CAR Options History — May 2008

In May 2008, CAR traded between $13.00 and $15.20. ATM implied volatility averaged 57.5%, placing in the 35.1% IV rank vs the trailing year. The 30-day expected move averaged 16.0%. IV traded above realized volatility by 7.8% (HV 20d: 49.6%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 3.39.

Notable Days

  • 2008-05-07: Highest Volume — 2,033 contracts
  • 2008-05-07: Largest IV drop — 39.0% change
  • 2008-05-06: Highest IV Rank — 64.3%
  • 2008-05-02: Largest Expected Move — 22.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.99$13.00$15.20$13.75$13.92
Max Pain$13.21$12.50$15.00$12.50$15.00
ATM IV57.5%36.5%87.0%73.5%46.4%
Expected Move16.0%13.3%22.9%21.1%13.3%
HV 20d49.6%39.6%58.3%58.3%44.2%
HV 60d58.7%55.8%62.0%61.3%57.3%
IV Rank35.1%16.6%64.3%51.6%21.0%
IV Percentile60.8%19.4%99.2%95.2%38.9%
Term Structure1.6%-15.2%8.6%-8.1%3.7%
VWIV55.8%47.4%80.1%72.3%47.4%
Skew 25d9.9%0.4%25.4%9.4%11.8%
Skew 10d18.2%-8.6%36.0%14.3%31.0%
Call IV 25d50.5%39.6%70.2%64.0%46.3%
Put IV 25d60.4%51.5%81.1%73.4%58.1%
Bid-Ask Spread %25.348.6747.2614.5722.33
Gamma HHI0.240.190.340.230.21
Net GEX15.2K-40.1K111.7K18.4K-39.6K
Net DEX-25.9K-3.4M2.1M-395.7K1.9M
Net VEX-76.9K-84.2K-67.7K-74.3K-81.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.390.1019.331.460.33
Total Volume666.81202,033490161
Total OI29,095.61925,67830,56628,62430,566

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-05-01$13.75$12.5073.5%21.1%58.3%51.6%72.3%9.4%-8.1%18.4K-395.7K-74.3K1.4614.5719929117,21711,407
2008-05-02$13.70$12.5079.9%22.9%58.2%57.6%80.1%10.9%-15.2%17.0K-314.7K-75.6K2.918.676719517,30611,567
2008-05-05$13.56$12.5085.0%18.0%54.5%62.4%64.3%8.5%0.0%15.2K123.7K-73.4K3.4435.0922677817,36211,574
2008-05-06$13.67$12.5087.0%17.3%51.9%64.3%55.1%7.2%4.6%27.5K7.8K-72.7K1.3029.2232642317,52011,391
2008-05-07$13.00$12.5053.1%16.0%55.3%32.3%58.0%10.0%5.6%18.4K965.2K-67.7K0.7247.261,17985417,53911,392
2008-05-08$13.29$12.5064.5%17.3%55.6%43.0%54.9%13.1%2.8%21.5K929.3K-69.7K0.1520.651362118,01311,745
2008-05-09$13.36$12.5059.1%16.4%53.9%37.9%51.7%13.3%5.4%23.3K409.8K-71.4K0.4621.32241118,10311,766
2008-05-12$13.82$12.5036.5%14.2%54.2%16.6%49.2%15.4%6.6%20.1K-310.8K-69.8K0.1128.82921018,11411,775
2008-05-13$13.82$12.5043.8%14.3%54.0%23.5%54.6%16.0%5.5%21.3K-594.2K-70.9K0.3327.941535018,18811,765
2008-05-14$14.22$12.5057.0%15.2%51.4%36.0%53.1%6.2%1.6%38.8K-1.6M-74.9K0.5730.0623413318,23211,815
2008-05-15$14.75$12.5051.4%14.7%52.1%30.7%50.7%7.8%4.7%83.3K-2.2M-79.5K0.1021.54971018,33411,872
2008-05-16$15.00$12.5048.0%13.8%47.0%27.5%48.1%3.2%8.6%111.7K-3.4M-80.8K0.4533.191,32059418,36411,847
2008-05-19$15.20$12.5051.4%14.7%41.7%30.7%50.1%13.6%-0.2%19.9K-1.4M-84.2K0.2632.532486415,53210,146
2008-05-20$14.94$12.5047.9%13.7%39.6%27.4%47.7%3.1%5.2%23.7K-1.3M-82.3K1.0824.0824726815,67610,171
2008-05-21$14.02$12.5048.5%13.9%46.6%28.0%51.4%0.4%4.6%22.5K-87.6K-77.4K10.2634.731401,43615,87010,436
2008-05-22$14.37$15.0053.1%15.2%41.9%28.0%67.4%25.4%-2.4%9.4K170.7K-79.2K13.4917.051111,49715,87411,778
2008-05-23$13.74$15.0060.6%17.4%45.4%35.3%55.7%6.8%-4.6%-23.4K1.2M-79.8K11.2518.391641,84515,92713,171
2008-05-27$13.63$15.0056.7%16.2%44.9%31.3%57.4%7.3%1.8%-40.1K2.1M-82.0K19.3318.271529016,02214,511
2008-05-28$13.98$15.0047.2%13.5%45.7%21.7%47.7%12.6%5.4%-38.6K1.8M-82.4K2.0821.15245016,02314,536
2008-05-29$14.04$15.0056.0%16.1%45.7%30.7%0.0%6.4%-2.0%-31.1K1.4M-84.2K1.0025.28101016,03514,526
2008-05-30$13.92$15.0046.4%13.3%44.2%21.0%47.4%11.8%3.7%-39.6K1.9M-81.8K0.3322.331214016,03014,536