CAMT Options History — December 2016 In December 2016, CAMT traded between $2.83 and $3.29. ATM implied volatility averaged 91.6%, placing in the 32.6% IV rank vs the trailing year. The 30-day expected move averaged 21.1%. IV traded above realized volatility by 57.5% (HV 20d: 34.1%). Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.98.
Notable Days 2016-12-14 : Highest Volume — 236 contracts2016-12-13 : Largest IV drop — 46.8% change2016-12-08 : Highest IV Rank — 65.0%2016-12-01 : Largest Expected Move — 28.3%Monthly Statistics Metric Avg Min Max Open Close Price $3.14 $2.83 $3.29 $2.98 $3.25 ATM IV 91.6% 59.6% 142.0% 98.6% 94.9% Expected Move 21.1% 14.1% 28.3% 28.3% 27.2% HV 20d 34.1% 17.7% 38.8% 17.7% 37.9% HV 60d 29.5% 25.4% 31.1% 25.4% 29.8% IV Rank 32.6% 12.0% 65.0% 37.0% 34.7% IV Percentile 48.2% 14.3% 88.5% 57.1% 53.6% Term Structure -12.8% -31.9% 16.6% -22.3% -9.7% Bid-Ask Spread % 97.54 34.78 123.76 87.72 118.44 Gamma HHI 0.64 0.50 0.79 0.52 0.78 Net GEX 175 -166 447 -30 447 Net DEX -9.4K -16.6K -3.4K -3.6K -15.8K Net VEX -96 -163 -48 -63 -146 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.98 0.36 1.09 1.00 1.07 Total Volume 134.19 121 236 126 122 Total OI 251.952 142 361 142 361
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 2016-12-01 $2.98 $0.00 98.6% 28.3% 17.7% 37.0% 0.0% 0.0% -22.3% -30 -3.6K -63 1.00 87.72 N/A N/A 63 63 79 63 2016-12-02 $2.83 $0.00 97.5% 28.0% 24.3% 36.4% 0.0% 0.0% -11.2% 10 -3.4K -73 1.00 121.56 N/A N/A 63 63 79 63 2016-12-05 $2.96 $0.00 109.1% 14.1% 29.1% 43.8% 0.0% 0.0% -30.9% -166 -3.4K -48 1.00 82.33 N/A N/A 63 63 79 63 2016-12-06 $3.01 $0.00 126.0% 18.1% 28.7% 54.7% 0.0% 0.0% 4.4% -10 -3.8K -67 1.00 123.76 N/A N/A 63 63 79 63 2016-12-07 $3.06 $0.00 102.8% 14.4% 29.2% 39.7% 0.0% 0.0% -25.5% -20 -5.0K -61 1.00 74.37 N/A N/A 63 63 79 63 2016-12-08 $3.00 $0.00 142.0% 20.7% 30.2% 65.0% 0.0% 0.0% -11.2% 28 -4.4K -76 1.00 98.51 N/A N/A 63 63 79 63 2016-12-09 $3.09 $0.00 123.3% 15.4% 31.3% 52.9% 0.0% 0.0% -9.2% 11 -5.3K -68 1.00 101.51 N/A N/A 63 63 79 63 2016-12-12 $3.20 $0.00 112.0% 14.6% 33.2% 45.7% 0.0% 0.0% -0.6% 46 -6.9K -81 1.00 101.99 N/A N/A 63 63 79 63 2016-12-13 $3.29 $0.00 59.6% 17.1% 34.1% 12.0% 0.0% 0.0% -10.6% -53 -7.1K -53 1.00 79.65 N/A N/A 63 63 79 63 2016-12-14 $3.14 $0.00 67.5% 19.3% 38.6% 17.0% 0.0% 0.0% -22.0% 34 -6.1K -75 0.36 84.41 N/A N/A 173 63 79 63 2016-12-15 $3.17 $0.00 80.3% 23.0% 38.6% 25.3% 0.0% 0.0% -7.5% 380 -16.0K -163 0.36 121.82 N/A N/A 173 63 248 63 2016-12-16 $3.15 $0.00 60.7% 17.4% 38.8% 12.6% 0.0% 0.0% -31.9% 361 -16.6K -160 1.09 34.78 N/A N/A 58 63 248 63 2016-12-19 $3.20 $0.00 83.8% 24.0% 38.7% 27.5% 0.0% 0.0% -8.8% 188 -10.0K -75 1.09 119.22 N/A N/A 58 63 298 63 2016-12-20 $3.22 $0.00 65.3% 18.7% 38.2% 15.6% 0.0% 0.0% -2.3% 310 -11.9K -108 1.09 101.85 N/A N/A 58 63 298 63 2016-12-21 $3.22 $0.00 66.4% 19.0% 38.3% 16.3% 0.0% 0.0% -2.9% 276 -11.3K -94 1.09 36.38 N/A N/A 58 63 298 63 2016-12-22 $3.23 $0.00 81.8% 23.5% 38.2% 26.3% 0.0% 0.0% -29.6% 435 -15.4K -149 1.09 118.64 N/A N/A 58 63 298 63 2016-12-23 $3.23 $0.00 83.3% 23.9% 38.0% 27.2% 0.0% 0.0% -3.9% 413 -14.2K -136 1.09 122.78 N/A N/A 58 63 298 63 2016-12-27 $3.23 $0.00 90.0% 25.8% 38.0% 31.5% 0.0% 0.0% -20.9% 387 -13.8K -117 1.09 100.32 N/A N/A 58 63 298 63 2016-12-28 $3.22 $0.00 92.5% 26.5% 38.0% 33.1% 0.0% 0.0% -29.8% 344 -12.8K -105 1.09 103.06 N/A N/A 58 63 298 63 2016-12-29 $3.25 $0.00 87.1% 25.0% 38.1% 29.6% 0.0% 0.0% 16.6% 290 -11.5K -90 1.07 115.19 N/A N/A 59 63 298 63 2016-12-30 $3.25 $0.00 94.9% 27.2% 37.9% 34.7% 0.0% 0.0% -9.7% 447 -15.8K -146 1.07 118.44 N/A N/A 59 63 298 63
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