CAMT Options History — March 2016 In March 2016, CAMT traded between $1.93 and $2.14. ATM implied volatility averaged 108.8%, placing in the 44.4% IV rank vs the trailing year. The 30-day expected move averaged 30.8%. IV traded above realized volatility by 62.2% (HV 20d: 46.6%). Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 1.80.
Notable Days 2016-03-23 : Highest Volume — 59 contracts2016-03-04 : Largest IV spike — 139.7% change2016-03-31 : Highest IV Rank — 72.4%2016-03-31 : Largest Expected Move — 43.3%Monthly Statistics Metric Avg Min Max Open Close Price $2.03 $1.93 $2.14 $1.95 $2.04 ATM IV 108.8% 45.6% 151.0% 110.9% 151.0% Expected Move 30.8% 13.1% 43.3% 31.8% 43.3% HV 20d 46.6% 40.7% 52.3% 44.3% 48.6% HV 60d 44.2% 41.9% 47.0% 41.9% 47.0% IV Rank 44.4% 2.4% 72.4% 45.8% 72.4% IV Percentile 71.7% 2.4% 95.6% 81.3% 95.6% Term Structure -38.5% -109.2% 38.9% -52.4% -78.9% Bid-Ask Spread % 126.88 69.80 169.40 134.17 87.58 Gamma HHI 0.97 0.64 1.00 0.98 0.92 Net GEX -28 -71 5 -36 -7 Net DEX 3.5K 2.0K 5.1K 3.5K 2.6K Net VEX -18 -23 -7 -17 -22 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.80 1.19 2.46 2.46 1.19 Total Volume 51 45 59 45 59 Total OI 59.909 53 69 53 69
Daily Data (22 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 2016-03-01 $1.95 $0.00 110.9% 31.8% 44.3% 45.8% 0.0% 0.0% -52.4% -36 3.5K -17 2.46 134.17 N/A N/A 13 32 21 32 2016-03-02 $1.98 $0.00 110.6% 31.7% 43.7% 45.6% 0.0% 0.0% -25.4% -40 4.5K -14 2.46 125.34 N/A N/A 13 32 21 32 2016-03-03 $2.00 $0.00 58.8% 29.5% 43.6% 11.1% 0.0% 0.0% -39.4% -36 3.3K -18 2.46 134.18 N/A N/A 13 32 21 32 2016-03-04 $2.11 $0.00 140.9% 27.1% 46.2% 65.8% 0.0% 0.0% -15.8% -51 3.3K -19 2.46 139.49 N/A N/A 13 32 21 32 2016-03-07 $2.14 $0.00 105.9% 24.3% 45.2% 42.5% 0.0% 0.0% -40.9% -71 4.1K -17 1.88 132.71 N/A N/A 17 32 21 32 2016-03-08 $2.09 $0.00 122.9% 34.1% 40.7% 53.7% 0.0% 0.0% -66.8% -33 5.1K -11 1.88 169.40 N/A N/A 17 32 27 32 2016-03-09 $2.04 $0.00 95.5% 27.4% 40.8% 35.5% 0.0% 0.0% -5.8% -35 3.5K -18 1.88 120.66 N/A N/A 17 32 27 32 2016-03-10 $1.99 $0.00 112.4% 32.2% 42.5% 46.8% 0.0% 0.0% -49.1% -30 3.7K -16 1.88 133.28 N/A N/A 17 32 27 32 2016-03-11 $2.06 $0.00 108.6% 31.1% 43.5% 44.3% 0.0% 0.0% -6.2% -32 3.5K -18 1.88 111.29 N/A N/A 17 32 27 32 2016-03-14 $2.10 $0.00 98.1% 28.1% 40.9% 37.3% 0.0% 0.0% -35.7% -46 3.4K -19 1.88 154.34 N/A N/A 17 32 27 32 2016-03-15 $2.00 $0.00 148.7% 42.6% 45.4% 70.9% 0.0% 0.0% -42.0% -31 3.4K -18 1.88 131.89 N/A N/A 17 32 27 32 2016-03-16 $1.93 $0.00 108.3% 31.1% 47.5% 44.1% 0.0% 0.0% -50.5% 5 4.7K -7 1.88 155.91 N/A N/A 17 32 27 32 2016-03-17 $2.00 $0.00 108.2% 31.0% 48.4% 44.0% 0.0% 0.0% -64.9% -30 3.8K -16 1.88 142.17 N/A N/A 17 32 27 32 2016-03-18 $2.06 $0.00 131.4% 37.7% 49.2% 59.4% 0.0% 0.0% -43.8% -25 2.3K -20 1.88 136.27 N/A N/A 17 32 27 32 2016-03-21 $2.02 $0.00 98.5% 28.2% 49.9% 37.5% 0.0% 0.0% -9.6% -31 3.2K -17 1.88 69.80 N/A N/A 17 32 27 32 2016-03-22 $2.07 $0.00 68.9% 19.8% 50.3% 17.9% 0.0% 0.0% -33.2% -33 3.3K -18 1.88 132.92 N/A N/A 17 32 27 32 2016-03-23 $1.97 $0.00 147.0% 42.2% 51.5% 69.8% 0.0% 0.0% -77.8% -27 4.1K -14 1.19 109.83 N/A N/A 27 32 27 32 2016-03-24 $2.04 $0.00 45.6% 13.1% 52.3% 2.4% 0.0% 0.0% -7.7% -10 3.0K -22 1.19 134.43 N/A N/A 27 32 37 32 2016-03-28 $1.99 $0.00 98.8% 28.3% 51.7% 37.7% 0.0% 0.0% 38.9% -2 2.0K -23 1.19 119.84 N/A N/A 27 32 37 32 2016-03-29 $2.02 $0.00 71.5% 20.5% 49.2% 19.6% 0.0% 0.0% -30.6% -11 3.0K -21 1.19 112.43 N/A N/A 27 32 37 32 2016-03-30 $2.02 $0.00 150.5% 43.1% 48.8% 72.1% 0.0% 0.0% -109.2% -9 3.1K -20 1.19 103.36 N/A N/A 27 32 37 32 2016-03-31 $2.04 $0.00 151.0% 43.3% 48.6% 72.4% 0.0% 0.0% -78.9% -7 2.6K -22 1.19 87.58 N/A N/A 27 32 37 32
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