CAR Options History — June 2008

In June 2008, CAR traded between $8.37 and $14.00. ATM implied volatility averaged 61.9%, placing in the 36.6% IV rank vs the trailing year. The 30-day expected move averaged 17.4%. IV traded above realized volatility by 11.9% (HV 20d: 50.0%). Max pain ranged from $10.00 to $15.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 5.09.

Notable Days

  • 2008-06-24: Highest Volume — 5,381 contracts
  • 2008-06-04: Largest IV drop — 21.2% change
  • 2008-06-30: Highest IV Rank — 48.8%
  • 2008-06-30: Largest Expected Move — 21.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.75$8.37$14.00$13.25$8.37
Max Pain$12.26$10.00$15.00$15.00$10.00
ATM IV61.9%49.7%74.0%57.9%74.0%
Expected Move17.4%14.2%21.2%16.6%21.2%
HV 20d50.0%43.8%59.9%47.6%59.9%
HV 60d55.6%51.8%58.1%57.5%58.1%
IV Rank36.6%24.3%48.8%32.5%48.8%
IV Percentile71.6%44.0%95.2%65.1%95.2%
Term Structure3.2%-3.3%8.0%-2.0%2.4%
VWIV61.6%54.4%68.8%56.8%68.8%
Skew 25d7.5%-17.8%16.4%0.9%3.0%
Skew 10d18.2%-12.5%34.1%2.1%6.9%
Call IV 25d54.9%46.7%70.0%54.6%70.0%
Put IV 25d62.4%45.0%75.1%55.5%73.0%
Bid-Ask Spread %22.219.2630.3022.1524.31
Gamma HHI0.260.150.630.230.15
Net GEX-56.6K-139.0K-7.9K-50.8K-10.8K
Net DEX5.0M-1.1M7.6M2.9M7.5M
Net VEX-60.6K-81.9K-29.6K-78.0K-37.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.090.0052.833.6015.66
Total Volume777.571225,3811842,549
Total OI31,126.14313,73933,91230,65533,690

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-06-02$13.25$15.0057.9%16.6%47.6%32.5%56.8%0.9%-2.0%-50.8K2.9M-78.0K3.6022.154014416,08514,570
2008-06-03$13.30$15.0063.1%18.1%47.5%37.8%56.9%8.2%-2.9%-47.7K3.0M-77.4K1.5020.84223316,08514,599
2008-06-04$13.86$12.5049.7%14.2%49.8%24.3%57.9%8.1%-1.1%-40.5K2.0M-78.3K1.4726.0930244416,10514,596
2008-06-05$14.00$15.0052.7%15.1%46.1%27.4%0.0%10.7%-3.3%-38.1K1.5M-81.9K0.8729.18948216,20114,793
2008-06-06$13.46$12.5063.8%17.2%47.9%38.5%0.0%11.0%3.6%-50.5K2.4M-79.7K6.4330.3010164916,17314,812
2008-06-09$13.30$12.5066.1%16.8%48.1%40.8%0.0%12.1%6.8%-89.4K3.3M-74.7K0.0223.3843116,25515,332
2008-06-10$13.21$12.5066.4%16.9%46.4%41.2%0.0%13.8%2.9%-85.3K3.5M-73.6K0.0024.2522016,25715,331
2008-06-11$12.51$12.5062.9%16.7%50.0%37.6%0.0%13.0%5.3%-103.6K4.6M-68.5K0.1218.0642516,27115,331
2008-06-12$12.45$12.5060.0%17.2%48.4%34.7%0.0%10.0%2.7%-101.7K5.0M-68.5K2.7723.038323016,25715,336
2008-06-13$12.63$12.5056.4%16.2%46.3%31.1%0.0%12.5%3.8%-118.0K5.0M-66.8K1.9625.837671,50016,29015,317
2008-06-16$12.71$12.5059.5%17.0%45.7%34.1%0.0%15.8%4.0%-95.8K-1.1M-29.6K1.2824.601271627,1756,564
2008-06-17$12.05$12.5057.6%16.5%47.7%32.2%60.9%6.1%2.0%-139.0K6.2M-64.4K9.0430.218375016,95816,200
2008-06-18$11.77$12.5059.7%17.1%47.8%34.4%59.6%16.4%4.0%-72.3K7.2M-59.9K0.1620.4645717,01315,817
2008-06-19$11.76$12.5054.6%15.6%43.8%29.2%54.4%15.0%4.8%-67.2K7.4M-59.5K0.0017.92029217,02615,810
2008-06-20$10.88$12.5064.8%18.6%48.3%39.5%63.8%5.8%8.0%-17.0K7.6M-54.1K52.8321.171895117,02615,576
2008-06-23$10.12$12.5066.3%19.0%51.5%41.0%67.0%2.1%7.8%-18.7K6.9M-46.4K0.3824.2141015716,34614,149
2008-06-24$9.45$10.0068.0%19.5%54.8%42.8%68.0%-4.7%4.3%-16.4K7.4M-40.8K1.6313.602,0463,33516,63114,183
2008-06-25$9.75$10.0065.0%18.6%55.4%39.7%62.0%4.9%5.9%-7.9K6.8M-48.9K0.569.2622112318,49715,168
2008-06-26$9.00$10.0067.0%19.2%58.9%41.8%58.4%-17.8%4.6%-8.5K7.2M-43.7K0.8614.13948118,65215,260
2008-06-27$8.91$10.0065.4%18.8%58.9%40.2%66.3%10.2%3.9%-9.5K7.6M-40.8K0.7723.4315511918,65215,260
2008-06-30$8.37$10.0074.0%21.2%59.9%48.8%68.8%3.0%2.4%-10.8K7.5M-37.5K15.6624.311532,39618,61515,075