CAR Options History — August 2008

In August 2008, CAR traded between $5.88 and $8.21. ATM implied volatility averaged 77.9%, placing in the 47.0% IV rank vs the trailing year. The 30-day expected move averaged 21.8%. IV traded below realized volatility by 10.3% (HV 20d: 88.3%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 29.76.

Notable Days

  • 2008-08-15: Highest Volume — 6,761 contracts
  • 2008-08-07: Largest IV drop — 45.8% change
  • 2008-08-06: Highest IV Rank — 100.0%
  • 2008-08-01: Largest Expected Move — 32.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.25$5.88$8.21$6.03$7.62
Max Pain$7.02$5.00$7.50$7.50$7.50
ATM IV77.9%57.1%134.8%111.7%60.4%
Expected Move21.8%16.4%32.0%32.0%17.3%
HV 20d88.3%76.0%99.4%99.4%79.1%
HV 60d98.3%92.7%101.3%92.9%101.1%
IV Rank47.0%26.0%100.0%86.3%29.1%
IV Percentile75.2%43.3%100.0%97.6%49.6%
Term Structure0.8%-24.8%14.6%-10.3%5.1%
VWIV72.5%57.1%100.5%75.8%61.9%
Skew 25d13.3%-11.5%20.7%9.6%15.7%
Skew 10d31.3%-11.5%53.0%38.7%21.1%
Call IV 25d79.4%60.5%173.7%98.2%65.3%
Put IV 25d92.8%75.2%162.2%107.8%81.0%
Bid-Ask Spread %23.7612.8542.1824.9523.34
Gamma HHI0.250.150.510.190.21
Net GEX5.9K-58.1K31.7K4.1K25.3K
Net DEX-132.9K-2.7M2.3M2.0M-690.1K
Net VEX-45.0K-52.5K-33.6K-34.1K-52.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio29.760.00533.000.67533.00
Total Volume749.476506,761683534
Total OI39,066.04836,11541,84640,29537,893

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-08-01$6.03$7.50111.7%32.0%99.4%86.3%75.8%9.6%-10.3%4.1K2.0M-34.1K0.0024.95068328,05212,243
2008-08-04$5.88$5.00123.2%29.3%97.6%98.4%100.5%3.1%-17.5%4.7K2.1M-33.6K0.6720.7620613928,05212,910
2008-08-05$6.15$5.00105.7%27.4%92.0%80.0%0.0%-11.5%-2.4%18.6K2.3M-34.8K0.3518.38551928,24612,982
2008-08-06$6.22$5.00134.8%29.7%91.7%100.0%91.9%8.4%-24.8%3.0K1.9M-35.6K2.6220.195213628,29312,982
2008-08-07$7.02$5.0073.1%20.4%96.1%41.2%70.2%-0.8%4.3%-9.1K578.0K-42.5K0.9336.2753049528,31412,991
2008-08-08$7.43$7.5067.8%21.1%95.5%36.1%73.6%17.2%-0.2%-25.6K89.3K-45.8K0.0727.132,55618128,48213,364
2008-08-11$7.91$7.5078.6%20.3%93.2%46.4%59.9%20.7%4.2%-23.2K-1.4M-47.6K2.4329.309322627,96313,467
2008-08-12$7.52$7.5063.5%20.2%97.0%32.1%70.5%13.7%4.9%-58.1K-401.0K-46.2K0.0815.251331028,01813,603
2008-08-13$7.68$7.5060.0%22.7%95.2%28.8%79.1%15.7%-0.1%-48.8K-944.1K-47.6K1.4442.18365227,92113,603
2008-08-14$8.20$7.5077.3%22.2%88.6%45.2%76.6%15.6%1.2%-1.1K-2.4M-50.3K4.2330.744719927,90713,604
2008-08-15$8.21$7.5072.8%20.9%87.9%40.9%74.8%13.2%6.5%31.7K-2.7M-51.4K0.5525.584,3602,40127,92913,760
2008-08-18$7.83$7.5074.7%21.4%90.1%42.8%0.0%14.6%-2.6%25.8K-1.2M-52.0K1.6429.17396424,54011,575
2008-08-19$7.35$7.5074.1%21.2%93.0%42.2%0.0%15.1%-0.7%21.6K-581.1K-48.7K7.1018.372014224,56411,619
2008-08-20$7.01$7.5069.0%19.8%90.9%37.3%0.0%18.9%4.2%18.1K-65.2K-45.2K2.9412.85175024,56711,701
2008-08-21$6.95$7.5066.3%19.0%77.9%34.8%65.9%20.2%6.2%17.0K294.9K-43.3K0.0025.9478024,56711,743
2008-08-22$7.28$7.5057.1%16.4%79.1%26.0%57.1%17.5%14.6%18.5K243.2K-44.8K0.0634.611991224,54311,743
2008-08-25$7.09$7.5069.1%19.8%78.5%37.4%69.0%17.8%4.6%20.5K118.1K-44.0K0.3615.35562024,70511,743
2008-08-26$7.29$7.5066.8%19.2%76.0%35.3%66.8%18.3%4.2%21.7K33.4K-45.1K0.0113.63355524,74211,755
2008-08-27$7.75$7.5064.2%18.4%77.4%32.7%0.0%17.9%8.8%29.1K-855.5K-48.3K7.3315.7664425,09411,755
2008-08-28$7.93$7.5065.9%18.9%77.3%34.4%65.9%18.8%5.8%31.1K-1.3M-50.6K29.3919.20491,44025,09711,755
2008-08-29$7.62$7.5060.4%17.3%79.1%29.1%61.9%15.7%5.1%25.3K-690.1K-52.5K533.0023.34153325,09712,796