CAR Options History — January 2007

In January 2007, CAR traded between $22.13 and $25.46. ATM implied volatility averaged 28.2%. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 12.1% (HV 20d: 16.1%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.66.

Notable Days

  • 2007-01-17: Highest Volume — 1,756 contracts
  • 2007-01-11: Largest IV spike — 38.0% change
  • 2007-01-31: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.59$22.13$25.46$22.13$25.46
Max Pain$19.88$17.50$20.00$20.00$20.00
ATM IV28.2%20.7%33.2%22.4%33.2%
Expected Move8.5%6.4%9.5%6.4%9.5%
HV 20d16.1%14.6%17.2%14.9%16.8%
Term Structure-2.1%-5.9%6.5%6.5%-5.8%
VWIV29.6%22.4%33.2%22.4%33.2%
Skew 25d2.9%-1.5%6.5%3.6%2.3%
Skew 10d3.4%-3.1%6.7%6.0%-0.1%
Call IV 25d25.7%21.8%29.3%26.9%26.6%
Put IV 25d28.6%26.4%30.5%30.5%28.9%
Bid-Ask Spread %17.818.1931.8214.078.19
Gamma HHI0.580.450.760.640.60
Net GEX313.4K176.7K538.1K360.6K221.3K
Net DEX-12.7M-20.4M-8.7M-8.7M-14.2M
Net VEX-59.6K-61.3K-55.1K-60.0K-60.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.022.080.020.36
Total Volume409.95181,756673380
Total OI11,188.059,36613,74810,74410,816

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-01-03$22.13$20.0022.4%6.4%0.0%0.0%22.4%3.6%6.5%360.6K-8.7M-60.0K0.0214.07661128,1022,642
2007-01-04$22.14$20.0022.4%6.4%0.0%0.0%22.4%2.1%6.4%470.6K-9.3M-61.0K0.4215.9448208,6772,648
2007-01-05$22.25$20.0022.2%8.4%0.0%0.0%31.7%2.9%-1.4%486.0K-9.5M-61.0K0.1831.8257108,6902,656
2007-01-08$22.28$20.0024.1%8.2%0.0%0.0%28.6%3.0%-0.5%500.9K-9.7M-60.1K2.0023.546128,7252,654
2007-01-09$22.59$20.0022.9%8.2%0.0%0.0%28.9%2.5%-0.6%538.1K-11.0M-59.6K2.0519.47831708,7042,664
2007-01-10$23.12$20.0020.7%8.3%0.0%0.0%27.8%3.3%-0.6%484.4K-13.2M-59.0K0.1429.84252358,7632,829
2007-01-11$23.16$20.0028.5%8.2%0.0%0.0%27.4%2.3%-0.2%464.1K-13.4M-58.8K0.1127.65175208,7812,864
2007-01-12$23.09$20.0029.5%8.5%0.0%0.0%32.2%2.8%-1.7%516.6K-13.2M-59.5K0.4826.753781808,8872,884
2007-01-16$23.31$17.5030.9%8.8%0.0%0.0%29.2%3.1%-2.6%308.8K-16.4M-56.0K0.0216.95845159,6353,001
2007-01-17$23.78$20.0031.3%9.0%0.0%0.0%31.4%1.6%-4.8%213.1K-19.2M-55.1K0.0412.631,6966010,3673,012
2007-01-18$24.18$20.0030.6%8.8%0.0%0.0%30.6%1.8%-4.2%185.3K-20.4M-57.8K1.9913.8611422710,6953,053
2007-01-19$23.97$20.0030.4%8.7%0.0%0.0%30.5%1.7%-3.5%189.6K-17.2M-60.3K1.3814.511111539,6863,280
2007-01-22$23.93$20.0030.3%8.7%0.0%0.0%30.4%4.3%-3.0%176.7K-10.1M-60.3K0.7911.992291806,8172,549
2007-01-23$23.86$20.0029.6%8.5%0.0%0.0%29.7%4.6%-3.9%182.2K-10.1M-61.2K2.0815.74711486,9422,648
2007-01-24$24.16$20.0030.1%8.6%0.0%0.0%30.1%6.5%-4.3%180.1K-10.6M-60.4K0.0918.42310296,9902,725
2007-01-25$24.23$20.0030.7%8.8%14.9%0.0%30.7%5.4%-4.1%190.8K-10.8M-61.3K0.2219.47132297,0982,718
2007-01-26$24.22$20.0029.3%8.4%14.6%0.0%29.3%5.5%-3.3%197.8K-10.9M-60.7K0.2518.71186477,1752,732
2007-01-29$24.98$20.0033.0%9.5%17.2%0.0%33.0%-0.4%-5.9%187.0K-12.6M-59.1K0.288.516011667,3122,762
2007-01-30$25.01$20.0032.7%9.4%16.8%0.0%32.7%-1.5%-5.3%214.8K-13.1M-60.0K0.308.20270817,7562,822
2007-01-31$25.46$20.0033.2%9.5%16.8%0.0%33.2%2.3%-5.8%221.3K-14.2M-60.1K0.368.192801007,9502,866