CAR Options History — December 2008

In December 2008, CAR traded between $0.56 and $0.81. ATM implied volatility averaged 166.4%, placing in the 60.0% IV rank vs the trailing year. The 30-day expected move averaged 49.0%. IV traded below realized volatility by 99.5% (HV 20d: 266.0%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 0.27.

Notable Days

  • 2008-12-17: Highest Volume — 103 contracts
  • 2008-12-31: Largest IV spike — 845.1% change
  • 2008-12-01: Highest IV Rank — 91.3%
  • 2008-12-01: Largest Expected Move — 67.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.69$0.56$0.81$0.63$0.70
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV166.4%15.0%236.3%236.3%141.8%
Expected Move49.0%4.3%67.7%67.7%4.3%
HV 20d266.0%187.1%304.8%301.8%187.1%
HV 60d254.1%243.7%262.9%243.7%262.8%
IV Rank60.0%0.0%91.3%91.3%52.7%
IV Percentile84.5%0.0%98.8%98.8%79.8%
Term Structure-28.0%-161.2%73.0%-161.2%-35.4%
Skew 25d-30.7%-182.3%132.9%-129.2%-56.5%
Skew 10d-26.9%-182.2%132.9%-129.2%-56.5%
Call IV 25d177.8%117.9%234.2%234.2%180.0%
Put IV 25d147.1%0.6%263.6%105.1%123.6%
Bid-Ask Spread %3.112.069.313.382.06
Gamma HHI0.510.161.000.161.00
Net GEX23905154270
Net DEX251.7K122.5K370.6K122.5K345.9K
Net VEX-1.1K-2.3K0-2.0K0
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.270.002.000.000.00
Total Volume14.6360103410
Total OI29,034.04528,97129,15829,11228,986

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-12-01$0.63$5.00236.3%67.7%301.8%91.3%0.0%-129.2%-161.2%427122.5K-2.0K0.003.3841023,8485,264
2008-12-02$0.69$5.00178.9%51.3%279.8%65.1%0.0%-24.8%-48.1%0363.2K00.003.010023,8785,264
2008-12-03$0.81$5.00150.1%43.0%290.4%51.9%0.0%132.9%-19.5%389270.6K-2.0K0.002.400023,8785,264
2008-12-04$0.69$5.00169.0%48.4%293.1%60.5%0.0%-25.2%-22.8%0353.8K00.002.5010023,8785,127
2008-12-05$0.70$5.00186.0%53.3%293.5%68.3%0.0%0.0%-23.7%422182.7K-2.0K0.002.840023,8785,127
2008-12-08$0.75$5.00169.3%48.5%294.6%60.7%0.0%46.3%-25.8%515154.4K-2.3K0.002.750023,8785,127
2008-12-09$0.68$5.00178.1%51.1%294.2%64.7%0.0%-36.3%-28.9%467132.1K-2.2K2.002.294823,8785,127
2008-12-10$0.78$5.00168.4%48.3%295.0%60.3%0.0%29.0%-27.3%446223.5K-2.2K0.003.700023,8805,135
2008-12-11$0.65$5.00195.9%56.2%298.9%72.8%0.0%-68.6%-32.5%422145.9K-2.0K0.002.750023,8805,135
2008-12-12$0.65$5.00198.6%56.9%299.0%74.1%0.0%-75.5%73.0%0333.8K00.002.210023,8805,135
2008-12-15$0.75$5.00186.4%53.4%304.8%68.5%0.0%58.8%-35.6%417219.9K-2.1K0.002.810023,8805,135
2008-12-16$0.70$5.00161.7%46.4%298.4%57.2%0.0%-80.9%-1.6%413185.6K-2.0K0.009.310023,8805,135
2008-12-17$0.68$5.00180.2%51.6%276.0%65.6%0.0%-11.6%-2.9%0349.2K00.042.3499423,8805,135
2008-12-18$0.64$5.00146.9%0.0%262.5%50.4%0.0%-85.3%0.0%327196.6K-1.7K0.002.9627023,9775,135
2008-12-19$0.60$5.00189.6%54.4%254.4%70.0%0.0%-90.4%0.0%338167.5K-1.6K0.002.9142023,9855,135
2008-12-22$0.56$5.00140.6%0.0%254.1%47.5%0.0%8.3%0.0%284170.4K-1.4K0.672.50211424,0235,135
2008-12-23$0.75$5.00173.7%49.8%241.1%62.7%0.0%-4.3%-35.4%398217.1K-1.9K0.003.1810024,0234,955
2008-12-24$0.67$5.00143.6%0.0%245.1%48.9%0.0%-39.4%0.0%0331.0K00.002.890024,0304,941
2008-12-26$0.70$5.00149.5%0.0%200.1%51.6%0.0%-43.9%0.0%0345.9K00.003.400024,0304,941
2008-12-29$0.72$5.00202.2%0.0%199.8%75.7%0.0%-182.3%0.0%0355.8K00.002.9610024,0304,941
2008-12-30$0.75$5.0015.0%4.3%187.8%0.0%0.0%3.0%0.0%0370.6K00.003.1832024,0354,941
2008-12-31$0.70$5.00141.8%0.0%187.1%52.7%0.0%-56.5%0.0%0345.9K00.002.060024,0454,941