CAR Options History — February 2008

In February 2008, CAR traded between $11.43 and $13.63. ATM implied volatility averaged 70.6%, placing in the 66.1% IV rank vs the trailing year. The 30-day expected move averaged 18.5%. IV traded below realized volatility by 15.3% (HV 20d: 85.8%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 2.47.

Notable Days

  • 2008-02-12: Highest Volume — 2,191 contracts
  • 2008-02-14: Largest IV drop — 49.0% change
  • 2008-02-04: Highest IV Rank — 100.0%
  • 2008-02-12: Largest Expected Move — 20.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.17$11.43$13.63$13.63$11.43
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV70.6%56.5%124.7%63.3%64.6%
Expected Move18.5%16.2%20.6%18.1%18.5%
HV 20d85.8%72.3%94.3%92.2%72.3%
HV 60d76.4%73.6%88.2%84.9%73.6%
IV Rank66.1%38.4%100.0%86.9%45.7%
IV Percentile92.8%83.7%100.0%94.4%93.3%
Term Structure-1.8%-6.4%3.6%2.0%-3.3%
VWIV64.5%54.0%76.1%55.8%67.1%
Skew 25d12.5%2.6%26.9%6.1%11.8%
Skew 10d17.0%-8.9%44.2%9.3%18.8%
Call IV 25d58.9%39.3%70.7%56.3%58.6%
Put IV 25d71.4%61.2%87.7%62.4%70.5%
Bid-Ask Spread %23.609.4940.269.4914.52
Gamma HHI0.220.190.380.190.20
Net GEX-13.4K-106.1K7.9K7.9K3.8K
Net DEX2.8M857.7K4.3M857.7K3.1M
Net VEX-71.8K-78.2K-67.9K-78.2K-67.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.470.0319.260.490.32
Total Volume678.75652,191284270
Total OI28,322.5526,48631,59926,48628,323

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-02-01$13.63$12.5063.3%18.1%92.2%86.9%55.8%6.1%2.0%7.9K857.7K-78.2K0.499.491919316,04210,444
2008-02-04$12.05$12.5074.9%20.0%94.3%100.0%66.9%10.8%-4.8%-9352.7M-68.5K0.8416.191,01384716,04210,472
2008-02-05$12.13$12.5077.7%19.9%93.3%100.0%71.1%26.9%-3.8%-1.4K2.4M-72.1K0.7725.8361247416,66311,045
2008-02-06$11.86$12.5073.8%20.2%91.0%93.9%73.6%9.0%-6.4%-3.5K3.1M-71.3K0.9924.2715715517,12411,445
2008-02-07$12.00$12.5071.3%19.6%90.8%90.0%0.0%6.6%-2.0%-8.7K3.1M-71.0K0.0827.5560517,21311,590
2008-02-08$11.89$12.5070.6%19.9%90.3%88.9%68.7%11.1%-4.2%-6.9K3.2M-70.6K8.9025.46108917,24811,595
2008-02-11$12.07$12.5079.3%20.4%90.3%100.0%76.1%10.9%-4.8%-8.4K2.8M-72.7K5.3424.854423517,24811,665
2008-02-12$11.90$12.50111.0%20.6%90.5%100.0%75.8%8.9%-4.4%-11.7K3.1M-70.8K1.2815.899631,22817,23411,836
2008-02-13$11.66$12.50124.7%20.2%86.1%100.0%73.2%8.1%-3.2%-24.1K3.8M-72.9K2.3519.4229970418,05512,826
2008-02-14$12.84$12.5063.6%18.2%90.6%44.8%68.9%7.0%0.6%-106.1K1.6M-76.7K1.6120.146761,09018,19213,407
2008-02-15$12.15$12.5061.8%17.7%90.2%43.2%63.3%5.4%1.1%-86.5K4.3M-73.1K19.2619.73771,48318,36313,195
2008-02-19$12.21$12.5058.7%16.8%88.9%40.3%58.7%6.8%0.5%-5.8K2.9M-71.1K0.1225.041211415,58111,168
2008-02-20$12.93$12.5062.7%18.0%89.6%44.0%59.4%21.4%-4.6%-8602.2M-74.9K1.6936.34549115,67211,180
2008-02-21$12.12$12.5063.2%18.1%92.4%44.4%59.8%2.6%-4.5%-3.8K2.6M-71.7K1.1140.2644849715,68611,209
2008-02-22$12.06$12.5056.5%16.2%76.2%38.4%56.0%24.9%2.8%-7.7K3.2M-70.7K0.5123.64492515,83611,451
2008-02-25$12.13$12.5057.1%16.4%75.8%38.9%54.0%23.8%3.6%-7.6K3.1M-69.9K0.0320.777442415,88211,439
2008-02-26$12.23$12.5059.5%17.1%74.3%41.1%59.5%10.0%-1.6%9392.4M-71.9K2.7021.34308116,44611,443
2008-02-27$12.36$12.5057.9%16.6%73.2%39.7%57.9%24.5%2.2%2.4K2.3M-71.9K0.0929.714774316,46611,404
2008-02-28$11.74$12.5059.3%17.0%74.7%40.9%59.3%13.2%-1.4%1.6K2.9M-68.1K0.9631.63525016,90411,417
2008-02-29$11.43$12.5064.6%18.5%72.3%45.7%67.1%11.8%-3.3%3.8K3.1M-67.9K0.3214.522056516,90111,422