CAMT Options History — February 2016 In February 2016, CAMT traded between $1.73 and $1.96. ATM implied volatility averaged 124.4%, placing in the 54.7% IV rank vs the trailing year. The 30-day expected move averaged 32.1%. IV traded above realized volatility by 76.8% (HV 20d: 47.6%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.95.
Notable Days 2016-02-10 : Highest Volume — 106 contracts2016-02-19 : Largest IV spike — 90.4% change2016-02-08 : Highest IV Rank — 96.2%2016-02-01 : Largest Expected Move — 46.0%Monthly Statistics Metric Avg Min Max Open Close Price $1.85 $1.73 $1.96 $1.89 $1.91 Max Pain $2.50 $2.50 $2.50 $2.50 $2.50 ATM IV 124.4% 68.1% 186.8% 160.3% 112.4% Expected Move 32.1% 14.2% 46.0% 46.0% 32.2% HV 20d 47.6% 40.0% 52.3% 48.9% 44.7% HV 60d 39.0% 36.5% 41.6% 36.5% 41.6% IV Rank 54.7% 17.3% 96.2% 78.6% 46.8% IV Percentile 83.2% 36.5% 99.6% 98.4% 82.5% Term Structure -26.7% -78.7% 21.9% -69.5% -14.0% VWIV 127.5% 127.5% 127.5% 127.5% 127.5% Bid-Ask Spread % 129.82 103.46 158.84 158.84 140.66 Gamma HHI 0.95 0.82 1.00 0.90 0.96 Net GEX -35 -63 -21 -40 -32 Net DEX 3.9K 2.3K 6.0K 3.5K 3.4K Net VEX -13 -19 -4 -14 -17 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.95 0.43 2.46 0.51 2.46 Total Volume 84.75 45 106 95 45 Total OI 95.1 51 120 109 53
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 2016-02-01 $1.89 $2.50 160.3% 46.0% 48.9% 78.6% 0.0% 0.0% -69.5% -40 3.5K -14 0.51 158.84 N/A N/A 63 32 77 32 2016-02-02 $1.94 $2.50 127.5% 36.6% 50.3% 56.8% 127.5% 0.0% -78.7% -63 5.1K -9 0.51 135.73 N/A N/A 63 32 77 32 2016-02-03 $1.96 $2.50 86.9% 0.0% 49.8% 29.8% 0.0% 0.0% 0.0% -39 6.0K -4 0.51 157.77 N/A N/A 63 32 77 32 2016-02-04 $1.91 $0.00 139.8% 33.6% 50.4% 65.0% 0.0% 0.0% -27.4% -54 4.3K -12 0.51 142.60 N/A N/A 63 32 77 32 2016-02-05 $1.87 $0.00 167.8% 15.8% 49.6% 83.6% 0.0% 0.0% -13.2% -45 3.9K -13 0.51 132.11 N/A N/A 63 32 77 32 2016-02-08 $1.77 $0.00 186.8% 14.2% 52.3% 96.2% 0.0% 0.0% -2.5% -34 3.4K -12 0.51 119.85 N/A N/A 63 32 77 32 2016-02-09 $1.73 $0.00 147.5% 42.3% 49.8% 70.1% 0.0% 0.0% -66.3% -40 4.1K -9 0.51 132.00 N/A N/A 63 32 77 32 2016-02-10 $1.75 $0.00 123.8% 35.5% 49.7% 54.4% 0.0% 0.0% -3.5% -40 4.0K -10 0.43 117.29 N/A N/A 74 32 77 32 2016-02-11 $1.75 $0.00 68.1% 19.5% 49.6% 17.3% 0.0% 0.0% -19.1% -21 3.2K -15 0.43 121.83 N/A N/A 74 32 88 32 2016-02-12 $1.84 $0.00 109.1% 31.3% 51.9% 44.6% 0.0% 0.0% -37.3% -22 2.3K -19 0.43 143.52 N/A N/A 74 32 88 32 2016-02-16 $1.85 $0.00 124.0% 35.5% 51.4% 54.5% 0.0% 0.0% -12.8% -28 4.8K -10 0.43 125.01 N/A N/A 74 32 88 32 2016-02-17 $1.86 $0.00 140.6% 40.3% 48.4% 65.5% 0.0% 0.0% -26.1% -28 3.4K -16 0.43 141.31 N/A N/A 74 32 88 32 2016-02-18 $1.83 $0.00 69.3% 19.9% 47.5% 18.1% 0.0% 0.0% -30.4% -30 3.9K -14 0.43 121.02 N/A N/A 74 32 88 32 2016-02-19 $1.83 $0.00 131.9% 37.8% 46.1% 59.7% 0.0% 0.0% -23.7% -28 3.8K -14 0.43 103.46 N/A N/A 74 32 88 32 2016-02-22 $1.82 $0.00 104.7% 30.0% 45.1% 41.6% 0.0% 0.0% 21.9% -29 3.5K -16 1.68 138.64 N/A N/A 19 32 19 32 2016-02-23 $1.82 $0.00 143.4% 41.1% 44.3% 67.4% 0.0% 0.0% -34.3% -28 3.8K -14 1.68 113.78 N/A N/A 19 32 19 32 2016-02-24 $1.91 $0.00 99.4% 28.5% 40.0% 38.1% 0.0% 0.0% -32.7% -30 2.9K -18 1.68 120.54 N/A N/A 19 32 19 32 2016-02-25 $1.88 $0.00 104.9% 30.1% 40.4% 41.8% 0.0% 0.0% -17.0% -34 4.5K -12 2.46 104.10 N/A N/A 13 32 19 32 2016-02-26 $1.82 $0.00 139.0% 39.9% 41.3% 64.5% 0.0% 0.0% -20.3% -27 4.2K -12 2.46 126.28 N/A N/A 13 32 21 32 2016-02-29 $1.91 $0.00 112.4% 32.2% 44.7% 46.8% 0.0% 0.0% -14.0% -32 3.4K -17 2.46 140.66 N/A N/A 13 32 21 32
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