CAMT Options History — September 2016 In September 2016, CAMT traded between $2.50 and $2.99. ATM implied volatility averaged 84.2%, placing in the 27.8% IV rank vs the trailing year. The 30-day expected move averaged 21.0%. IV traded above realized volatility by 58.0% (HV 20d: 26.2%). Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.56.
Notable Days 2016-09-29 : Highest Volume — 218 contracts2016-09-12 : Largest IV spike — 269.6% change2016-09-12 : Highest IV Rank — 81.1%2016-09-28 : Largest Expected Move — 35.8%Monthly Statistics Metric Avg Min Max Open Close Price $2.72 $2.50 $2.99 $2.52 $2.98 ATM IV 84.2% 41.0% 167.0% 78.9% 99.2% Expected Move 21.0% 11.8% 35.8% 22.6% 28.5% HV 20d 26.2% 22.7% 31.6% 31.5% 23.7% HV 60d 38.6% 32.8% 40.8% 40.8% 32.8% IV Rank 27.8% 0.0% 81.1% 24.3% 37.5% IV Percentile 42.7% 0.0% 97.2% 42.9% 57.9% Term Structure -27.0% -95.5% 34.2% -29.6% -48.9% Bid-Ask Spread % 123.31 42.96 161.09 142.38 148.84 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX 262 30 674 259 674 Net DEX -17.2K -53.0K -1.5K -10.8K -52.9K Net VEX -50 -126 -6 -36 -126 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.56 0.00 9.00 0.00 0.41 Total Volume 47.286 6 218 6 218 Total OI 117.333 75 305 75 305
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 2016-09-01 $2.52 $0.00 78.9% 22.6% 31.5% 24.3% 0.0% 0.0% -29.6% 259 -10.8K -36 0.00 142.38 N/A N/A 6 0 75 0 2016-09-02 $2.54 $0.00 41.0% 11.8% 31.6% 0.0% 0.0% 0.0% -8.7% 289 -11.1K -36 0.00 44.74 N/A N/A 6 0 75 0 2016-09-06 $2.55 $0.00 112.8% 19.1% 31.4% 46.2% 0.0% 0.0% 6.1% 236 -11.5K -35 0.00 126.37 N/A N/A 6 0 75 0 2016-09-07 $2.55 $0.00 113.8% 13.0% 31.2% 46.8% 0.0% 0.0% 34.2% 222 -11.6K -35 0.00 149.44 N/A N/A 6 0 75 0 2016-09-08 $2.56 $0.00 49.5% 15.4% 28.5% 5.5% 0.0% 0.0% 5.5% 287 -10.7K -35 0.00 161.09 N/A N/A 6 0 75 0 2016-09-09 $2.51 $0.00 45.2% 12.5% 26.8% 2.7% 0.0% 0.0% 7.2% 313 -10.9K -34 0.00 89.61 N/A N/A 6 0 75 0 2016-09-12 $2.53 $0.00 167.0% 25.3% 25.5% 81.1% 0.0% 0.0% -14.5% 228 -10.9K -34 0.00 128.82 N/A N/A 9 0 75 0 2016-09-13 $2.50 $0.00 82.9% 13.4% 25.6% 26.9% 0.0% 0.0% 15.4% 290 -11.6K -35 0.00 102.93 N/A N/A 9 0 79 0 2016-09-14 $2.58 $0.00 41.9% 12.0% 24.1% 0.6% 0.0% 0.0% -38.1% 31 -1.5K -6 0.00 134.72 N/A N/A 9 0 79 0 2016-09-15 $2.62 $0.00 77.1% 22.1% 24.3% 23.2% 0.0% 0.0% -19.4% 272 -13.3K -37 0.00 149.56 N/A N/A 7 0 84 0 2016-09-16 $2.65 $0.00 43.0% 12.3% 22.7% 1.2% 0.0% 0.0% -3.8% 589 -13.9K -34 0.00 42.96 N/A N/A 7 0 84 0 2016-09-19 $2.69 $0.00 78.5% 22.5% 23.0% 24.2% 0.0% 0.0% -20.6% 30 -21.5K -6 0.00 125.08 N/A N/A 7 0 84 0 2016-09-20 $2.78 $0.00 66.5% 19.1% 25.2% 16.4% 0.0% 0.0% 11.8% 246 -15.8K -35 0.00 125.33 N/A N/A 7 0 84 0 2016-09-21 $2.86 $0.00 65.4% 18.7% 26.7% 15.7% 0.0% 0.0% -48.8% 244 -17.0K -35 9.00 107.87 N/A N/A 7 63 84 0 2016-09-22 $2.91 $0.00 86.5% 24.8% 26.6% 29.2% 0.0% 0.0% -82.2% 112 -17.8K -63 7.00 161.04 N/A N/A 9 63 84 63 2016-09-23 $2.97 $0.00 90.9% 26.1% 25.7% 32.1% 0.0% 0.0% -69.2% 146 -16.2K -76 7.00 147.72 N/A N/A 9 63 86 63 2016-09-26 $2.99 $0.00 90.5% 25.9% 22.8% 31.8% 0.0% 0.0% -32.4% 155 -16.2K -77 3.00 116.27 N/A N/A 21 63 86 63 2016-09-27 $2.93 $0.00 109.7% 31.5% 24.7% 44.2% 0.0% 0.0% -55.8% 149 -15.3K -79 3.00 125.22 N/A N/A 21 63 90 63 2016-09-28 $2.98 $0.00 124.8% 35.8% 24.6% 53.9% 0.0% 0.0% -95.5% 150 -17.1K -78 3.00 103.69 N/A N/A 21 63 90 63 2016-09-29 $2.97 $0.00 102.6% 29.4% 23.8% 39.6% 0.0% 0.0% -80.2% 589 -53.0K -114 0.41 155.88 N/A N/A 155 63 242 63 2016-09-30 $2.98 $0.00 99.2% 28.5% 23.7% 37.5% 0.0% 0.0% -48.9% 674 -52.9K -126 0.41 148.84 N/A N/A 155 63 242 63
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