CAR Options History — October 2008

In October 2008, CAR traded between $1.17 and $5.61. ATM implied volatility averaged 178.3%, placing in the 71.3% IV rank vs the trailing year. The 30-day expected move averaged 48.5%. IV traded below realized volatility by 18.5% (HV 20d: 196.7%). Max pain ranged from $2.50 to $10.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 2 of 23 days. Put/call ratio averaged 2.14.

Notable Days

  • 2008-10-10: Highest Volume — 5,624 contracts
  • 2008-10-27: Largest IV spike — 80.3% change
  • 2008-10-10: Highest IV Rank — 100.0%
  • 2008-10-27: Largest Expected Move — 73.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.88$1.17$5.61$5.61$1.64
Max Pain$7.07$2.50$10.00$7.50$2.50
ATM IV178.3%105.8%255.4%105.8%191.3%
Expected Move48.5%30.3%73.2%30.3%54.8%
HV 20d196.7%98.0%285.2%98.2%285.2%
HV 60d139.1%90.8%180.9%91.4%180.9%
IV Rank71.3%46.0%100.0%46.0%70.7%
IV Percentile98.1%94.0%100.0%94.0%96.0%
Term Structure-39.4%-116.0%33.4%-2.3%-48.9%
VWIV143.3%107.2%193.7%120.4%175.3%
Skew 25d18.9%-47.9%67.5%4.9%24.1%
Skew 10d36.5%-47.9%110.4%11.9%49.8%
Call IV 25d131.4%93.2%177.3%115.2%115.6%
Put IV 25d150.3%109.3%225.8%120.1%139.7%
Bid-Ask Spread %18.432.9541.5920.0617.01
Gamma HHI0.160.130.200.200.16
Net GEX1.6K-5166.2K4.6K1.8K
Net DEX1.6M823.1K3.1M3.1M867.5K
Net VEX-16.2K-34.9K-3.1K-32.0K-6.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.140.0230.002.100.02
Total Volume980.783205,62462571
Total OI38,154.26135,18840,50039,87535,209

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-10-01$5.61$7.50105.8%30.3%98.2%46.0%0.0%4.9%-2.3%4.6K3.1M-32.0K2.1020.06204225,31114,564
2008-10-02$5.60$7.50109.9%31.5%98.0%48.5%0.0%17.5%25.2%6.2K2.6M-34.9K0.0523.123,19315825,31114,605
2008-10-03$5.33$7.50122.5%35.1%98.6%56.1%120.4%29.4%-18.7%-5162.6M-33.6K1.4919.4810415525,70114,695
2008-10-06$4.89$10.00139.7%34.7%100.1%66.5%120.2%24.4%-17.4%3972.6M-31.3K1.9029.947013325,72814,772
2008-10-07$4.37$10.00139.4%35.7%104.8%66.3%0.0%26.6%-17.6%252.7M-26.4K0.1928.6059411225,36414,677
2008-10-08$4.55$10.00141.2%36.2%105.3%67.4%124.8%37.0%-15.4%1.0K2.5M-28.2K0.8126.9343635225,49214,734
2008-10-09$3.28$10.00193.8%48.5%148.8%99.2%0.0%25.3%-35.4%2.5K2.3M-20.0K1.1132.541,3281,47625,44414,773
2008-10-10$2.77$10.00222.2%61.9%154.7%100.0%193.7%48.6%-45.5%9921.4M-15.3K0.7841.593,1512,47325,27114,494
2008-10-13$3.08$10.00254.5%50.0%164.3%100.0%156.4%16.9%-28.3%2.3K1.3M-19.9K0.8223.511,08589425,05714,278
2008-10-14$3.96$10.00138.1%37.4%194.8%46.6%134.0%58.6%-23.6%3.7K1.8M-23.7K0.8317.9863252325,53614,001
2008-10-15$2.68$10.00213.1%48.7%231.6%81.0%107.2%65.2%-26.5%1.7K1.5M-15.6K0.2116.9983717325,37013,625
2008-10-16$2.50$10.00180.3%51.7%229.5%66.0%0.0%67.5%-37.2%2.6K1.2M-16.2K0.3312.181605225,36713,253
2008-10-17$2.50$10.00157.8%45.3%222.3%55.7%157.8%49.9%-25.2%1.8K1.5M-13.6K0.0813.555324125,40013,123
2008-10-20$2.50$10.00173.7%49.8%223.1%62.9%175.3%52.6%-39.7%1.1K1.2M-13.4K2.2713.87112524,78511,451
2008-10-21$1.65$10.00174.4%50.0%255.4%63.3%0.0%23.0%-70.0%8191.2M-7.2K0.2411.461,80543324,79311,372
2008-10-22$1.56$2.50200.4%57.5%253.9%75.2%0.0%35.7%-85.3%9691.1M-7.1K1.2714.0916220525,78211,149
2008-10-23$1.35$2.50190.3%54.6%253.5%70.6%0.0%-40.0%-66.2%4121.1M-4.9K0.1115.24941025,92211,036
2008-10-24$1.27$2.50141.6%40.6%253.0%48.2%0.0%-47.9%33.4%421935.4K-4.5K0.008.9102025,93311,001
2008-10-27$1.40$2.50255.4%73.2%256.8%100.0%0.0%-47.4%-83.3%6381.0M-5.6K0.5413.901236725,93410,997
2008-10-28$1.21$2.50242.9%69.6%258.0%94.3%0.0%-6.4%-84.4%669878.0K-3.8K1.852.955410026,0459,802
2008-10-29$1.17$2.50214.6%61.5%257.8%81.4%0.0%-27.6%-116.0%497823.1K-3.1K0.093.711111026,0979,106
2008-10-30$1.45$2.50197.5%56.6%277.0%73.5%0.0%-3.1%-78.4%1.3K843.6K-5.2K30.0016.2813026,1089,080
2008-10-31$1.64$2.50191.3%54.8%285.2%70.7%0.0%24.1%-48.9%1.8K867.5K-6.3K0.0217.015611026,1099,100