CAMT Options History — January 2017

In January 2017, CAMT traded between $3.25 and $3.42. ATM implied volatility averaged 91.2%, placing in the 32.3% IV rank vs the trailing year. The 30-day expected move averaged 23.6%. IV traded above realized volatility by 61.8% (HV 20d: 29.4%). 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 3 of 20 days. Put/call ratio averaged 0.76.

Notable Days

2017-01-24: Highest Volume — 233 contracts
2017-01-23: Largest IV spike — 63.3% change
2017-01-09: Highest IV Rank — 53.4%
2017-01-30: Largest Expected Move — 33.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3.32	$3.25	$3.42	$3.29	$3.30
Max Pain	$2.50	$2.50	$2.50	$2.50	$2.50
ATM IV	91.2%	54.5%	124.1%	102.4%	88.4%
Expected Move	23.6%	12.4%	33.6%	29.4%	25.3%
HV 20d	29.4%	25.8%	33.4%	31.6%	29.4%
HV 60d	30.4%	29.1%	31.0%	29.8%	29.1%
IV Rank	32.3%	8.7%	53.4%	39.5%	30.5%
IV Percentile	49.2%	8.7%	79.4%	61.1%	46.8%
Term Structure	-19.1%	-39.2%	22.7%	-12.3%	-31.7%
VWIV	83.8%	31.0%	123.6%	51.4%	101.8%
Bid-Ask Spread %	86.34	17.94	118.97	115.17	77.38
Gamma HHI	0.75	0.52	0.85	0.76	0.61
Net GEX	486	338	760	379	616
Net DEX	-25.1K	-50.9K	-13.6K	-13.6K	-46.3K
Net VEX	-116	-151	-82	-98	-108
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.76	0.37	1.02	1.02	0.38
Total Volume	161.35	125	233	125	229
Total OI	393.7	361	469	361	469

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
2017-01-03	$3.29	$0.00	102.4%	29.4%	31.6%	39.5%	0.0%	0.0%	-12.3%	379	-13.6K	-98	1.02	115.17	N/A	N/A	62	63	298	63
2017-01-04	$3.42	$0.00	90.2%	25.9%	30.7%	31.6%	0.0%	0.0%	22.7%	547	-18.9K	-137	1.02	111.22	N/A	N/A	62	63	301	63
2017-01-05	$3.33	$2.50	105.3%	18.9%	32.7%	41.4%	51.4%	0.0%	-0.3%	430	-16.2K	-109	0.97	116.60	N/A	N/A	65	63	301	63
2017-01-06	$3.27	$2.50	93.0%	12.4%	33.4%	33.4%	31.0%	0.0%	20.1%	347	-16.6K	-101	0.97	29.67	N/A	N/A	65	63	307	63
2017-01-09	$3.32	$2.50	124.1%	25.9%	32.5%	53.4%	96.4%	0.0%	-35.3%	498	-19.0K	-142	0.97	118.97	N/A	N/A	65	63	307	63
2017-01-10	$3.38	$2.50	122.1%	19.1%	31.6%	52.1%	45.9%	0.0%	15.7%	543	-21.6K	-138	0.98	115.39	N/A	N/A	64	63	307	63
2017-01-11	$3.39	$2.50	54.5%	15.6%	29.5%	8.7%	55.3%	0.0%	-2.7%	493	-20.2K	-121	0.89	31.05	N/A	N/A	71	63	307	63
2017-01-12	$3.28	$2.50	61.8%	17.7%	30.6%	13.4%	72.7%	0.0%	-21.0%	379	-16.5K	-112	0.89	28.21	N/A	N/A	71	63	307	63
2017-01-13	$3.34	$2.50	63.8%	18.3%	25.8%	14.6%	74.0%	0.0%	-35.2%	338	-15.8K	-83	0.89	73.05	N/A	N/A	71	63	307	63
2017-01-17	$3.27	$2.50	76.0%	21.8%	27.0%	22.5%	97.5%	0.0%	-35.5%	434	-17.7K	-125	0.89	73.42	N/A	N/A	71	63	307	63
2017-01-18	$3.28	$2.50	91.6%	26.3%	26.9%	32.5%	88.7%	0.0%	-35.9%	389	-15.9K	-100	0.89	101.68	N/A	N/A	71	63	307	63
2017-01-19	$3.25	$2.50	90.1%	25.8%	26.6%	31.6%	94.7%	0.0%	-35.1%	408	-16.5K	-113	0.89	118.06	N/A	N/A	71	63	307	63
2017-01-20	$3.29	$2.50	59.1%	16.9%	26.9%	11.6%	60.2%	0.0%	-7.5%	364	-16.9K	-104	0.89	17.94	N/A	N/A	71	63	307	63
2017-01-23	$3.35	$2.50	96.6%	27.7%	27.5%	35.7%	97.0%	0.0%	-16.9%	507	-19.7K	-133	0.89	117.29	N/A	N/A	71	63	307	63
2017-01-24	$3.40	$2.50	100.6%	28.8%	27.9%	38.3%	100.9%	0.0%	-32.4%	559	-21.3K	-130	0.37	117.28	N/A	N/A	170	63	307	63
2017-01-25	$3.36	$2.50	105.0%	30.1%	28.4%	41.1%	109.0%	0.0%	-35.9%	760	-50.9K	-151	0.37	117.71	N/A	N/A	170	63	406	63
2017-01-26	$3.30	$2.50	105.7%	30.3%	29.2%	41.6%	111.0%	0.0%	-37.4%	717	-48.0K	-142	0.37	117.45	N/A	N/A	170	63	406	63
2017-01-27	$3.33	$2.50	75.7%	21.7%	29.3%	22.3%	97.4%	0.0%	-26.6%	510	-46.9K	-90	0.37	32.02	N/A	N/A	170	63	406	63
2017-01-30	$3.30	$2.50	117.2%	33.6%	29.4%	49.0%	123.6%	0.0%	-39.2%	508	-42.9K	-82	0.37	97.21	N/A	N/A	170	63	406	63
2017-01-31	$3.30	$2.50	88.4%	25.3%	29.4%	30.5%	101.8%	0.0%	-31.7%	616	-46.3K	-108	0.38	77.38	N/A	N/A	166	63	406	63