CAR Options History — November 2007

In November 2007, CAR traded between $13.40 and $20.30. ATM implied volatility averaged 52.0%, placing in the 74.7% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded below realized volatility by 28.6% (HV 20d: 80.6%). Max pain ranged from $15.00 to $22.50. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 2.20.

Notable Days

  • 2007-11-07: Highest Volume — 5,396 contracts
  • 2007-11-12: Largest IV spike — 20.2% change
  • 2007-11-06: Highest IV Rank — 89.8%
  • 2007-11-26: Largest Expected Move — 16.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.47$13.40$20.30$20.02$15.03
Max Pain$19.17$15.00$22.50$22.50$15.00
ATM IV52.0%45.3%59.6%54.7%45.7%
Expected Move14.1%12.9%16.7%15.7%13.1%
HV 20d80.6%31.7%101.3%32.2%101.3%
HV 60d56.9%36.7%64.5%46.9%64.5%
IV Rank74.7%61.7%89.8%80.0%62.5%
IV Percentile91.9%80.8%99.1%98.6%81.7%
Term Structure-0.2%-10.0%3.8%-10.0%2.1%
VWIV46.7%40.1%55.7%51.0%45.8%
Skew 25d7.3%-5.3%21.9%5.4%-5.3%
Skew 10d14.3%-9.2%31.0%10.9%-9.2%
Call IV 25d44.9%32.8%52.1%50.0%45.1%
Put IV 25d52.2%39.8%57.4%55.4%39.8%
Bid-Ask Spread %20.2011.1235.0335.0311.12
Gamma HHI0.290.240.390.330.26
Net GEX-10.7K-43.5K11.1K-14.9K11.1K
Net DEX5.6M3.1M9.7M3.4M4.9M
Net VEX-91.7K-128.9K-61.1K-128.9K-77.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.200.1211.483.411.10
Total Volume802.19495,396128497
Total OI24,178.52422,45726,93824,14124,395

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-11-01$20.02$22.5054.7%15.7%32.2%80.0%51.0%5.4%-10.0%-14.9K3.4M-128.9K3.4135.03299913,45110,690
2007-11-02$20.30$22.5050.9%14.6%31.7%72.7%45.7%5.0%-6.8%-14.3K3.1M-128.2K7.1726.4064313,44010,695
2007-11-05$19.42$20.0052.3%13.2%34.1%75.3%46.4%4.0%-2.4%-32.7K4.4M-119.7K1.8216.085710413,44610,694
2007-11-06$19.25$20.0059.6%12.9%33.5%89.8%44.4%4.9%-2.1%-43.5K6.5M-110.6K0.7818.141,10986013,47410,724
2007-11-07$15.58$22.5057.7%13.9%78.6%86.1%42.3%-0.3%2.5%-38.7K9.7M-82.8K0.9125.382,8322,56414,44011,212
2007-11-08$16.78$20.0051.6%13.4%85.3%73.9%45.8%10.3%1.2%-23.6K6.2M-97.4K3.1321.5826081316,91610,022
2007-11-09$17.75$20.0048.3%13.2%89.0%67.5%44.5%5.1%0.7%-3.2K4.5M-100.0K0.5721.3635119914,9389,689
2007-11-12$17.45$20.0058.0%13.8%89.0%86.7%46.8%6.8%-0.1%-7.0K4.3M-106.4K0.6617.471318714,9729,793
2007-11-13$17.94$20.0051.2%13.5%90.1%73.3%0.0%5.8%0.1%-15.6K4.7M-102.2K0.9318.24292715,0599,847
2007-11-14$17.14$20.0058.1%13.9%90.8%86.8%47.3%5.3%0.5%-18.0K4.8M-98.5K0.8415.8879266615,0479,635
2007-11-15$16.87$20.0048.7%14.0%90.3%68.2%55.7%7.3%-0.5%-16.9K5.4M-101.1K1.3321.68608015,66510,187
2007-11-16$16.41$20.0045.3%13.0%89.0%61.7%45.9%16.9%-0.4%-5366.0M-95.8K0.1214.3493810915,68510,252
2007-11-19$15.17$17.5051.3%14.7%91.6%73.4%49.6%10.0%-0.6%4.8K6.7M-82.1K2.0123.039118313,8249,737
2007-11-20$15.26$17.5049.4%14.2%91.2%69.7%46.8%10.9%1.5%5.9K6.7M-80.8K2.8627.42226313,8609,528
2007-11-21$14.51$17.5049.9%14.3%91.8%70.7%46.3%2.9%1.1%-4.8K6.8M-73.9K0.3524.721364713,8759,317
2007-11-23$14.85$17.5050.5%14.5%92.7%71.9%44.6%21.9%1.2%1.7K6.2M-71.9K0.2315.47621413,9418,734
2007-11-26$13.72$17.5058.1%16.7%95.1%86.8%40.1%5.3%0.6%-4.8K6.2M-66.9K11.4813.687586113,9738,734
2007-11-27$13.40$17.5054.4%15.6%94.4%79.6%51.6%3.9%3.0%-10.2K6.5M-61.1K1.7416.27468014,0238,735
2007-11-28$14.31$17.5050.1%14.4%99.6%71.2%48.4%13.1%0.9%-1.9K5.7M-69.0K4.0917.938936414,0588,399
2007-11-29$14.72$17.5045.4%13.0%100.8%61.8%45.5%14.1%3.8%3.1K5.7M-71.7K0.7522.911,12584614,1228,521
2007-11-30$15.03$15.0045.7%13.1%101.3%62.5%45.8%-5.3%2.1%11.1K4.9M-77.0K1.1011.1223726015,0879,308