CAR Options History — February 2007

Name: CAR Options Analytics - February 2007
Creator: Options Analysis Suite

In February 2007, CAR traded between $25.84 and $27.40. ATM implied volatility averaged 30.9%. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 13.4% (HV 20d: 17.5%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 3.19.

Notable Days

2007-02-09: Highest Volume — 1,998 contracts
2007-02-07: Largest IV spike — 41.7% change
2007-02-20: Largest Expected Move — 10.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.85	$25.84	$27.40	$25.84	$26.56
Max Pain	$24.74	$20.00	$25.00	$20.00	$25.00
ATM IV	30.9%	22.7%	37.7%	32.7%	29.9%
Expected Move	8.5%	6.5%	10.4%	9.4%	8.6%
HV 20d	17.5%	15.5%	20.6%	16.6%	20.6%
Term Structure	-1.7%	-6.1%	10.0%	-5.7%	-3.0%
VWIV	29.3%	15.7%	35.2%	32.7%	32.8%
Skew 25d	3.2%	-6.1%	12.2%	5.8%	-6.1%
Skew 10d	1.3%	-9.6%	18.4%	3.8%	-9.6%
Call IV 25d	26.6%	16.2%	35.6%	25.3%	35.6%
Put IV 25d	29.8%	25.9%	36.1%	31.1%	29.5%
Bid-Ask Spread %	14.19	5.24	24.33	9.38	16.47
Gamma HHI	0.46	0.37	0.63	0.63	0.37
Net GEX	110.7K	7.8K	225.1K	225.1K	32.3K
Net DEX	-15.5M	-18.8M	-11.1M	-15.3M	-11.7M
Net VEX	-66.4K	-77.8K	-56.4K	-58.6K	-76.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.19	0.00	39.78	0.39	2.09
Total Volume	515.263	27	1,998	506	590
Total OI	12,750.526	11,062	15,062	11,062	12,608

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 Vol	Put Vol	Call OI	Put OI
2007-02-01	$25.84	$20.00	32.7%	9.4%	16.6%	0.0%	32.7%	5.8%	-5.7%	225.1K	-15.3M	-58.6K	0.39	9.38	364	142	8,171	2,891
2007-02-02	$26.30	$25.00	31.8%	7.5%	16.7%	0.0%	28.4%	-1.8%	0.4%	208.5K	-16.4M	-57.3K	0.62	12.19	202	125	8,322	2,953
2007-02-05	$26.75	$25.00	36.0%	8.2%	16.9%	0.0%	28.3%	-0.1%	-3.3%	192.6K	-17.4M	-56.4K	0.85	15.71	66	56	8,451	3,038
2007-02-06	$26.64	$25.00	26.6%	7.8%	17.4%	0.0%	27.2%	-0.8%	-0.2%	192.6K	-17.2M	-57.3K	2.03	13.96	229	464	8,493	3,083
2007-02-07	$26.86	$25.00	37.7%	7.9%	17.3%	0.0%	27.7%	-1.4%	-1.1%	181.7K	-17.5M	-57.1K	0.73	18.26	124	90	8,589	3,334
2007-02-08	$26.50	$25.00	28.6%	8.2%	18.1%	0.0%	28.6%	0.6%	-0.9%	189.2K	-16.9M	-59.6K	8.74	21.76	90	787	8,675	3,405
2007-02-09	$26.73	$25.00	32.0%	9.2%	18.0%	0.0%	32.0%	1.5%	-4.7%	126.8K	-16.9M	-61.4K	39.78	15.66	49	1,949	8,700	4,090
2007-02-12	$26.79	$25.00	33.0%	9.5%	17.7%	0.0%	32.5%	2.6%	-4.5%	42.5K	-16.3M	-64.3K	0.95	13.93	227	215	8,735	5,249
2007-02-13	$26.97	$25.00	32.7%	9.4%	17.7%	0.0%	31.1%	1.2%	-5.0%	13.2K	-17.0M	-62.4K	0.16	17.83	753	122	8,747	5,410
2007-02-14	$27.05	$25.00	32.6%	9.4%	17.1%	0.0%	33.5%	1.1%	-3.7%	52.2K	-18.1M	-68.7K	0.41	12.88	207	85	9,353	5,355
2007-02-15	$27.14	$25.00	33.1%	9.5%	16.6%	0.0%	31.7%	0.1%	-5.4%	60.5K	-18.4M	-69.6K	0.77	12.75	179	137	9,517	5,354
2007-02-16	$27.29	$25.00	31.8%	9.1%	15.7%	0.0%	30.8%	0.1%	-3.7%	75.7K	-18.8M	-69.0K	0.53	14.80	139	74	9,644	5,418
2007-02-20	$27.40	$25.00	36.2%	10.4%	15.5%	0.0%	35.2%	2.8%	-6.1%	84.4K	-12.8M	-68.7K	0.32	13.83	825	268	7,475	4,198
2007-02-21	$26.89	$25.00	29.6%	8.5%	17.7%	0.0%	28.2%	11.0%	-2.3%	66.5K	-12.5M	-74.6K	0.72	7.16	389	280	8,163	4,453
2007-02-22	$27.12	$25.00	22.7%	6.5%	17.5%	0.0%	15.7%	11.2%	10.0%	102.7K	-13.1M	-74.9K	0.00	12.23	27	0	8,243	4,362
2007-02-23	$27.40	$25.00	24.2%	6.9%	17.6%	0.0%	0.0%	12.2%	7.2%	124.9K	-13.6M	-74.8K	0.25	24.33	60	15	8,251	4,362
2007-02-26	$27.40	$25.00	25.1%	7.2%	17.5%	0.0%	19.6%	11.7%	5.3%	124.2K	-13.7M	-73.0K	0.24	5.24	51	12	8,244	4,359
2007-02-27	$26.45	$25.00	31.1%	8.9%	20.6%	0.0%	31.1%	9.1%	-5.1%	7.8K	-11.1M	-77.8K	0.97	11.21	202	196	8,205	4,360
2007-02-28	$26.56	$25.00	29.9%	8.6%	20.6%	0.0%	32.8%	-6.1%	-3.0%	32.3K	-11.7M	-76.8K	2.09	16.47	191	399	8,197	4,411