CAR Options History — August 2007

In August 2007, CAR traded between $20.20 and $25.94. ATM implied volatility averaged 49.2%, placing in the 71.7% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded below realized volatility by 17.0% (HV 20d: 66.2%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 13 of 23 trading days. Term structure was in contango for 1 of 23 days. Put/call ratio averaged 2.45.

Notable Days

  • 2007-08-06: Highest Volume — 2,355 contracts
  • 2007-08-16: Largest IV spike — 48.6% change
  • 2007-08-01: Highest IV Rank — 100.0%
  • 2007-08-03: Largest Expected Move — 16.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.55$20.20$25.94$24.78$23.21
Max Pain$25.87$25.00$30.00$30.00$25.00
ATM IV49.2%36.7%64.8%54.1%44.8%
Expected Move13.6%11.2%16.2%15.5%12.8%
HV 20d66.2%32.3%77.5%32.3%64.6%
HV 60d46.9%31.0%51.9%31.0%51.9%
IV Rank71.7%44.6%100.0%100.0%60.7%
IV Percentile93.7%87.1%100.0%100.0%87.4%
Term Structure-3.6%-11.8%0.8%-11.8%-1.1%
VWIV46.6%32.3%61.8%61.8%43.1%
Skew 25d5.1%-12.1%18.1%-12.1%5.7%
Skew 10d8.2%-26.5%21.4%-26.5%15.9%
Call IV 25d43.9%34.3%64.6%64.6%41.2%
Put IV 25d49.0%40.0%57.0%52.5%46.8%
Bid-Ask Spread %32.7015.1560.3030.0026.91
Gamma HHI0.300.250.410.410.25
Net GEX-50.0K-293.1K61.8K-284.6K59.5K
Net DEX3.8M-2.5M14.2M1.1M-2.1M
Net VEX-157.5K-182.1K-134.2K-177.9K-162.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.450.0018.970.160.02
Total Volume520.478272,35523047
Total OI26,564.69622,52330,82528,63923,624

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-08-01$24.78$30.0054.1%15.5%32.3%100.0%61.8%-12.1%-11.8%-284.6K1.1M-177.9K0.1630.001983213,57315,066
2007-08-02$25.94$30.0049.5%14.2%37.3%88.7%46.9%13.2%-7.9%-293.1K-1.9M-174.8K0.5048.301768813,65515,065
2007-08-03$23.20$30.0056.6%16.2%52.1%100.0%55.0%-8.9%-11.1%-247.1K7.8M-164.6K3.9460.309035513,78915,082
2007-08-06$23.28$30.0064.8%13.5%52.2%100.0%43.7%9.7%-4.7%-247.8K7.3M-163.5K0.1139.402,12323213,84415,054
2007-08-07$23.26$25.0060.3%13.8%52.3%91.2%52.8%12.2%-5.7%-226.4K5.0M-182.1K0.6145.2431919415,73815,087
2007-08-08$23.01$25.0045.8%11.2%51.7%62.5%36.1%5.7%-0.9%-262.3K8.7M-157.6K2.0442.306991,42814,21915,035
2007-08-09$20.20$25.0054.3%12.7%65.3%79.3%41.3%1.1%-1.0%-12.7K14.2M-134.2K1.7054.6932955914,51215,287
2007-08-10$21.35$25.0037.6%12.7%69.8%46.5%46.0%8.5%-1.2%-6.4K10.7M-146.8K0.7539.8438829014,75914,440
2007-08-13$22.36$25.0053.4%13.9%73.2%77.5%48.4%7.6%-4.3%-68.5K8.5M-157.8K1.4255.8621730814,86314,579
2007-08-14$21.95$25.0054.6%14.0%73.2%79.9%46.5%4.8%-4.4%-13.6K9.1M-158.2K18.9731.163464514,99814,770
2007-08-15$21.27$25.0036.7%14.0%73.2%44.6%48.9%3.8%-4.3%20.2K9.4M-146.5K7.3819.698260515,02014,138
2007-08-16$20.84$25.0054.5%15.6%72.6%79.7%50.9%18.1%-4.4%10.9K9.5M-143.6K7.1252.9511380415,05413,589
2007-08-17$20.90$25.0053.9%15.5%72.8%78.6%51.0%3.9%-5.2%12.8K7.7M-145.3K7.6024.742015215,08512,844
2007-08-20$21.25$25.0052.8%15.1%73.2%76.4%46.4%8.6%-2.9%20.2K1.9M-147.7K0.0825.651211012,29210,231
2007-08-21$22.07$25.0045.7%13.1%74.9%62.3%47.1%6.9%0.8%31.0K703.3K-150.3K0.1920.562184212,38410,229
2007-08-22$22.80$25.0046.4%13.3%76.5%63.8%45.4%3.9%-3.7%46.9K-1.1M-159.3K0.0615.151931112,57310,259
2007-08-23$23.05$25.0043.9%12.6%74.8%59.0%43.2%5.4%-1.3%50.1K-1.8M-158.2K1.2115.41293512,66310,269
2007-08-24$23.39$25.0043.0%12.3%75.2%57.2%32.3%6.5%-1.4%53.3K-2.4M-163.7K0.0020.54566012,68010,304
2007-08-27$23.14$25.0043.2%12.4%75.1%57.5%0.0%4.0%-1.5%61.8K-2.5M-161.0K0.0819.1525213,24410,304
2007-08-28$21.96$25.0045.0%12.9%76.9%61.1%45.1%-1.0%-1.3%49.2K-205.6K-153.4K0.7619.25292213,25810,306
2007-08-29$22.69$25.0045.3%13.0%77.5%61.7%0.0%6.3%-2.5%47.8K-440.4K-156.9K0.0022.7197013,27810,322
2007-08-30$22.78$25.0045.1%12.9%75.3%61.2%43.1%3.7%-2.1%49.4K-821.6K-156.3K1.7522.29162813,30110,322
2007-08-31$23.21$25.0044.8%12.8%64.6%60.7%0.0%5.7%-1.1%59.5K-2.1M-162.7K0.0226.9146113,30310,321