CAR Options History — September 2007

In September 2007, CAR traded between $21.00 and $23.02. ATM implied volatility averaged 42.7%, placing in the 56.5% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded below realized volatility by 2.7% (HV 20d: 45.4%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 2.35.

Notable Days

2007-09-04: Highest Volume — 447 contracts
2007-09-12: Largest IV spike — 13.8% change
2007-09-12: Highest IV Rank — 68.8%
2007-09-17: Largest Expected Move — 13.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.20	$21.00	$23.02	$22.43	$22.89
Max Pain	$24.61	$22.50	$25.00	$25.00	$22.50
ATM IV	42.7%	36.3%	48.9%	45.2%	38.2%
Expected Move	12.2%	10.4%	13.6%	13.0%	11.0%
HV 20d	45.4%	37.1%	66.5%	65.7%	37.3%
HV 60d	52.3%	51.4%	53.6%	51.4%	52.4%
IV Rank	56.5%	43.8%	68.8%	61.5%	47.7%
IV Percentile	83.0%	71.4%	93.1%	89.9%	76.3%
Term Structure	-0.0%	-2.9%	3.9%	-2.4%	1.5%
VWIV	41.1%	38.2%	45.7%	39.5%	38.2%
Skew 25d	3.1%	-1.5%	6.2%	2.1%	-1.5%
Skew 10d	4.5%	-12.0%	15.5%	3.7%	-6.8%
Call IV 25d	41.8%	33.5%	47.1%	45.3%	33.5%
Put IV 25d	44.8%	32.0%	50.5%	47.4%	32.0%
Bid-Ask Spread %	32.31	23.38	59.73	23.81	41.31
Gamma HHI	0.24	0.22	0.26	0.25	0.23
Net GEX	61.4K	37.0K	90.8K	51.6K	77.8K
Net DEX	-605.5K	-2.9M	2.0M	-640.4K	-2.9M
Net VEX	-147.9K	-156.2K	-140.0K	-156.2K	-150.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.35	0.00	28.80	28.80	1.77
Total Volume	98.105	0	447	447	83
Total OI	23,159.316	22,205	23,642	23,642	22,568

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2007-09-04	$22.43	$25.00	45.2%	13.0%	65.7%	61.5%	39.5%	2.1%	-2.4%	51.6K	-640.4K	-156.2K	28.80	23.81	15	432	13,321	10,321
2007-09-05	$21.83	$25.00	45.8%	13.1%	66.3%	62.7%	45.7%	3.2%	-2.9%	47.3K	537.3K	-149.4K	0.21	25.00	100	21	13,333	10,222
2007-09-06	$22.11	$25.00	44.9%	12.9%	66.5%	60.9%	0.0%	4.7%	-2.3%	47.7K	262.4K	-150.3K	0.00	25.13	0	0	13,360	10,242
2007-09-07	$21.84	$25.00	43.6%	12.3%	46.4%	58.3%	0.0%	4.7%	0.1%	47.1K	1.1M	-149.4K	0.06	23.55	17	1	13,360	10,242
2007-09-10	$22.09	$25.00	45.6%	12.8%	42.4%	62.3%	44.2%	3.6%	-1.1%	52.4K	227.0K	-149.0K	0.00	29.30	20	0	13,362	10,242
2007-09-11	$22.02	$25.00	43.0%	12.4%	39.0%	57.0%	0.0%	0.0%	-0.0%	50.6K	551.6K	-144.9K	0.00	56.78	11	0	13,382	10,083
2007-09-12	$21.00	$25.00	48.9%	13.1%	42.0%	68.8%	0.0%	1.9%	0.9%	37.0K	2.0M	-140.4K	0.11	28.97	152	17	13,392	10,083
2007-09-13	$21.32	$25.00	43.0%	12.3%	41.0%	57.1%	43.8%	5.0%	0.5%	42.7K	2.0M	-140.4K	1.09	29.09	35	38	13,458	10,098
2007-09-14	$21.58	$25.00	43.4%	12.5%	40.4%	58.0%	0.0%	5.1%	-0.2%	48.6K	1.7M	-142.9K	0.00	28.86	0	51	13,466	10,059
2007-09-17	$21.20	$25.00	47.4%	13.6%	41.0%	65.8%	0.0%	-0.1%	-1.7%	38.9K	1.1M	-140.0K	0.13	59.73	52	7	13,466	9,668
2007-09-18	$22.25	$25.00	42.0%	12.0%	44.1%	55.2%	0.0%	6.2%	-0.6%	71.3K	81.9K	-144.0K	0.00	48.96	0	1	13,508	9,657
2007-09-19	$23.02	$25.00	42.8%	12.3%	43.7%	56.6%	41.7%	5.2%	-0.8%	90.8K	-2.2M	-150.8K	0.22	23.78	139	30	13,508	9,657
2007-09-20	$23.02	$25.00	42.1%	12.1%	42.2%	55.3%	0.0%	4.4%	-0.4%	90.0K	-2.7M	-149.2K	0.30	23.38	112	34	13,579	9,674
2007-09-21	$22.86	$25.00	40.9%	11.7%	42.1%	53.0%	39.6%	2.7%	-0.6%	90.7K	-2.9M	-150.7K	0.92	27.03	24	22	13,589	9,688
2007-09-24	$22.26	$25.00	40.2%	11.5%	42.7%	51.6%	40.8%	0.4%	1.4%	64.0K	-2.1M	-148.9K	0.16	24.62	79	13	12,858	9,347
2007-09-25	$22.75	$25.00	39.4%	11.3%	43.4%	50.1%	39.0%	4.4%	3.9%	71.0K	-2.2M	-149.0K	0.12	27.78	136	16	12,932	9,356
2007-09-26	$22.66	$22.50	38.4%	11.0%	38.9%	48.0%	38.3%	3.0%	2.1%	70.3K	-2.5M	-151.1K	0.16	36.01	142	23	13,047	9,366
2007-09-27	$22.65	$22.50	36.3%	10.4%	37.1%	43.8%	0.0%	3.4%	2.4%	76.7K	-2.8M	-152.3K	3.56	30.80	9	32	13,155	9,378
2007-09-28	$22.89	$22.50	38.2%	11.0%	37.3%	47.7%	38.2%	-1.5%	1.5%	77.8K	-2.9M	-150.1K	1.77	41.31	30	53	13,160	9,408