CAMT Options History — March 2017

In March 2017, CAMT traded between $3.55 and $4.05. ATM implied volatility averaged 105.7%, placing in the 42.0% IV rank vs the trailing year. The 30-day expected move averaged 23.0%. IV traded above realized volatility by 75.3% (HV 20d: 30.4%). Max pain ranged from $2.50 to $5.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 0.30.

Notable Days

  • 2017-03-02: Highest Volume — 393 contracts
  • 2017-03-24: Largest IV spike — 161.3% change
  • 2017-03-08: Highest IV Rank — 91.0%
  • 2017-03-03: Largest Expected Move — 40.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.78$3.55$4.05$3.55$3.74
Max Pain$4.46$2.50$5.00$2.50$5.00
ATM IV105.7%37.9%182.4%130.0%122.0%
Expected Move23.0%10.9%40.5%37.3%35.0%
HV 20d30.4%23.3%45.5%45.5%34.5%
HV 60d35.2%33.6%37.6%37.6%35.7%
IV Rank42.0%0.0%91.0%57.3%53.1%
IV Percentile59.4%0.0%99.2%88.5%82.5%
Term Structure-21.6%-57.3%20.9%-57.3%-42.6%
VWIV68.3%37.6%130.0%130.0%57.1%
Bid-Ask Spread %77.3728.28120.08115.6072.16
Gamma HHI0.990.971.000.970.98
Net GEX3.5K2.3K4.7K2.8K3.4K
Net DEX-103.3K-150.3K-69.2K-119.8K-69.2K
Net VEX-529-646-316-561-478
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.300.191.020.221.02
Total Volume322129393353129
Total OI1,111.9571,0081,1951,1951,081

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-03-01$3.55$2.50130.0%37.3%45.5%57.3%130.0%0.0%-57.3%2.8K-119.8K-5610.22115.60N/AN/A289641,13164
2017-03-02$3.55$2.50127.6%36.6%33.2%55.7%0.0%0.0%-40.2%2.8K-111.9K-5700.19113.14N/AN/A329641,10664
2017-03-03$3.60$2.50141.4%40.5%23.5%64.6%0.0%0.0%-51.6%2.8K-116.2K-5650.19116.09N/AN/A329641,07164
2017-03-06$3.58$0.00161.5%23.7%23.3%77.6%0.0%0.0%-11.3%2.6K-98.6K-4630.19120.08N/AN/A329641,07164
2017-03-07$3.55$0.00121.1%19.7%23.3%51.5%0.0%0.0%-30.4%2.3K-87.0K-3820.1930.89N/AN/A329641,07164
2017-03-08$3.70$0.00182.4%23.6%27.9%91.0%0.0%0.0%-10.0%3.1K-120.7K-5740.2098.22N/AN/A314641,07164
2017-03-09$3.76$0.00124.5%18.0%28.1%53.7%0.0%0.0%-27.5%3.3K-111.5K-4930.20116.44N/AN/A314641,07164
2017-03-10$3.80$0.00129.9%15.0%25.9%57.2%0.0%0.0%-9.2%3.0K-90.9K-3160.2074.09N/AN/A314641,07164
2017-03-13$3.96$0.00148.1%14.4%29.6%68.9%0.0%0.0%6.1%4.2K-129.4K-5830.2096.32N/AN/A315641,07164
2017-03-14$3.90$0.00175.7%16.7%28.8%86.6%0.0%0.0%-22.9%3.9K-130.5K-5470.20117.05N/AN/A315641,07664
2017-03-15$3.96$0.0054.3%15.6%27.8%8.5%0.0%0.0%-16.1%3.6K-118.6K-4810.2073.31N/AN/A315641,04264
2017-03-16$4.05$0.0062.6%18.0%28.6%13.9%65.5%0.0%-14.5%4.2K-149.7K-6460.2128.28N/AN/A316651,04264
2017-03-17$4.03$5.0045.7%13.1%28.7%3.0%37.6%0.0%8.5%4.7K-150.3K-6400.2176.29N/AN/A316651,04365
2017-03-20$4.00$5.0048.8%14.0%28.4%5.0%0.0%0.0%20.9%4.2K-105.9K-6170.5676.79N/AN/A1176594365
2017-03-21$3.90$5.0058.0%16.6%28.5%10.9%51.3%0.0%-19.5%3.7K-97.3K-5490.3473.19N/AN/A1926594465
2017-03-22$3.76$5.0064.9%18.6%31.5%15.4%57.1%0.0%-21.7%3.6K-87.9K-5460.3471.64N/AN/A192651,04465
2017-03-23$3.85$5.0037.9%10.9%32.3%0.0%0.0%0.0%-4.3%3.9K-86.3K-5530.3468.81N/AN/A192651,04465
2017-03-24$3.74$5.0099.0%28.4%33.5%38.5%0.0%0.0%-36.9%3.4K-77.2K-4820.3429.20N/AN/A192651,04465
2017-03-27$3.72$5.00113.2%32.4%33.6%47.5%0.0%0.0%-36.5%3.4K-83.5K-5310.3473.86N/AN/A192651,04465
2017-03-28$3.80$5.0064.1%18.4%34.1%16.5%0.0%0.0%-6.8%3.7K-87.5K-5550.3030.18N/AN/A219651,04465
2017-03-29$3.74$5.0098.8%28.3%34.8%38.4%0.0%0.0%-31.6%3.4K-72.7K-5060.3031.93N/AN/A219651,01665
2017-03-30$3.73$5.00120.0%34.4%34.8%51.8%0.0%0.0%-41.3%3.4K-72.8K-5190.3075.96N/AN/A219651,01665
2017-03-31$3.74$5.00122.0%35.0%34.5%53.1%0.0%0.0%-42.6%3.4K-69.2K-4781.0272.16N/AN/A64651,01665