CAMT Options History — July 2016 In July 2016, CAMT traded between $2.03 and $2.76. ATM implied volatility averaged 79.8%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 20.9%. IV traded above realized volatility by 31.2% (HV 20d: 48.6%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2016-07-27 : Highest Volume — 39 contracts2016-07-08 : Largest IV spike — 133.0% change2016-07-01 : Highest IV Rank — 72.0%2016-07-01 : Largest Expected Move — 43.9%Monthly Statistics Metric Avg Min Max Open Close Price $2.43 $2.03 $2.76 $2.07 $2.75 Max Pain $2.50 $2.50 $2.50 $2.50 $2.50 ATM IV 79.8% 49.7% 153.3% 153.3% 130.1% Expected Move 20.9% 13.9% 43.9% 43.9% 37.3% HV 20d 48.6% 34.7% 52.8% 38.3% 47.7% HV 60d 53.9% 50.7% 55.8% 51.4% 50.7% IV Rank 24.5% 4.9% 72.0% 72.0% 57.1% IV Percentile 38.1% 5.2% 94.4% 94.4% 82.5% Term Structure -3.7% -105.0% 67.0% -105.0% -68.1% VWIV 60.0% 23.5% 156.5% 52.8% 156.5% Bid-Ask Spread % 143.06 104.89 174.31 157.79 162.48 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX 123 34 261 63 179 Net DEX -4.6K -10.6K -679 -1.8K -10.4K Net VEX -15 -29 -6 -10 -29 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 18.6 11 39 11 39 Total OI 34.8 27 60 27 60
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 2016-07-01 $2.07 $0.00 153.3% 43.9% 38.3% 72.0% 0.0% 0.0% -105.0% 63 -1.8K -10 0.00 157.79 N/A N/A 11 0 27 0 2016-07-05 $2.03 $2.50 52.8% 15.1% 34.7% 7.0% 52.8% 0.0% 7.3% 34 -999 -7 0.00 164.93 N/A N/A 11 0 27 0 2016-07-06 $2.22 $2.50 71.5% 21.6% 47.4% 19.1% 41.0% 0.0% 14.4% 78 -2.2K -10 0.00 128.36 N/A N/A 12 0 27 0 2016-07-07 $2.15 $2.50 54.9% 15.8% 49.0% 8.4% 54.9% 0.0% 6.5% 81 -679 -6 0.00 174.31 N/A N/A 12 0 28 0 2016-07-08 $2.26 $2.50 128.0% 13.9% 51.9% 55.7% 39.2% 0.0% 6.6% 109 -2.2K -11 0.00 111.44 N/A N/A 12 0 28 0 2016-07-11 $2.35 $2.50 77.5% 22.2% 52.6% 23.0% 42.5% 0.0% 5.5% 81 -3.2K -12 0.00 157.55 N/A N/A 12 0 28 0 2016-07-12 $2.33 $2.50 129.0% 18.3% 52.8% 56.3% 44.6% 0.0% 10.0% 99 -3.1K -12 0.00 149.24 N/A N/A 12 0 28 0 2016-07-13 $2.32 $2.50 65.6% 18.8% 51.5% 15.2% 61.5% 0.0% 0.2% 98 -3.1K -12 0.00 104.89 N/A N/A 12 0 28 0 2016-07-14 $2.42 $2.50 61.1% 17.5% 51.4% 12.3% 53.9% 0.0% -1.7% 127 -2.9K -12 0.00 128.53 N/A N/A 12 0 28 0 2016-07-15 $2.40 $2.50 53.5% 15.3% 51.3% 7.4% 53.8% 0.0% 13.8% 112 -3.1K -12 0.00 122.61 N/A N/A 12 0 28 0 2016-07-18 $2.42 $2.50 59.8% 17.2% 50.1% 11.5% 61.7% 0.0% 0.0% 117 -3.2K -12 0.00 108.58 N/A N/A 12 0 28 0 2016-07-19 $2.45 $2.50 49.7% 14.2% 50.1% 4.9% 51.6% 0.0% -7.8% 130 -3.4K -12 0.00 130.81 N/A N/A 12 0 28 0 2016-07-20 $2.45 $2.50 70.5% 20.2% 50.1% 18.4% 63.4% 0.0% 10.3% 115 -3.5K -12 0.00 158.20 N/A N/A 12 0 28 0 2016-07-21 $2.56 $2.50 111.9% 32.1% 51.7% 45.3% 83.7% 0.0% -30.5% 80 -4.3K -12 0.00 173.59 N/A N/A 11 0 28 0 2016-07-22 $2.55 $2.50 69.5% 19.9% 51.9% 17.8% 54.4% 0.0% 17.9% 131 -3.8K -12 0.00 148.01 N/A N/A 30 0 28 0 2016-07-25 $2.67 $2.50 68.3% 19.6% 47.3% 17.0% 27.4% 0.0% 24.7% 160 -9.7K -25 0.00 167.35 N/A N/A 30 0 53 0 2016-07-26 $2.70 $2.50 53.7% 15.4% 47.0% 7.6% 23.5% 0.0% 67.0% 205 -9.5K -25 0.00 158.65 N/A N/A 30 0 53 0 2016-07-27 $2.76 $2.50 68.6% 19.7% 46.7% 17.2% 87.7% 0.0% -22.0% 199 -10.3K -25 0.00 129.97 N/A N/A 39 0 53 0 2016-07-28 $2.71 $2.50 66.8% 19.1% 47.9% 16.0% 86.3% 0.0% -19.8% 261 -10.6K -29 0.00 123.93 N/A N/A 39 0 60 0 2016-07-29 $2.75 $2.50 130.1% 37.3% 47.7% 57.1% 156.5% 0.0% -68.1% 179 -10.4K -29 0.00 162.48 N/A N/A 39 0 60 0
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