CAR Options History — March 2007

In March 2007, CAR traded between $25.41 and $27.94. ATM implied volatility averaged 24.2%. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 0.2% (HV 20d: 24.1%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 2.11.

Notable Days

  • 2007-03-15: Highest Volume — 3,364 contracts
  • 2007-03-30: Largest IV drop — 41.6% change
  • 2007-03-02: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.79$25.41$27.94$26.24$27.32
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV24.2%14.0%32.3%30.1%14.0%
Expected Move7.0%4.0%8.8%8.6%4.0%
HV 20d24.1%20.5%28.2%20.5%24.9%
HV 60d20.9%19.9%21.7%19.9%21.5%
Term Structure1.2%-5.1%15.3%-3.8%15.3%
VWIV24.6%14.6%30.6%30.6%14.6%
Skew 25d0.8%-9.9%10.4%5.0%1.9%
Skew 10d-0.4%-10.9%13.0%2.6%1.0%
Call IV 25d22.6%14.2%29.1%24.9%14.2%
Put IV 25d23.4%14.9%29.9%29.9%16.1%
Bid-Ask Spread %18.085.5531.0714.065.55
Gamma HHI0.340.250.520.400.27
Net GEX64.5K-164.2K189.9K-12.8K142.5K
Net DEX-12.0M-14.7M-8.2M-10.8M-14.6M
Net VEX-106.7K-125.4K-79.1K-79.1K-116.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.110.0012.719.860.10
Total Volume501.63673,364380426
Total OI16,663.31812,88319,83712,88318,389

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-03-01$26.24$25.0030.1%8.6%20.5%0.0%0.0%5.0%-3.8%-12.8K-10.8M-79.1K9.8614.06353458,1954,688
2007-03-02$25.69$25.0030.6%8.8%21.4%0.0%30.6%1.0%-5.1%-69.4K-9.3M-82.6K0.5513.4982458,2004,958
2007-03-05$25.41$25.0032.2%7.9%20.6%0.0%27.7%9.0%-0.4%-102.6K-8.2M-83.6K12.7115.261962,4918,2064,961
2007-03-06$25.84$25.0030.1%7.8%20.6%0.0%27.1%8.7%0.8%-117.1K-8.8M-102.1K9.7621.67292838,3287,400
2007-03-07$26.42$25.0032.3%7.5%22.2%0.0%0.0%1.0%0.5%-49.9K-10.5M-97.4K0.1522.84519798,3407,559
2007-03-08$26.44$25.0020.2%7.5%22.0%0.0%26.1%0.5%0.1%5.6K-10.8M-98.2K0.0022.461708,4167,628
2007-03-09$26.59$25.0020.1%7.4%21.6%0.0%25.8%0.6%0.8%44.0K-11.2M-97.6K0.0223.46468118,4317,627
2007-03-12$26.29$25.0022.5%7.4%21.7%0.0%25.3%8.5%1.0%27.5K-10.9M-102.3K0.179.49157268,7637,636
2007-03-13$25.82$25.0026.8%7.3%22.5%0.0%23.6%5.2%1.1%-164.2K-9.8M-105.5K0.409.0025108,8557,637
2007-03-14$25.91$25.0021.0%7.3%22.4%0.0%25.6%5.5%1.3%-13.0K-10.3M-103.1K0.8710.851641438,8637,646
2007-03-15$26.79$25.0026.2%7.5%25.6%0.0%28.4%-2.5%0.9%97.9K-12.4M-101.7K1.9123.321,1552,2098,9887,782
2007-03-16$26.63$25.0026.5%7.6%25.7%0.0%26.6%-3.3%1.1%100.4K-11.8M-125.4K7.3218.91221619,9029,935
2007-03-19$27.47$25.0025.4%7.3%28.0%0.0%23.9%2.9%3.3%149.8K-13.3M-118.3K0.2626.84215568,9798,336
2007-03-20$27.76$25.0024.3%7.0%28.2%0.0%0.0%1.9%-1.3%165.9K-14.0M-119.3K0.6931.07101709,1108,392
2007-03-21$27.94$25.0019.0%5.5%27.3%0.0%24.0%-8.4%-0.0%182.7K-14.7M-115.8K0.0712.82137109,1958,406
2007-03-22$27.81$25.0024.6%7.1%27.3%0.0%0.0%-7.4%-1.1%179.4K-14.3M-115.3K0.0718.646959,2478,406
2007-03-23$27.81$25.0019.4%5.6%27.1%0.0%24.0%-8.2%0.4%185.8K-14.4M-115.8K0.4815.2189439,2938,406
2007-03-26$27.66$25.0020.9%6.0%27.2%0.0%0.0%-9.1%-0.8%189.9K-14.1M-114.9K0.0515.6310359,3748,444
2007-03-27$27.55$25.0020.7%5.9%23.8%0.0%0.0%-9.9%-0.9%185.8K-14.0M-115.4K0.0024.89709,4418,444
2007-03-28$27.27$25.0022.0%6.3%24.1%0.0%15.9%10.4%11.3%166.3K-13.1M-118.9K0.9521.3542409,4438,444
2007-03-29$26.68$25.0023.9%6.9%25.1%0.0%24.3%4.7%2.2%125.2K-11.8M-119.0K0.0021.0394609,4458,455
2007-03-30$27.32$25.0014.0%4.0%24.9%0.0%14.6%1.9%15.3%142.5K-14.6M-116.7K0.105.55386409,9348,455