CAR Options History — July 2007

In July 2007, CAR traded between $25.59 and $29.90. ATM implied volatility averaged 35.2%, placing in the 78.2% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 2.4% (HV 20d: 32.8%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.13.

Notable Days

  • 2007-07-26: Highest Volume — 1,080 contracts
  • 2007-07-26: Largest IV spike — 32.3% change
  • 2007-07-26: Highest IV Rank — 100.0%
  • 2007-07-30: Largest Expected Move — 15.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.55$25.59$29.90$29.31$25.67
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV35.2%25.6%52.2%29.9%48.8%
Expected Move10.3%8.5%15.0%8.6%14.0%
HV 20d32.8%27.5%35.6%35.6%30.9%
HV 60d27.7%26.2%30.4%26.3%30.2%
IV Rank78.2%45.9%100.0%61.3%91.3%
IV Percentile82.4%32.6%100.0%57.9%99.3%
Term Structure-4.6%-11.8%2.3%1.4%-9.0%
VWIV36.2%29.5%50.6%29.9%49.2%
Skew 25d-1.2%-12.6%10.2%-10.4%-5.9%
Skew 10d-2.5%-21.3%16.6%-19.6%-7.4%
Call IV 25d37.2%27.8%54.9%37.0%54.9%
Put IV 25d36.0%26.6%52.3%26.6%49.1%
Bid-Ask Spread %26.6511.7350.8523.6337.91
Gamma HHI0.290.260.390.260.39
Net GEX70.1K-266.1K296.6K110.6K-266.1K
Net DEX-12.5M-17.8M-1.6M-14.7M-2.7M
Net VEX-168.5K-177.0K-156.4K-173.8K-177.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.006.900.050.08
Total Volume335.857201,08022071
Total OI28,577.66726,89029,33728,64328,603

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-07-02$29.31$30.0029.9%8.6%35.6%0.0%29.9%-10.4%1.4%110.6K-14.7M-173.8K0.0523.632101013,27415,369
2007-07-03$29.34$30.0030.5%8.7%35.6%0.0%30.5%-1.2%0.6%148.4K-15.5M-166.6K0.1223.635546613,43315,395
2007-07-05$29.59$30.0029.5%8.5%35.5%61.3%29.5%-12.6%2.3%159.0K-16.3M-171.6K0.1623.162434013,35315,330
2007-07-06$29.90$30.0029.3%9.1%34.4%60.3%32.7%0.6%-3.9%200.2K-17.8M-166.2K2.0726.80296013,42915,355
2007-07-09$29.18$30.0031.3%9.6%31.8%68.1%35.2%2.1%-4.9%128.5K-14.7M-169.4K2.6023.294010413,45415,395
2007-07-10$28.64$30.0025.6%9.5%31.6%45.9%33.2%7.3%-4.7%69.7K-12.1M-168.1K6.9019.39106913,48015,437
2007-07-11$28.94$30.0031.6%9.4%31.8%69.5%32.7%0.0%-4.1%99.9K-12.5M-167.4K0.4627.51502313,47815,457
2007-07-12$29.51$30.0033.1%9.5%32.5%75.4%33.2%1.4%-4.5%181.2K-15.0M-165.2K0.5520.7841622713,49415,466
2007-07-13$29.82$30.0033.6%9.6%32.8%77.2%33.7%1.4%-5.2%248.0K-17.8M-164.9K0.3021.6649214613,75115,430
2007-07-16$29.68$30.0033.8%9.7%32.8%77.9%33.9%-8.4%-5.2%263.8K-16.7M-165.1K0.2321.042195013,85215,450
2007-07-17$29.37$30.0034.4%9.9%33.0%80.3%34.4%1.4%-5.4%218.9K-15.3M-165.5K0.0523.7419113,85615,466
2007-07-18$29.42$30.0034.6%9.9%33.0%81.2%37.6%-0.0%-5.7%219.0K-14.9M-164.9K1.7331.64335713,86415,465
2007-07-19$29.70$30.0034.6%9.9%33.1%81.4%34.6%-8.4%-5.6%296.6K-17.0M-161.8K0.0021.95200013,87415,463
2007-07-20$28.92$30.0035.0%10.0%34.1%82.6%35.0%-3.6%-5.2%81.2K-12.2M-166.8K5.2734.617439013,74115,463
2007-07-23$29.17$30.0033.1%9.5%33.5%75.4%33.1%10.2%-3.4%97.3K-15.8M-156.4K0.0012.52426012,20714,683
2007-07-24$27.95$30.0034.0%9.8%27.5%79.0%34.4%6.8%-2.6%-26.7K-11.1M-169.5K0.0711.734623312,52314,683
2007-07-25$27.71$30.0034.1%9.8%27.7%79.3%34.6%2.4%-2.4%-67.8K-10.7M-171.0K0.2721.731825012,62114,676
2007-07-26$26.20$30.0045.1%12.9%33.9%100.0%41.1%-0.5%-8.2%-229.1K-4.5M-175.1K0.2850.8584223812,73014,726
2007-07-27$25.94$30.0045.0%12.9%33.6%99.6%50.6%-10.2%-8.5%-228.7K-3.8M-175.8K0.3445.642638913,27514,786
2007-07-30$25.59$30.0052.2%15.0%33.4%100.0%50.6%1.5%-11.8%-230.7K-1.6M-176.6K2.3036.5317139413,51014,834
2007-07-31$25.67$30.0048.8%14.0%30.9%91.3%49.2%-5.9%-9.0%-266.1K-2.7M-177.0K0.0837.9166513,53515,068