CAR Options History — January 2009

In January 2009, CAR traded between $0.66 and $1.01. ATM implied volatility averaged 152.7%, placing in the 57.3% IV rank vs the trailing year. The 30-day expected move averaged 43.4%. IV traded below realized volatility by 27.2% (HV 20d: 179.8%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 3.14.

Notable Days

  • 2009-01-06: Highest Volume — 204 contracts
  • 2009-01-15: Largest IV spike — 23.9% change
  • 2009-01-30: Highest IV Rank — 75.8%
  • 2009-01-30: Largest Expected Move — 56.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.82$0.66$1.01$0.75$0.69
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV152.7%119.2%197.1%149.3%197.1%
Expected Move43.4%34.1%56.5%48.1%56.5%
HV 20d179.8%164.7%208.6%179.4%179.8%
HV 60d242.0%220.9%263.4%263.1%220.9%
IV Rank57.3%43.4%75.8%55.9%75.8%
IV Percentile80.6%71.0%93.7%80.6%93.7%
Term Structure-18.7%-97.1%48.7%48.7%-86.4%
Skew 25d8.4%-74.6%147.4%0.6%-3.1%
Skew 10d8.4%-74.6%147.4%0.6%-3.1%
Call IV 25d126.9%87.4%191.9%191.9%110.7%
Put IV 25d135.3%94.0%234.8%192.4%107.7%
Bid-Ask Spread %4.662.085.752.085.24
Gamma HHI0.730.211.001.001.00
Net GEX14-10710400
Net DEX334.4K227.7K458.1K370.6K227.7K
Net VEX-348-1.1K000
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.140.0030.001.581.00
Total Volume41.402041070
Total OI22,493.814,09129,09828,98614,091

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-01-02$0.75$5.00149.3%0.0%179.4%55.9%0.0%0.6%0.0%0370.6K00.002.0801024,0454,941
2009-01-05$0.80$5.00167.9%48.1%171.0%63.6%0.0%5.6%48.7%0394.5K00.003.700424,0454,931
2009-01-06$0.96$5.00149.8%34.1%181.9%56.1%0.0%-18.8%42.1%54402.7K-1.1K1.584.207912524,0454,927
2009-01-07$0.97$5.00121.7%34.9%180.8%44.4%0.0%-13.8%43.8%64405.0K-1.1K0.653.02312024,0744,910
2009-01-08$0.99$5.00125.5%36.0%176.0%46.0%0.0%-4.3%29.2%40418.2K-1.1K30.004.5813024,1054,920
2009-01-09$0.95$5.00121.4%34.8%171.4%44.3%0.0%-17.6%28.4%-107437.8K-5341.065.62646824,1064,936
2009-01-12$0.83$5.00119.2%34.2%165.1%43.4%0.0%-62.2%45.3%67351.8K-9640.104.6341424,1224,976
2009-01-13$0.89$5.00144.7%41.5%166.3%53.9%0.0%10.5%-23.5%64336.7K-1.1K0.004.81128024,1594,540
2009-01-14$1.01$5.00124.3%35.6%164.7%45.5%0.0%147.4%-21.7%0458.1K00.005.0601024,2654,536
2009-01-15$0.82$5.00154.0%44.2%180.7%57.8%0.0%6.0%-27.8%104302.8K-1.1K0.005.7525024,2654,536
2009-01-16$0.75$5.00144.8%41.5%183.6%54.0%0.0%0.6%-47.0%0340.2K00.004.333024,2844,536
2009-01-20$0.66$5.00144.4%41.4%188.3%53.8%0.0%-15.4%-59.4%0256.7K00.005.2141011,0223,890
2009-01-21$0.82$5.00145.3%41.7%201.3%54.2%0.0%96.6%-52.3%0317.5K00.155.3240611,0423,872
2009-01-22$0.70$5.00167.1%47.9%208.6%63.3%0.0%0.6%-61.4%0271.5K01.005.27141411,0823,878
2009-01-23$0.76$5.00196.8%56.4%182.8%75.6%0.0%78.3%-97.1%0294.7K00.005.630011,0963,878
2009-01-26$0.79$5.00163.5%46.9%178.2%61.8%0.0%13.3%-65.5%0297.0K00.004.970011,0963,760
2009-01-27$0.82$5.00161.8%46.4%178.0%61.1%0.0%85.1%-66.3%0302.3K00.004.330011,0963,687
2009-01-28$0.79$5.00170.2%48.8%178.6%64.5%0.0%-66.8%8.9%0260.7K00.004.330010,7913,300
2009-01-29$0.73$5.00184.8%53.0%180.4%70.6%0.0%-74.6%6.5%0240.9K00.005.100010,7913,300
2009-01-30$0.69$5.00197.1%56.5%179.8%75.8%0.0%-3.1%-86.4%0227.7K00.005.2407010,7913,300