CAR Options History — January 2008

In January 2008, CAR traded between $9.46 and $13.35. ATM implied volatility averaged 63.3%, placing in the 91.4% IV rank vs the trailing year. The 30-day expected move averaged 17.9%. IV traded below realized volatility by 11.2% (HV 20d: 74.6%). Max pain ranged from $12.50 to $17.50. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.15.

Notable Days

  • 2008-01-24: Highest Volume — 2,720 contracts
  • 2008-01-04: Largest IV spike — 26.3% change
  • 2008-01-04: Highest IV Rank — 100.0%
  • 2008-01-22: Largest Expected Move — 20.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.00$9.46$13.35$13.07$13.35
Max Pain$13.21$12.50$17.50$17.50$12.50
ATM IV63.3%52.5%70.7%53.9%64.8%
Expected Move17.9%15.1%20.3%15.5%18.6%
HV 20d74.6%43.9%97.8%43.9%97.8%
HV 60d75.8%66.3%85.0%66.3%85.0%
IV Rank91.4%75.8%100.0%78.6%89.7%
IV Percentile97.8%90.1%100.0%93.2%97.2%
Term Structure-2.8%-5.5%0.3%-2.0%-0.9%
VWIV62.0%53.9%70.7%53.9%65.7%
Skew 25d4.9%-11.3%26.5%-1.6%-1.9%
Skew 10d11.2%-14.8%42.1%-4.4%3.8%
Call IV 25d58.1%45.8%65.8%53.9%65.8%
Put IV 25d63.0%42.1%78.4%52.2%63.9%
Bid-Ask Spread %12.197.6519.6616.608.50
Gamma HHI0.270.200.330.260.20
Net GEX-10.8K-25.7K4.2K-24.6K1.5K
Net DEX5.0M1.1M6.8M6.2M1.1M
Net VEX-44.1K-75.2K-28.0K-58.6K-75.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.059.290.200.14
Total Volume561.286532,7202861,226
Total OI23,774.23820,55626,29824,28326,298

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-01-02$13.07$17.5053.9%15.5%43.9%78.6%53.9%-1.6%-2.0%-24.6K6.2M-58.6K0.2016.602384815,1059,178
2008-01-03$11.97$17.5052.5%15.1%51.5%75.8%0.0%-6.0%0.3%-25.7K6.2M-52.1K0.839.6920917415,0419,071
2008-01-04$10.71$15.0066.3%17.2%63.0%100.0%57.3%5.4%-3.8%-21.4K6.6M-39.9K0.339.391625415,1809,196
2008-01-07$10.40$15.0064.2%16.9%61.9%95.9%59.1%1.2%-1.7%-19.5K6.8M-34.4K0.999.32696815,2759,052
2008-01-08$9.83$12.5066.6%17.5%63.2%100.0%55.0%-1.8%-2.1%-16.0K6.6M-30.9K1.649.87365915,3429,070
2008-01-09$10.07$12.5065.9%17.5%64.6%98.7%60.1%6.6%-3.4%-15.4K5.9M-35.9K0.7916.7866752815,3638,597
2008-01-10$10.48$12.5060.5%17.3%66.7%88.4%57.3%-1.1%-3.9%-15.6K5.8M-35.2K0.057.654452315,2498,387
2008-01-11$10.65$12.5061.2%17.5%67.5%89.8%60.2%-3.6%-3.0%-12.5K5.6M-38.8K0.229.02912015,5778,391
2008-01-14$10.82$12.5062.1%17.8%67.7%91.5%58.7%1.9%-2.4%-10.8K5.6M-39.6K0.0810.1172615,5968,386
2008-01-15$10.04$12.5062.3%17.9%70.8%91.9%62.3%-11.3%-3.4%-10.3K5.5M-34.7K0.3111.031915915,6468,392
2008-01-16$10.54$12.5061.9%17.7%72.2%91.0%62.5%1.5%-4.5%-10.6K5.5M-37.6K3.0811.84134015,7458,304
2008-01-17$9.93$12.5062.5%17.9%73.8%92.3%61.2%9.1%-3.3%-10.6K5.4M-34.5K1.1819.669411115,7558,324
2008-01-18$9.62$12.5063.3%18.1%74.1%93.7%63.3%4.8%-4.7%-6.8K5.6M-30.8K0.7714.29564315,8398,347
2008-01-22$9.46$12.5070.7%20.3%73.4%100.0%70.7%17.7%-5.5%-6.4K5.2M-28.0K9.2914.9476512,7697,787
2008-01-23$10.03$12.5067.1%19.2%74.5%93.7%67.1%14.5%-3.3%-7.6K5.2M-30.5K0.2913.991935612,7737,796
2008-01-24$11.65$12.5063.4%18.2%94.9%87.2%62.6%15.3%-3.7%-4.8K4.4M-44.8K1.169.391,2601,46012,9427,801
2008-01-25$11.43$12.5064.6%18.5%95.0%89.2%67.2%10.3%-0.7%-9.1K4.5M-51.6K0.2210.351,23727713,8189,085
2008-01-28$11.94$12.5063.4%18.2%96.5%87.3%63.4%21.4%-1.1%-4.5K3.4M-58.7K0.6112.4453032114,8219,350
2008-01-29$12.39$12.5065.6%18.8%96.4%91.1%66.0%26.5%-2.1%-9233.0M-65.2K0.4214.7159324715,2149,706
2008-01-30$12.71$12.5067.5%19.3%96.2%94.4%67.3%-6.8%-3.6%4.2K2.1M-69.2K1.4616.4430143815,7509,941
2008-01-31$13.35$12.5064.8%18.6%97.8%89.7%65.7%-1.9%-0.9%1.5K1.1M-75.2K0.148.501,07714915,96410,334