CAR Options History — May 2007

In May 2007, CAR traded between $27.69 and $30.25. ATM implied volatility averaged 27.2%. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 8.8% (HV 20d: 18.5%). Max pain ranged from $22.50 to $30.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.82.

Notable Days

  • 2007-05-15: Highest Volume — 4,288 contracts
  • 2007-05-23: Largest IV spike — 33.4% change
  • 2007-05-29: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.64$27.69$30.25$27.69$30.25
Max Pain$25.23$22.50$30.00$22.50$30.00
ATM IV27.2%18.9%39.4%31.8%36.4%
Expected Move7.7%5.4%11.3%9.1%10.4%
HV 20d18.5%13.5%23.8%17.8%22.6%
HV 60d22.4%20.7%23.3%22.5%22.9%
Term Structure-1.0%-5.5%1.2%-4.8%-2.1%
VWIV27.1%18.2%39.5%27.8%36.4%
Skew 25d-4.2%-11.7%6.3%6.3%-9.5%
Skew 10d-6.3%-18.6%7.6%5.9%-14.9%
Call IV 25d28.0%22.0%44.4%29.0%43.4%
Put IV 25d23.8%17.2%35.3%35.3%33.8%
Bid-Ask Spread %14.656.7424.7419.1224.74
Gamma HHI0.330.250.420.320.41
Net GEX168.3K-26.2K348.0K197.3K348.0K
Net DEX-14.2M-18.6M-10.3M-13.8M-18.6M
Net VEX-128.5K-152.6K-112.1K-113.4K-152.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.820.0030.300.970.37
Total Volume877.545224,2881,391529
Total OI20,924.27317,91325,75917,91325,759

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-05-01$27.69$22.5031.8%9.1%17.8%0.0%27.8%6.3%-4.8%197.3K-13.8M-113.4K0.9719.127056869,5948,319
2007-05-02$27.99$22.5032.1%9.2%18.3%0.0%31.6%-8.2%-5.5%187.0K-13.9M-120.0K0.187.815571039,5938,860
2007-05-03$28.51$25.0025.7%7.4%18.9%0.0%25.3%-2.6%-1.7%255.9K-14.6M-118.1K0.3212.81140459,8158,930
2007-05-04$28.34$25.0021.8%6.6%18.9%0.0%30.5%1.9%0.4%247.0K-15.0M-115.3K0.0423.8122789,8848,940
2007-05-07$28.41$25.0028.1%6.8%18.9%0.0%22.3%4.2%0.4%249.8K-14.6M-118.1K0.0123.5829249,9948,946
2007-05-08$28.40$25.0027.8%6.7%18.2%0.0%0.0%4.3%0.3%249.7K-14.6M-118.1K3.4021.4951710,0828,950
2007-05-09$28.59$25.0022.3%6.7%18.0%0.0%23.3%-3.6%-0.2%266.5K-15.5M-114.8K0.288.49361010,0848,948
2007-05-10$28.39$25.0023.7%6.8%18.0%0.0%23.7%-4.9%-0.1%205.5K-14.8M-112.1K0.3413.4533611510,0828,948
2007-05-11$28.50$25.0023.1%6.6%17.9%0.0%0.0%-4.0%0.4%202.6K-15.0M-114.6K0.4211.85311310,2189,024
2007-05-14$28.30$25.0023.8%6.8%18.0%0.0%23.5%-4.5%-0.1%245.0K-15.0M-114.2K0.0013.5485010,1989,021
2007-05-15$28.47$25.0024.2%6.9%17.9%0.0%24.2%-5.6%0.4%261.6K-14.6M-121.8K30.3010.161374,15110,2548,989
2007-05-16$28.50$25.0023.4%6.7%17.8%0.0%22.9%-4.8%0.7%53.0K-13.1M-136.9K1.087.53121310,30512,915
2007-05-17$28.47$25.0023.7%6.8%17.4%0.0%18.7%-4.8%0.8%10.1K-13.1M-136.6K0.146.751392010,29712,921
2007-05-18$28.27$25.0023.8%6.8%17.5%0.0%18.2%-5.1%0.8%-23.4K-12.5M-137.3K0.148.291261810,28412,918
2007-05-21$28.30$25.0021.7%6.2%17.2%0.0%22.4%-3.5%-0.1%-26.2K-10.7M-135.7K0.0719.14217158,47612,064
2007-05-22$28.39$25.0018.9%5.4%15.6%0.0%23.3%-5.9%1.2%-6.5K-11.1M-135.5K0.8214.275484528,56212,066
2007-05-23$28.35$25.0025.2%7.2%14.6%0.0%25.4%-4.8%-0.1%-3.2K-10.3M-144.5K0.3115.92170539,10812,517
2007-05-24$28.45$25.0028.3%8.1%13.5%0.0%28.5%-5.3%0.6%19.3K-10.9M-136.8K0.0211.922,660499,21212,568
2007-05-25$30.06$25.0036.3%10.4%23.8%0.0%36.4%-10.0%-5.2%175.1K-16.6M-138.7K0.1416.612,70637210,19112,617
2007-05-29$29.60$25.0039.4%11.3%23.5%0.0%39.5%-10.4%-4.3%277.2K-16.6M-139.6K0.296.742,23465411,58812,835
2007-05-30$29.90$30.0037.7%10.8%22.6%0.0%38.2%-11.7%-3.2%311.4K-17.2M-151.8K0.3624.3845216412,33913,119
2007-05-31$30.25$30.0036.4%10.4%22.6%0.0%36.4%-9.5%-2.1%348.0K-18.6M-152.6K0.3724.7438614312,54113,218