CAR Options History — October 2007

In October 2007, CAR traded between $20.87 and $23.86. ATM implied volatility averaged 41.4%, placing in the 53.9% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 9.0% (HV 20d: 32.4%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 1.86.

Notable Days

  • 2007-10-25: Highest Volume — 2,777 contracts
  • 2007-10-09: Largest IV drop — 24.4% change
  • 2007-10-31: Highest IV Rank — 75.0%
  • 2007-10-31: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.36$20.87$23.86$23.59$20.87
Max Pain$23.70$22.50$25.00$22.50$22.50
ATM IV41.4%29.8%52.1%37.1%52.1%
Expected Move12.0%10.1%14.9%10.6%14.9%
HV 20d32.4%25.9%38.3%38.3%29.6%
HV 60d51.7%45.9%53.0%52.8%46.2%
IV Rank53.9%31.1%75.0%45.6%75.0%
IV Percentile79.9%40.4%94.7%73.8%94.7%
Term Structure-3.3%-8.9%4.1%4.1%-8.9%
VWIV42.0%33.5%51.8%35.3%51.8%
Skew 25d3.6%-2.5%10.8%0.8%2.4%
Skew 10d-2.7%-17.0%9.7%-5.0%3.1%
Call IV 25d39.9%33.8%49.0%35.3%45.0%
Put IV 25d43.5%35.2%51.6%36.1%47.4%
Bid-Ask Spread %21.019.5635.1619.8132.15
Gamma HHI0.250.230.300.230.30
Net GEX60.9K5.2K99.8K95.0K5.2K
Net DEX-1.8M-5.0M1.6M-4.6M1.6M
Net VEX-144.1K-156.0K-133.9K-154.5K-136.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.860.0014.180.400.28
Total Volume255.478162,77714791
Total OI22,915.8722,57024,11122,57724,069

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-10-01$23.59$22.5037.1%10.6%38.3%45.6%35.3%0.8%4.1%95.0K-4.6M-154.5K0.4019.811054213,1559,422
2007-10-02$23.85$22.5035.3%10.1%36.1%42.0%0.0%2.0%2.4%98.7K-4.9M-156.0K0.1024.3989913,1889,449
2007-10-03$23.45$22.5037.7%10.8%35.1%46.8%0.0%2.4%2.6%94.8K-4.6M-154.4K1.4321.97142013,1619,452
2007-10-04$23.28$22.5036.8%10.6%35.2%44.9%0.0%1.4%2.0%89.4K-4.2M-153.6K0.0020.2916013,1659,470
2007-10-05$23.74$22.5037.6%11.2%35.2%46.5%36.3%1.9%-2.6%98.8K-4.7M-153.7K0.4519.64221013,1799,470
2007-10-08$23.68$25.0039.4%11.7%35.2%50.1%45.2%2.1%-3.8%98.7K-4.8M-153.8K0.3221.30341113,1959,473
2007-10-09$23.86$25.0029.8%10.8%35.1%31.1%37.6%1.7%-4.0%99.8K-5.0M-154.1K0.0024.5648013,1909,482
2007-10-10$23.02$25.0037.0%11.5%33.0%45.2%38.1%2.0%-3.8%82.7K-3.4M-147.5K0.9323.16434013,2079,482
2007-10-11$22.90$25.0040.5%11.6%32.9%52.2%0.0%4.7%-4.1%80.8K-3.2M-147.7K0.0025.8517013,2319,505
2007-10-12$22.56$25.0039.9%11.4%33.4%50.9%39.6%3.4%-3.0%69.0K-2.3M-146.3K0.5414.18261413,2289,505
2007-10-15$22.16$25.0041.3%11.8%33.4%53.8%42.7%5.7%-4.4%61.5K-1.3M-141.2K0.8616.3012610813,2459,516
2007-10-16$21.95$25.0041.3%11.8%28.8%53.7%45.7%5.9%-5.0%59.0K-1.1M-140.1K4.0314.152911713,3289,571
2007-10-17$22.06$25.0041.5%11.9%25.9%54.2%41.7%7.9%-4.5%51.2K-433.4K-139.4K1.0621.73505313,3429,662
2007-10-18$22.36$25.0041.4%11.9%26.5%54.0%43.1%6.6%-3.8%63.0K-1.4M-141.1K14.1821.711115613,3929,705
2007-10-19$21.11$25.0046.0%13.2%33.1%63.1%42.1%-0.2%-5.0%24.0K602.5K-135.0K4.3535.162611313,4029,840
2007-10-22$21.26$25.0041.6%11.9%32.2%54.3%43.6%6.6%-3.1%21.7K964.8K-133.9K1.4012.708311612,7629,808
2007-10-23$21.62$22.5041.1%11.8%31.8%53.4%40.9%5.7%-1.9%28.3K343.3K-135.1K1.4819.23619012,8089,845
2007-10-24$21.52$22.5042.6%12.2%31.8%56.3%0.0%10.8%-2.7%25.1K847.2K-134.5K3.189.56113512,8269,891
2007-10-25$21.60$22.5046.3%13.3%31.8%63.6%46.4%3.6%-5.4%32.9K-484.4K-140.1K0.0716.952,60717012,8359,914
2007-10-26$21.35$22.5046.2%13.2%31.6%63.3%45.3%5.5%-5.0%51.1K157.9K-138.1K3.6727.6720776013,3439,944
2007-10-29$21.50$22.5047.7%13.7%29.3%66.3%47.2%2.6%-7.3%57.6K-196.2K-140.2K1.6521.529615813,3539,944
2007-10-30$20.91$22.5051.6%14.8%29.8%74.1%33.5%-2.5%-8.4%12.2K950.5K-137.9K2.5019.16123013,37410,737
2007-10-31$20.87$22.5052.1%14.9%29.6%75.0%51.8%2.4%-8.9%5.2K1.6M-136.3K0.2832.15712013,38410,685