CAMT Options History — February 2020

In February 2020, CAMT traded between $10.31 and $12.16. ATM implied volatility averaged 54.8%, placing in the 33.8% IV rank vs the trailing year. The 30-day expected move averaged 14.7%. IV traded above realized volatility by 7.9% (HV 20d: 46.8%). Max pain ranged from $9.83 to $10.00. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 2.23.

Notable Days

2020-02-24: Highest Volume — 490 contracts
2020-02-12: Largest IV drop — 29.8% change
2020-02-28: Highest IV Rank — 50.6%
2020-02-28: Largest Expected Move — 20.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.62	$10.31	$12.16	$11.73	$10.31
Max Pain	$9.97	$9.83	$10.00	$9.83	$10.00
ATM IV	54.8%	39.8%	70.1%	51.8%	70.1%
Expected Move	14.7%	11.4%	20.1%	14.9%	20.1%
HV 20d	46.8%	36.1%	56.8%	56.2%	41.6%
HV 60d	38.0%	36.4%	40.6%	39.6%	40.4%
IV Rank	33.8%	17.3%	50.6%	30.5%	50.6%
IV Percentile	83.8%	39.3%	98.4%	84.9%	98.4%
Term Structure	-4.5%	-13.9%	1.3%	-7.8%	-9.5%
VWIV	53.7%	29.7%	149.3%	51.4%	32.6%
Skew 25d	7.6%	-12.0%	24.4%	-11.3%	19.4%
Skew 10d	16.1%	-21.0%	61.0%	-17.7%	4.0%
Call IV 25d	45.8%	33.3%	58.6%	54.4%	46.6%
Put IV 25d	53.4%	35.1%	72.7%	43.1%	66.0%
Bid-Ask Spread %	85.19	44.49	98.75	89.55	98.75
Gamma HHI	0.41	0.22	0.75	0.26	0.74
Net GEX	929	-14.4K	36.6K	-372	-14.4K
Net DEX	15.7K	-234.0K	580.4K	-33.2K	580.4K
Net VEX	-3.1K	-4.2K	-2.4K	-3.2K	-4.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.23	0.00	23.18	1.00	23.18
Total Volume	82.158	3	490	20	5
Total OI	6,322.053	1,545	8,008	7,811	2,137

Daily Data (19 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
2020-02-03	$11.73	$9.83	51.8%	14.9%	56.2%	30.5%	51.4%	-11.3%	-7.8%	-372	-33.2K	-3.2K	1.00	89.55	N/A	N/A	10	10	1,029	6,782
2020-02-04	$11.91	$9.83	54.4%	15.6%	56.2%	33.3%	54.2%	8.0%	-11.6%	1.9K	-82.9K	-3.2K	0.00	93.31	N/A	N/A	12	0	1,031	6,782
2020-02-05	$12.16	$9.83	59.1%	16.9%	56.2%	38.5%	58.8%	17.6%	-13.9%	5.6K	-166.0K	-3.2K	0.71	91.26	N/A	N/A	21	15	1,039	6,782
2020-02-06	$12.06	$10.00	63.4%	13.3%	56.3%	43.2%	46.5%	19.6%	-2.3%	687	-137.9K	-3.3K	0.08	88.20	N/A	N/A	37	3	1,059	6,791
2020-02-07	$11.93	$10.00	62.1%	13.5%	56.5%	41.8%	29.7%	16.1%	-2.8%	3.8K	-97.7K	-3.2K	0.00	88.14	N/A	N/A	53	0	1,062	6,794
2020-02-10	$11.74	$10.00	61.8%	13.4%	56.8%	41.5%	0.0%	5.2%	-1.3%	2.7K	-64.2K	-3.1K	0.00	92.84	N/A	N/A	35	0	1,098	6,794
2020-02-11	$11.90	$10.00	70.1%	13.6%	56.7%	50.5%	149.3%	15.0%	-1.9%	447	-128.9K	-3.2K	0.19	84.57	N/A	N/A	21	4	1,127	6,794
2020-02-12	$11.87	$10.00	49.2%	14.1%	42.8%	27.6%	0.0%	7.1%	-4.4%	3.8K	-147.6K	-2.9K	0.00	93.76	N/A	N/A	3	0	1,127	6,798
2020-02-13	$11.72	$10.00	47.2%	13.5%	42.4%	25.5%	0.0%	10.5%	-4.0%	4.3K	-23.5K	-3.0K	0.00	94.23	N/A	N/A	30	0	1,130	6,798
2020-02-14	$12.01	$10.00	51.2%	14.7%	42.7%	29.8%	51.2%	17.0%	-5.4%	6.0K	-195.9K	-2.9K	0.00	46.03	N/A	N/A	19	0	1,118	6,798
2020-02-18	$11.97	$10.00	52.6%	15.1%	42.6%	31.4%	0.0%	19.4%	-5.1%	5.4K	-175.6K	-2.9K	0.00	54.91	N/A	N/A	9	0	1,118	6,798
2020-02-19	$12.14	$10.00	54.9%	15.8%	37.9%	33.9%	54.2%	-12.0%	-7.4%	9.6K	-234.0K	-2.8K	0.00	44.49	N/A	N/A	78	0	1,119	6,808
2020-02-20	$12.04	$10.00	39.8%	11.4%	36.1%	17.3%	39.9%	-11.2%	1.3%	36.6K	-216.3K	-2.6K	0.04	94.80	N/A	N/A	368	14	1,175	6,808
2020-02-21	$12.03	$10.00	41.0%	11.8%	36.2%	18.7%	41.0%	-12.0%	0.8%	-2.2K	-64.0K	-2.6K	0.08	91.36	N/A	N/A	25	2	1,190	6,818
2020-02-24	$11.06	$10.00	51.0%	14.6%	45.4%	29.7%	46.2%	5.7%	-2.6%	-6.6K	202.4K	-2.4K	14.81	94.43	N/A	N/A	31	459	707	838
2020-02-25	$10.87	$10.00	52.1%	14.9%	42.4%	30.8%	47.8%	3.1%	-3.7%	-12.6K	398.5K	-3.7K	0.00	91.42	N/A	N/A	26	0	693	1,295
2020-02-26	$10.68	$10.00	52.3%	15.0%	42.5%	31.0%	48.5%	3.1%	-1.9%	-13.3K	429.0K	-3.6K	0.00	88.64	N/A	N/A	5	0	695	1,295
2020-02-27	$10.63	$10.00	56.9%	16.3%	42.4%	36.1%	32.6%	24.4%	-1.4%	-13.8K	456.2K	-3.5K	23.18	97.87	N/A	N/A	11	255	597	1,295
2020-02-28	$10.31	$10.00	70.1%	20.1%	41.6%	50.6%	0.0%	19.4%	-9.5%	-14.4K	580.4K	-4.2K	0.00	98.75	N/A	N/A	0	5	587	1,550