CAMT Options History — November 2016

In November 2016, CAMT traded between $2.84 and $3.00. ATM implied volatility averaged 73.7%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 19.8%. IV traded above realized volatility by 46.3% (HV 20d: 27.4%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.37.

Notable Days

2016-11-07: Highest Volume — 161 contracts
2016-11-15: Largest IV spike — 52.6% change
2016-11-03: Highest IV Rank — 38.1%
2016-11-30: Largest Expected Move — 27.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2.95	$2.84	$3.00	$2.98	$3.00
Max Pain	$2.50	$2.50	$2.50	$2.50	$2.50
ATM IV	73.7%	44.2%	100.2%	86.5%	94.2%
Expected Move	19.8%	11.5%	27.0%	24.8%	27.0%
HV 20d	27.4%	19.6%	32.2%	29.9%	19.6%
HV 60d	26.7%	25.3%	29.4%	28.9%	25.3%
IV Rank	21.0%	2.0%	38.1%	29.3%	34.2%
IV Percentile	32.8%	3.2%	58.7%	46.4%	52.8%
Term Structure	-20.8%	-61.4%	19.6%	-7.6%	-37.4%
VWIV	84.5%	76.8%	92.2%	76.8%	92.2%
Bid-Ask Spread %	86.46	28.76	127.72	118.08	126.79
Gamma HHI	0.70	0.50	1.00	1.00	0.57
Net GEX	254	-145	765	595	-68
Net DEX	-35.0K	-57.1K	-3.3K	-48.3K	-3.3K
Net VEX	-74	-107	-53	-81	-61
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.37	0.64	3.71	3.71	1.00
Total Volume	131.095	80	161	80	126
Total OI	248.476	142	320	270	142

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
2016-11-01	$2.98	$2.50	86.5%	24.8%	29.9%	29.3%	76.8%	0.0%	-7.6%	595	-48.3K	-81	3.71	118.08	N/A	N/A	17	63	207	63
2016-11-02	$2.91	$2.50	93.3%	26.8%	31.1%	33.7%	92.2%	0.0%	-22.1%	712	-43.8K	-87	3.71	126.28	N/A	N/A	17	63	207	63
2016-11-03	$2.84	$0.00	100.2%	17.0%	32.0%	38.1%	0.0%	0.0%	-6.1%	765	-40.5K	-90	3.71	126.26	N/A	N/A	17	63	207	63
2016-11-04	$2.86	$0.00	55.5%	11.5%	32.2%	9.3%	0.0%	0.0%	-2.4%	632	-48.1K	-74	3.71	28.76	N/A	N/A	17	63	207	63
2016-11-07	$2.92	$0.00	65.4%	12.4%	31.1%	15.7%	0.0%	0.0%	-3.8%	478	-50.9K	-65	0.64	93.12	N/A	N/A	98	63	207	63
2016-11-08	$2.94	$0.00	83.7%	18.1%	31.0%	27.5%	0.0%	0.0%	-36.7%	515	-53.2K	-76	0.64	53.07	N/A	N/A	98	63	257	63
2016-11-09	$2.94	$0.00	64.2%	18.4%	30.9%	14.9%	0.0%	0.0%	1.9%	736	-49.2K	-107	0.64	127.72	N/A	N/A	98	63	257	63
2016-11-10	$2.90	$0.00	78.6%	22.5%	30.5%	24.2%	0.0%	0.0%	-37.3%	757	-45.4K	-92	0.64	122.04	N/A	N/A	98	63	257	63
2016-11-11	$2.93	$0.00	70.5%	20.2%	29.1%	19.0%	0.0%	0.0%	-1.0%	655	-49.4K	-81	0.64	110.46	N/A	N/A	98	63	257	63
2016-11-14	$2.97	$0.00	54.3%	15.6%	28.2%	8.5%	0.0%	0.0%	-33.0%	-58	-55.5K	-68	0.64	57.34	N/A	N/A	98	63	257	63
2016-11-15	$2.95	$0.00	82.8%	23.7%	28.2%	26.9%	0.0%	0.0%	-33.5%	13	-56.1K	-83	0.64	111.81	N/A	N/A	98	63	257	63
2016-11-16	$2.95	$0.00	79.9%	22.9%	26.9%	25.0%	0.0%	0.0%	-37.9%	-145	-56.2K	-53	0.64	113.00	N/A	N/A	98	63	257	63
2016-11-17	$2.96	$0.00	57.5%	16.5%	26.8%	10.6%	0.0%	0.0%	-28.1%	-79	-57.1K	-65	0.91	35.48	N/A	N/A	69	63	257	63
2016-11-18	$2.93	$0.00	74.2%	21.3%	26.6%	21.4%	0.0%	0.0%	-25.9%	-12	-52.7K	-72	0.93	112.45	N/A	N/A	68	63	251	63
2016-11-21	$2.99	$0.00	44.2%	12.7%	26.3%	2.0%	0.0%	0.0%	19.6%	-91	-4.3K	-59	1.00	46.97	N/A	N/A	63	63	79	63
2016-11-22	$3.00	$0.00	66.2%	19.0%	23.4%	16.2%	0.0%	0.0%	-17.2%	12	-4.5K	-71	1.00	45.13	N/A	N/A	63	63	79	63
2016-11-23	$2.99	$0.00	68.2%	19.5%	23.5%	17.5%	0.0%	0.0%	-19.0%	-37	-3.7K	-64	1.00	85.88	N/A	N/A	63	63	79	63
2016-11-25	$2.97	$0.00	78.1%	22.4%	23.5%	23.9%	0.0%	0.0%	-22.9%	-7	-3.8K	-66	1.00	84.94	N/A	N/A	63	63	79	63
2016-11-28	$2.99	$0.00	69.9%	20.0%	23.5%	18.6%	0.0%	0.0%	-61.4%	-20	-3.9K	-64	1.00	45.25	N/A	N/A	63	63	79	63
2016-11-29	$2.98	$0.00	80.4%	23.0%	21.7%	25.3%	0.0%	0.0%	-24.7%	-11	-4.1K	-65	1.00	44.84	N/A	N/A	63	63	79	63
2016-11-30	$3.00	$0.00	94.2%	27.0%	19.6%	34.2%	0.0%	0.0%	-37.4%	-68	-3.3K	-61	1.00	126.79	N/A	N/A	63	63	79	63