CAR Options History — June 2007

In June 2007, CAR traded between $27.56 and $30.72. ATM implied volatility averaged 32.5%. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 3.4% (HV 20d: 29.1%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.51.

Notable Days

  • 2007-06-04: Highest Volume — 2,578 contracts
  • 2007-06-25: Largest IV spike — 10.4% change
  • 2007-06-01: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.55$27.56$30.72$30.49$28.43
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV32.5%26.6%38.5%35.5%30.8%
Expected Move9.0%7.6%10.2%10.2%8.8%
HV 20d29.1%21.7%33.8%22.0%33.5%
HV 60d23.9%22.5%27.1%22.5%25.6%
Term Structure0.1%-2.7%3.0%-1.5%0.6%
VWIV33.2%26.6%54.9%35.5%54.9%
Skew 25d-7.4%-11.6%2.6%-9.1%-8.7%
Skew 10d-13.6%-25.4%5.0%-13.7%-22.4%
Call IV 25d35.2%30.1%43.3%43.3%31.4%
Put IV 25d27.8%21.4%35.2%34.2%22.7%
Bid-Ask Spread %19.318.8438.9324.7313.87
Gamma HHI0.370.260.670.410.26
Net GEX297.2K-85.4K1.3M360.1K21.6K
Net DEX-16.1M-22.2M-7.6M-19.2M-10.9M
Net VEX-158.0K-173.2K-134.6K-152.0K-169.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.003.120.000.07
Total Volume481.857382,578178221
Total OI28,004.28625,47729,65625,89928,430

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-06-01$30.49$30.0035.5%10.2%22.0%0.0%35.5%-9.1%-1.5%360.1K-19.2M-152.0K0.0024.73178012,54013,359
2007-06-04$30.59$30.0036.8%9.8%21.7%0.0%35.6%-8.1%-1.8%379.6K-21.0M-138.5K3.1222.946251,95312,53113,359
2007-06-05$30.62$30.0036.0%9.9%21.8%0.0%33.7%-7.4%-2.7%336.1K-19.6M-150.4K0.2119.4847010112,47315,090
2007-06-06$30.21$30.0036.1%9.9%22.6%0.0%34.7%-9.5%-2.4%344.2K-19.8M-134.6K0.0312.77207612,61615,586
2007-06-07$29.44$30.0036.6%9.7%24.7%0.0%34.0%-3.8%-1.3%327.6K-16.3M-138.9K0.0123.141,1671012,72115,182
2007-06-08$30.72$30.0036.2%9.7%28.5%0.0%34.0%-7.3%-2.2%440.3K-22.2M-160.0K0.009.9688013,84015,172
2007-06-11$30.07$30.0037.2%9.8%29.8%0.0%34.9%-10.2%-1.6%479.8K-16.0M-137.8K0.328.8442113511,77313,704
2007-06-12$29.79$30.0038.5%9.8%30.0%0.0%34.1%-11.2%-1.5%507.6K-19.1M-157.6K0.5710.96794514,03515,300
2007-06-13$29.98$30.0034.5%9.2%30.0%0.0%32.0%-10.6%-0.3%606.4K-19.2M-160.9K0.0711.782742013,98115,315
2007-06-14$29.98$30.0031.8%9.1%30.0%0.0%31.7%-1.2%-0.3%770.9K-19.5M-159.3K2.2726.3918642214,17815,305
2007-06-15$29.93$30.0028.9%8.3%30.0%0.0%28.9%-10.5%2.4%1.3M-18.5M-159.2K0.7311.3138227714,09015,566
2007-06-18$29.75$30.0027.5%7.9%29.9%0.0%30.5%-10.9%2.9%87.3K-15.8M-164.8K0.0410.027782812,30815,265
2007-06-19$29.72$30.0028.2%8.1%30.0%0.0%32.7%-10.0%3.0%111.2K-17.0M-166.6K0.1716.783736412,76215,277
2007-06-20$29.80$30.0028.0%8.0%30.0%0.0%27.9%-10.7%2.7%97.1K-16.3M-167.0K0.3018.723239712,50415,289
2007-06-21$30.14$30.0026.6%7.6%30.1%0.0%26.6%-10.7%3.0%142.4K-18.1M-156.4K1.0421.96737612,53615,306
2007-06-22$29.48$30.0027.9%8.0%31.4%0.0%27.9%-11.6%2.0%105.5K-15.8M-157.5K0.0020.6138012,57915,341
2007-06-25$27.56$30.0030.8%8.8%33.8%0.0%31.3%0.9%0.5%-85.4K-7.6M-172.2K0.0331.665491912,60415,338
2007-06-26$27.73$30.0032.2%9.2%33.7%0.0%30.9%2.6%-0.0%-57.0K-8.1M-173.2K0.5021.10623112,86015,333
2007-06-27$27.94$30.0032.0%9.2%33.6%0.0%32.4%1.1%-0.1%-42.2K-8.7M-173.1K0.0338.93248712,87215,355
2007-06-28$28.21$30.0030.3%8.7%33.5%0.0%54.9%-8.7%0.8%-10.1K-9.9M-169.1K1.1529.58404613,05615,359
2007-06-29$28.43$30.0030.8%8.8%33.5%0.0%0.0%-8.7%0.6%21.6K-10.9M-169.8K0.0713.872061513,07115,359