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
2015-11-02	$2.44	$2.50	45.9%	13.2%	28.4%	2.7%	58.7%	0.0%	-4.5%	-65.5K	1.0M	-2.0K	0.06	60.36	N/A	N/A	69	4	219	9,057
2015-11-03	$2.42	$2.50	46.4%	13.3%	27.7%	3.0%	55.4%	0.0%	24.4%	-101.8K	1.4M	-1.8K	0.06	93.84	N/A	N/A	69	4	219	9,057
2015-11-04	$2.44	$2.50	48.7%	14.0%	27.8%	4.5%	62.0%	0.0%	-8.0%	-65.8K	1.0M	-1.9K	0.06	107.36	N/A	N/A	69	4	219	9,059
2015-11-05	$2.43	$0.00	64.5%	14.7%	24.1%	15.4%	0.0%	0.0%	28.8%	-60.4K	1.1M	-1.9K	0.06	63.63	N/A	N/A	69	4	219	9,059
2015-11-06	$2.44	$0.00	44.8%	15.8%	24.1%	1.9%	0.0%	0.0%	-4.7%	-96.4K	1.3M	-1.8K	0.00	64.95	N/A	N/A	0	0	219	9,059
2015-11-09	$2.46	$0.00	54.4%	16.3%	23.9%	8.5%	0.0%	0.0%	-2.4%	-111.1K	1.2M	-1.6K	0.00	65.02	N/A	N/A	0	0	219	9,059
2015-11-10	$2.42	$0.00	53.0%	16.6%	24.2%	7.5%	0.0%	0.0%	0.2%	-93.2K	1.4M	-1.4K	0.06	68.72	N/A	N/A	69	4	219	9,059
2015-11-11	$2.47	$0.00	52.7%	15.1%	23.1%	7.3%	0.0%	0.0%	17.2%	-80.2K	1.1M	-1.5K	0.06	49.10	N/A	N/A	69	4	219	9,059
2015-11-12	$2.46	$0.00	55.9%	16.0%	21.2%	9.5%	0.0%	0.0%	12.4%	-84.3K	1.2M	-1.4K	0.06	65.30	N/A	N/A	69	4	219	9,059
2015-11-13	$2.47	$0.00	111.6%	32.0%	21.2%	47.7%	0.0%	0.0%	-70.5%	-80.2K	1.1M	-1.3K	0.06	100.98	N/A	N/A	69	4	219	9,059
2015-11-16	$2.43	$0.00	52.2%	15.0%	20.3%	6.9%	0.0%	0.0%	3.3%	-94.8K	1.3M	-925	0.00	78.91	N/A	N/A	0	0	219	9,059
2015-11-17	$2.43	$0.00	58.7%	16.8%	19.4%	11.4%	0.0%	0.0%	10.5%	-94.9K	1.3M	-805	0.06	111.22	N/A	N/A	69	4	219	9,059
2015-11-18	$2.46	$0.00	65.9%	18.9%	19.7%	16.3%	0.0%	0.0%	-17.4%	-98.5K	1.2M	-699	0.06	90.04	N/A	N/A	69	4	219	9,059
2015-11-19	$2.40	$0.00	56.2%	16.1%	21.1%	9.7%	0.0%	0.0%	2.3%	-129.4K	1.8M	-305	0.41	59.34	N/A	N/A	69	28	219	9,059
2015-11-20	$2.49	$0.00	49.5%	14.2%	24.4%	5.1%	0.0%	0.0%	14.0%	290	2.2M	-32	0.41	90.14	N/A	N/A	69	28	219	9,033
2015-11-23	$2.53	$0.00	50.7%	14.5%	24.3%	5.9%	0.0%	0.0%	10.2%	256	-9.6K	-33	16.00	100.66	N/A	N/A	2	32	77	0
2015-11-24	$2.51	$0.00	87.9%	25.2%	22.6%	31.4%	0.0%	0.0%	-30.0%	180	-5.7K	-55	0.00	137.96	N/A	N/A	0	0	77	32
2015-11-25	$2.52	$0.00	73.3%	21.0%	22.3%	21.4%	0.0%	0.0%	11.2%	234	-5.8K	-55	2.13	125.69	N/A	N/A	15	32	77	32
2015-11-27	$2.44	$0.00	46.8%	13.4%	25.2%	3.3%	0.0%	0.0%	3.7%	143	-5.6K	-54	2.13	66.11	N/A	N/A	15	32	77	32
2015-11-30	$2.47	$0.00	103.0%	29.5%	25.4%	41.8%	0.0%	0.0%	-9.3%	28	-5.8K	-53	0.00	146.00	N/A	N/A	0	0	77	32