CAR Options History — December 2007

In December 2007, CAR traded between $12.62 and $14.12. ATM implied volatility averaged 50.2%, placing in the 71.2% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded below realized volatility by 15.1% (HV 20d: 65.3%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.18.

Notable Days

2007-12-12: Highest Volume — 1,449 contracts
2007-12-06: Largest IV drop — 25.8% change
2007-12-17: Highest IV Rank — 79.5%
2007-12-17: Largest Expected Move — 15.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.43	$12.62	$14.12	$14.12	$13.00
Max Pain	$17.38	$15.00	$20.00	$15.00	$17.50
ATM IV	50.2%	39.4%	54.4%	47.1%	51.9%
Expected Move	14.5%	11.3%	15.6%	13.5%	14.9%
HV 20d	65.3%	47.0%	102.6%	102.1%	48.4%
HV 60d	65.5%	64.4%	66.5%	65.5%	66.5%
IV Rank	71.2%	50.0%	79.5%	65.2%	74.6%
IV Percentile	86.6%	65.4%	95.0%	84.4%	88.8%
Term Structure	1.7%	-1.5%	7.8%	1.8%	0.8%
VWIV	48.3%	32.9%	53.3%	50.5%	51.9%
Skew 25d	5.5%	-3.9%	11.3%	4.3%	-0.5%
Skew 10d	5.0%	-19.2%	18.5%	11.2%	-3.3%
Call IV 25d	46.7%	35.3%	52.9%	44.1%	50.8%
Put IV 25d	52.3%	44.2%	59.2%	48.4%	50.2%
Bid-Ask Spread %	17.78	5.95	27.41	21.67	16.81
Gamma HHI	0.26	0.23	0.29	0.28	0.27
Net GEX	-12.4K	-23.6K	-2.5K	-2.5K	-23.6K
Net DEX	6.3M	5.2M	7.2M	5.9M	6.0M
Net VEX	-66.1K	-73.9K	-58.4K	-71.1K	-58.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.18	0.00	5.11	0.40	4.12
Total Volume	289.85	36	1,449	1,086	768
Total OI	25,266.5	23,671	26,242	24,312	23,968

Daily Data (20 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
2007-12-03	$14.12	$15.00	47.1%	13.5%	102.1%	65.2%	50.5%	4.3%	1.8%	-2.5K	5.9M	-71.1K	0.40	21.67	778	308	15,048	9,264
2007-12-04	$13.53	$15.00	52.5%	15.1%	102.0%	75.9%	0.0%	5.3%	4.2%	-3.1K	6.0M	-72.5K	2.27	20.24	11	25	15,720	9,513
2007-12-05	$13.72	$15.00	53.1%	15.2%	102.6%	76.9%	53.0%	8.7%	0.5%	-5.8K	6.3M	-70.5K	0.22	27.41	98	22	15,721	9,441
2007-12-06	$14.01	$15.00	39.4%	11.3%	73.1%	50.0%	0.0%	11.3%	7.8%	-8.4K	6.2M	-71.0K	1.55	26.02	226	350	15,812	9,462
2007-12-07	$14.05	$20.00	43.1%	13.3%	66.9%	57.2%	32.9%	7.3%	1.3%	-8.8K	6.2M	-72.9K	0.00	16.76	40	0	16,029	9,674
2007-12-10	$14.09	$20.00	42.1%	13.5%	62.6%	55.4%	0.0%	5.8%	1.4%	-7.7K	6.2M	-73.9K	0.57	16.74	88	50	16,060	9,674
2007-12-11	$13.48	$20.00	50.2%	15.2%	63.6%	71.4%	49.8%	0.6%	-0.9%	-12.4K	6.4M	-67.8K	0.90	19.36	81	73	16,057	9,681
2007-12-12	$13.25	$17.50	52.1%	15.0%	61.8%	75.0%	52.3%	7.8%	1.2%	-12.9K	7.0M	-64.6K	0.19	24.24	1,215	234	16,123	9,704
2007-12-13	$12.85	$17.50	53.4%	15.3%	61.0%	77.7%	51.9%	8.0%	-1.5%	-18.1K	7.0M	-61.4K	0.14	19.69	153	21	16,201	9,879
2007-12-14	$13.09	$17.50	51.6%	14.8%	62.1%	74.0%	0.0%	5.1%	1.4%	-15.9K	7.0M	-62.0K	0.14	17.80	50	7	16,319	9,889
2007-12-17	$13.55	$17.50	54.4%	15.6%	64.0%	79.5%	49.1%	2.9%	0.8%	-16.1K	7.2M	-63.5K	0.29	11.28	72	21	16,356	9,886
2007-12-18	$13.11	$17.50	53.4%	15.3%	59.4%	77.5%	53.3%	-3.9%	0.5%	-14.3K	6.7M	-65.0K	0.75	16.47	56	42	16,382	9,787
2007-12-19	$12.91	$17.50	54.2%	15.5%	59.3%	79.1%	49.5%	9.0%	-1.1%	-16.3K	6.9M	-59.8K	0.18	20.80	166	30	16,421	9,684
2007-12-20	$13.07	$17.50	52.8%	15.1%	57.5%	76.4%	51.3%	7.4%	0.2%	-12.0K	6.7M	-61.6K	0.90	19.35	67	60	16,546	9,640
2007-12-21	$13.73	$17.50	50.6%	14.5%	59.9%	72.0%	46.1%	5.9%	1.9%	-10.3K	6.4M	-66.3K	0.44	12.42	84	37	16,598	9,643
2007-12-24	$13.69	$17.50	51.8%	14.9%	52.9%	74.5%	45.1%	6.9%	1.7%	-10.7K	5.2M	-67.7K	0.06	10.97	50	3	14,833	8,838
2007-12-26	$13.55	$17.50	49.2%	14.1%	52.3%	69.3%	44.2%	5.0%	6.7%	-10.2K	5.4M	-66.9K	4.23	15.50	57	241	14,882	8,815
2007-12-27	$13.21	$17.50	51.0%	14.6%	47.0%	72.9%	43.0%	5.0%	2.1%	-18.1K	5.6M	-64.6K	5.11	16.08	9	46	14,927	8,980
2007-12-28	$12.62	$17.50	49.4%	14.2%	47.6%	69.7%	49.5%	8.9%	3.3%	-21.6K	5.8M	-59.8K	1.14	5.95	74	84	14,924	8,949
2007-12-31	$13.00	$17.50	51.9%	14.9%	48.4%	74.6%	51.9%	-0.5%	0.8%	-23.6K	6.0M	-58.4K	4.12	16.81	150	618	14,986	8,982