CAR Options History — July 2008

In July 2008, CAR traded between $4.76 and $7.29. ATM implied volatility averaged 102.8%, placing in the 77.3% IV rank vs the trailing year. The 30-day expected move averaged 29.2%. IV traded below realized volatility by 16.7% (HV 20d: 119.5%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 3.06.

Notable Days

  • 2008-07-02: Highest Volume — 5,851 contracts
  • 2008-07-24: Largest IV spike — 23.8% change
  • 2008-07-25: Highest IV Rank — 98.2%
  • 2008-07-25: Largest Expected Move — 35.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.77$4.76$7.29$7.29$6.10
Max Pain$8.07$7.50$10.00$10.00$7.50
ATM IV102.8%80.4%123.0%80.4%119.7%
Expected Move29.2%23.0%35.3%23.0%34.3%
HV 20d119.5%71.5%143.5%71.5%102.5%
HV 60d85.3%62.4%93.3%62.4%93.2%
IV Rank77.3%55.2%98.2%55.2%94.7%
IV Percentile98.1%93.3%99.6%97.6%98.8%
Term Structure-17.4%-41.2%4.1%-0.6%-41.2%
VWIV96.7%69.4%125.8%74.5%112.1%
Skew 25d16.9%-0.9%33.3%8.3%-0.9%
Skew 10d29.5%1.5%50.4%14.3%27.5%
Call IV 25d86.3%63.4%112.0%72.2%100.2%
Put IV 25d103.2%80.5%123.9%80.5%99.4%
Bid-Ask Spread %18.548.2926.1413.0624.42
Gamma HHI0.230.180.490.200.18
Net GEX-4.6K-23.9K18.9K-12.8K6.1K
Net DEX3.7M1.2M8.0M7.8M1.6M
Net VEX-26.7K-36.5K-16.5K-27.8K-36.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.060.0423.447.511.96
Total Volume1,03625,8513,089228
Total OI37,499.09133,88440,28333,88440,166

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-07-01$7.29$10.0080.4%23.0%71.5%55.2%74.5%8.3%-0.6%-12.8K7.8M-27.8K7.5113.063632,72618,67715,207
2008-07-02$5.69$10.0088.9%25.5%100.9%63.9%82.6%15.8%-8.5%-23.9K8.0M-16.5K1.3221.542,5173,33418,75117,299
2008-07-03$5.33$10.0088.7%25.4%99.0%63.6%87.9%14.6%4.1%-12.5K7.1M-18.4K7.1815.338258920,98917,548
2008-07-07$5.05$10.0092.5%24.3%98.9%67.5%84.9%21.5%-7.1%-10.7K6.2M-25.0K1.5512.9945370021,05717,822
2008-07-08$5.60$10.00102.1%25.8%112.3%77.2%83.3%11.2%-5.2%-14.6K7.0M-19.9K1.2614.4766584121,40117,360
2008-07-09$5.50$7.5097.8%28.6%111.8%72.8%79.3%16.4%-16.6%-12.9K6.1M-24.6K0.3218.571,28940721,83317,341
2008-07-10$5.15$7.50101.4%29.1%112.1%75.4%69.4%33.3%-19.9%-7.0K6.0M-20.5K2.088.29377723,00817,275
2008-07-11$4.99$7.50104.4%29.9%111.2%78.5%104.4%31.7%-21.7%-5.7K3.3M-19.2K0.129.594475323,03711,985
2008-07-14$4.76$7.50115.9%33.2%108.9%90.7%114.7%27.9%-34.8%-4.2K3.0M-19.1K23.4412.601637523,36712,003
2008-07-15$4.84$7.50105.6%30.3%109.7%79.8%105.6%31.6%-21.5%-6.9K3.2M-19.3K1.7312.0218331723,35112,249
2008-07-16$5.20$7.50105.0%30.1%117.6%79.2%103.4%0.9%-19.3%-7.9K3.0M-23.4K7.8520.772721223,49512,298
2008-07-17$5.89$7.50109.0%31.3%131.6%83.4%109.5%14.5%-23.8%-3.9K2.3M-29.2K0.0521.242,24812023,52212,355
2008-07-18$5.79$7.50106.9%30.7%131.2%81.3%102.7%11.8%-20.7%-1.5K2.3M-28.7K0.3920.042108225,41112,412
2008-07-21$6.06$7.50120.0%34.4%133.2%95.0%115.9%22.4%-26.1%-3.6K2.6M-28.1K3.1419.508727325,09112,068
2008-07-22$6.36$7.5092.4%26.5%134.9%65.9%92.4%18.8%-12.9%-2.9K2.2M-30.9K0.1120.092512825,16211,935
2008-07-23$6.88$7.5086.6%24.8%138.4%59.8%88.7%15.3%-6.9%-2.5K1.2M-35.8K0.0825.503302525,28511,931
2008-07-24$6.07$7.50107.2%30.7%142.4%81.5%96.7%4.1%-5.8%1.2K1.7M-31.9K0.3124.371534725,44911,936
2008-07-25$6.08$7.50123.0%35.3%141.1%98.2%0.0%29.3%-32.4%2.1K1.7M-32.5K1.0021.601125,37811,968
2008-07-28$5.87$7.50113.6%32.6%141.1%88.3%99.6%10.2%-19.8%1182.1M-29.9K0.0426.142,74610125,37811,968
2008-07-29$6.27$7.5090.7%26.0%143.5%64.2%125.8%21.7%-16.4%4.2K1.8M-36.5K5.7119.60179727,99812,068
2008-07-30$6.13$7.50109.3%31.3%135.9%83.8%0.0%12.1%-25.9%18.9K2.1M-34.6K0.1926.1431627,99612,150
2008-07-31$6.10$7.50119.7%34.3%102.5%94.7%112.1%-0.9%-41.2%6.1K1.6M-36.3K1.9624.427715128,01612,150