CAR Options History — September 2008

In September 2008, CAR traded between $5.74 and $8.29. ATM implied volatility averaged 85.2%, placing in the 49.1% IV rank vs the trailing year. The 30-day expected move averaged 24.4%. IV traded above realized volatility by 4.6% (HV 20d: 80.5%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 2.38.

Notable Days

  • 2008-09-26: Highest Volume — 1,625 contracts
  • 2008-09-29: Largest IV spike — 94.7% change
  • 2008-09-29: Highest IV Rank — 100.0%
  • 2008-09-29: Largest Expected Move — 55.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.03$5.74$8.29$7.98$5.74
Max Pain$7.50$7.50$7.50$7.50$7.50
ATM IV85.2%55.0%195.1%70.5%82.8%
Expected Move24.4%15.8%55.9%20.2%23.7%
HV 20d80.5%60.5%103.8%78.7%100.3%
HV 60d102.5%93.5%110.8%101.6%93.7%
IV Rank49.1%24.0%100.0%38.8%32.1%
IV Percentile82.3%32.9%100.0%76.2%86.1%
Term Structure3.8%-24.1%46.6%-5.1%46.6%
VWIV89.9%67.6%195.1%79.5%67.6%
Skew 25d23.7%2.6%93.2%3.9%56.1%
Skew 10d37.4%5.5%123.9%7.6%54.2%
Call IV 25d67.2%50.4%106.4%61.7%64.1%
Put IV 25d90.8%65.6%156.9%65.6%120.2%
Bid-Ask Spread %35.6518.1999.7618.7946.20
Gamma HHI0.210.190.230.210.23
Net GEX16.5K-4.0K28.6K25.3K-4.0K
Net DEX538.2K-1.3M3.0M-892.0K3.0M
Net VEX-45.6K-56.5K-33.0K-54.7K-33.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.380.0028.550.180.93
Total Volume212.09501,625202282
Total OI38,482.76237,50039,75438,40139,754

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-09-02$7.98$7.5070.5%20.2%78.7%38.8%0.0%3.9%-5.1%25.3K-892.0K-54.7K0.1818.791713125,09813,303
2008-09-03$8.29$7.5079.7%22.9%78.4%47.6%79.5%21.3%-3.0%28.6K-1.3M-56.5K0.0018.7760025,19613,323
2008-09-04$7.95$7.5072.1%20.7%81.0%40.3%0.0%5.1%4.3%26.4K-968.5K-54.3K0.0022.0334025,21113,323
2008-09-05$7.73$7.5069.5%19.9%71.1%37.8%0.0%15.8%7.9%24.8K-630.0K-53.4K0.0038.683025,22113,323
2008-09-08$7.91$7.5071.8%20.4%68.8%40.0%70.9%3.0%7.2%26.8K-890.4K-53.9K0.2230.15511125,22113,323
2008-09-09$7.59$7.5070.6%21.0%66.8%38.9%73.2%15.4%2.8%24.9K-581.0K-52.1K0.6929.09876025,25313,323
2008-09-10$7.85$7.5073.6%21.0%65.3%41.7%0.0%2.8%4.8%26.3K-699.5K-52.9K0.2128.631633525,24713,338
2008-09-11$7.90$7.5074.4%21.3%65.0%42.5%0.0%5.0%5.0%25.8K-657.3K-52.3K0.8125.35645225,17713,351
2008-09-12$7.80$7.5073.2%21.0%60.5%41.4%0.0%20.7%4.4%26.2K-693.8K-52.1K0.0035.440025,22813,351
2008-09-15$7.29$7.5075.7%21.7%64.8%43.7%0.0%20.4%3.2%20.3K282.7K-47.9K2.5225.31215325,22813,351
2008-09-16$7.06$7.5075.1%21.5%63.7%43.2%75.1%30.4%2.0%16.1K1.1M-44.1K0.1228.50891125,22813,382
2008-09-17$6.24$7.5098.9%28.3%73.7%65.8%0.0%14.8%-1.8%9.9K1.7M-39.4K0.4819.60422025,17713,392
2008-09-18$6.51$7.5055.0%15.8%74.3%24.0%74.3%57.3%9.6%12.1K1.4M-41.1K1.7452.0611019125,19813,392
2008-09-19$7.30$7.5077.4%22.2%85.3%45.3%77.4%3.1%2.5%16.9K552.3K-47.6K0.7190.60352525,23113,523
2008-09-22$6.90$7.5075.1%21.5%86.0%43.2%75.1%2.6%5.7%14.7K767.9K-43.3K0.0045.1074024,74812,752
2008-09-23$5.84$7.5098.0%28.1%103.8%64.9%97.8%17.6%0.7%6.5K1.7M-35.6K8.6937.322925224,77712,767
2008-09-24$5.90$7.5099.0%28.4%103.1%65.9%0.0%44.0%1.3%6.2K1.8M-36.3K0.3019.15441324,78612,943
2008-09-25$5.98$7.50100.4%28.8%100.1%67.2%0.0%42.0%1.8%6.6K1.7M-36.3K0.0118.196721024,79412,953
2008-09-26$5.82$7.50100.2%28.7%99.3%67.0%102.8%22.6%4.7%5.5K2.2M-33.3K28.5519.97551,57025,25612,956
2008-09-29$6.10$7.50195.1%55.9%101.2%100.0%195.1%93.2%-24.1%-5962.4M-36.5K1.4399.76142025,26414,476
2008-09-30$5.74$7.5082.8%23.7%100.3%32.1%67.6%56.1%46.6%-4.0K3.0M-33.0K0.9346.2014613625,27814,476