CAMT Options History — May 2016 In May 2016, CAMT traded between $1.86 and $2.23. ATM implied volatility averaged 106.5%, placing in the 42.9% IV rank vs the trailing year. The 30-day expected move averaged 28.7%. IV traded above realized volatility by 36.5% (HV 20d: 70.0%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.99.
Notable Days 2016-05-02 : Highest Volume — 55 contracts2016-05-05 : Largest IV spike — 148.0% change2016-05-31 : Highest IV Rank — 85.8%2016-05-31 : Largest Expected Move — 49.0%Monthly Statistics Metric Avg Min Max Open Close Price $1.93 $1.86 $2.23 $2.10 $1.92 Max Pain $2.50 $2.50 $2.50 $2.50 $2.50 ATM IV 106.5% 52.7% 171.0% 83.0% 171.0% Expected Move 28.7% 15.1% 49.0% 23.8% 49.0% HV 20d 70.0% 49.3% 77.8% 49.6% 64.0% HV 60d 54.3% 46.6% 56.7% 46.9% 53.2% IV Rank 42.9% 7.1% 85.8% 27.2% 85.8% IV Percentile 67.0% 11.5% 98.8% 55.2% 98.8% Term Structure -22.5% -80.6% 86.7% -14.0% -52.6% VWIV 91.1% 52.7% 123.3% 97.5% 52.7% Bid-Ask Spread % 97.22 22.70 172.24 69.71 153.29 Gamma HHI 1.00 0.93 1.00 1.00 1.00 Net GEX 42 -2 56 -2 50 Net DEX 3.1K -1.8K 5.4K 2.9K -1.5K Net VEX -10 -19 -6 -19 -10 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.99 0.00 1.39 1.39 0.00 Total Volume 42.429 11 55 55 11 Total OI 59.857 27 73 73 27
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 2016-05-02 $2.10 $2.50 83.0% 23.8% 49.6% 27.2% 97.5% 0.0% -14.0% -2 2.9K -19 1.39 69.71 N/A N/A 23 32 41 32 2016-05-03 $2.10 $2.50 99.2% 28.4% 49.3% 38.0% 123.3% 0.0% -24.7% 0 2.9K -18 1.39 86.07 N/A N/A 23 32 41 32 2016-05-04 $2.23 $2.50 52.7% 15.1% 53.3% 7.1% 52.7% 0.0% 86.7% 53 4.9K -14 1.39 124.49 N/A N/A 23 32 41 32 2016-05-05 $1.91 $0.00 130.7% 37.5% 77.8% 58.9% 0.0% 0.0% -47.5% 38 5.2K -8 1.39 172.24 N/A N/A 23 32 41 32 2016-05-06 $1.90 $0.00 163.2% 22.5% 77.1% 80.5% 0.0% 0.0% -12.6% 50 5.0K -10 1.39 83.11 N/A N/A 23 32 41 32 2016-05-09 $1.87 $0.00 139.8% 24.7% 77.1% 65.0% 0.0% 0.0% -14.7% 48 5.1K -9 1.39 76.24 N/A N/A 23 32 41 32 2016-05-10 $1.92 $0.00 76.5% 21.9% 77.8% 22.9% 0.0% 0.0% -29.6% 35 5.3K -7 1.39 145.10 N/A N/A 23 32 41 32 2016-05-11 $1.91 $0.00 89.0% 25.5% 77.3% 31.2% 0.0% 0.0% -14.8% 52 5.1K -9 1.39 84.10 N/A N/A 23 32 41 32 2016-05-12 $1.86 $0.00 122.9% 35.2% 76.0% 53.8% 0.0% 0.0% -72.9% 47 4.9K -9 1.39 104.02 N/A N/A 23 32 41 32 2016-05-13 $1.88 $0.00 146.6% 42.0% 76.2% 69.5% 0.0% 0.0% -80.6% 48 5.1K -8 1.39 126.94 N/A N/A 23 32 41 32 2016-05-16 $1.89 $0.00 89.8% 25.8% 76.2% 31.8% 0.0% 0.0% -18.5% 43 4.7K -10 1.39 108.46 N/A N/A 23 32 41 32 2016-05-17 $1.89 $0.00 89.2% 25.6% 75.9% 31.4% 0.0% 0.0% 28.8% 50 5.0K -9 1.39 22.70 N/A N/A 23 32 41 32 2016-05-18 $1.87 $0.00 65.1% 18.7% 71.9% 15.3% 0.0% 0.0% -20.7% 48 4.8K -9 1.39 77.88 N/A N/A 23 32 41 32 2016-05-19 $1.87 $0.00 66.2% 19.0% 70.8% 16.1% 0.0% 0.0% -29.1% 48 5.1K -8 1.39 105.38 N/A N/A 23 32 41 32 2016-05-20 $1.86 $0.00 127.2% 36.5% 70.8% 56.6% 0.0% 0.0% -46.8% 29 5.4K -6 1.39 108.31 N/A N/A 23 32 41 32 2016-05-23 $1.86 $0.00 100.8% 28.9% 70.7% 39.1% 0.0% 0.0% 14.8% 44 -773 -8 0.00 34.73 N/A N/A 11 0 27 0 2016-05-24 $1.92 $0.00 104.3% 29.9% 71.6% 41.4% 0.0% 0.0% -22.0% 53 -1.2K -9 0.00 77.27 N/A N/A 11 0 27 0 2016-05-25 $1.90 $0.00 70.8% 20.3% 71.0% 19.1% 0.0% 0.0% -6.7% 50 -866 -8 0.00 29.73 N/A N/A 11 0 27 0 2016-05-26 $1.94 $0.00 130.6% 37.4% 69.7% 58.9% 0.0% 0.0% -69.2% 47 -1.8K -11 0.00 125.22 N/A N/A 11 0 27 0 2016-05-27 $1.94 $0.00 118.7% 34.0% 66.1% 51.0% 0.0% 0.0% -24.7% 56 -1.1K -9 0.00 126.58 N/A N/A 11 0 27 0 2016-05-31 $1.92 $0.00 171.0% 49.0% 64.0% 85.8% 0.0% 0.0% -52.6% 50 -1.5K -10 0.00 153.29 N/A N/A 11 0 27 0
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