CAR Options History — February 2009

In February 2009, CAR traded between $0.40 and $0.79. ATM implied volatility averaged 153.0%, placing in the 57.4% IV rank vs the trailing year. The 30-day expected move averaged 43.4%. IV traded above realized volatility by 9.7% (HV 20d: 143.3%). Max pain ranged from $2.50 to $5.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 0.00.

Notable Days

  • 2009-02-23: Highest Volume — 100 contracts
  • 2009-02-23: Largest IV spike — 952.8% change
  • 2009-02-25: Highest IV Rank — 76.1%
  • 2009-02-03: Largest Expected Move — 56.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.63$0.40$0.79$0.72$0.40
Max Pain$3.75$2.50$5.00$5.00$2.50
ATM IV153.0%15.0%197.9%108.8%187.0%
Expected Move43.4%4.3%56.3%56.3%4.3%
HV 20d143.3%96.2%180.4%178.7%131.4%
HV 60d202.9%167.6%222.4%221.2%167.6%
IV Rank57.4%0.0%76.1%39.0%71.5%
IV Percentile74.9%0.0%94.0%62.7%89.3%
Term Structure-60.1%-94.8%-28.9%-94.8%-87.8%
Skew 25d15.3%-48.7%77.1%-0.8%20.2%
Skew 10d15.3%-48.7%77.1%-0.8%20.2%
Call IV 25d110.8%70.6%159.4%154.5%91.4%
Put IV 25d126.1%95.1%175.1%153.8%111.6%
Bid-Ask Spread %8.874.2017.314.208.17
Gamma HHI1.001.001.001.001.00
Net GEX00000
Net DEX183.2K71.3K260.0K237.4K71.3K
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume9.474010060
Total OI12,633.8428,76414,08814,0888,764

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-02-02$0.72$5.00108.8%0.0%178.7%39.0%0.0%-0.8%0.0%0237.4K00.004.200610,7913,297
2009-02-03$0.79$5.00196.5%56.3%180.4%75.5%0.0%29.3%-94.8%0260.0K00.004.200010,7913,291
2009-02-04$0.73$5.00114.4%0.0%168.7%41.4%0.0%11.4%0.0%0240.2K00.006.020010,7913,291
2009-02-05$0.72$5.00193.4%0.0%168.5%74.2%0.0%46.3%0.0%0237.0K00.004.2012010,7913,291
2009-02-06$0.71$0.00173.3%49.7%167.9%65.8%0.0%4.6%-58.1%0233.7K00.0010.570010,7823,291
2009-02-09$0.72$0.00164.2%47.1%168.0%62.1%0.0%8.4%-28.9%0237.0K00.0016.030010,7823,291
2009-02-10$0.69$0.00148.0%42.4%162.3%55.3%0.0%16.0%-31.0%0204.3K00.0017.3101010,7822,961
2009-02-11$0.70$0.00183.4%52.6%159.9%70.1%0.0%1.0%0.0%0207.6K00.0011.690010,7822,966
2009-02-12$0.73$0.00179.7%51.5%152.8%68.5%0.0%50.8%-87.8%0216.5K00.0010.060010,7822,966
2009-02-13$0.70$0.00127.5%0.0%135.5%46.8%0.0%19.8%0.0%0207.6K00.008.850410,7822,966
2009-02-17$0.61$0.00135.5%0.0%140.4%50.1%0.0%5.1%0.0%0181.2K00.008.710010,7822,970
2009-02-18$0.59$0.00134.7%0.0%133.7%49.8%0.0%-45.2%0.0%0175.1K00.007.346010,7822,967
2009-02-19$0.53$0.00143.0%0.0%109.4%53.3%0.0%-48.7%0.0%0144.2K00.008.505010,7822,721
2009-02-20$0.55$0.0015.0%4.3%98.6%0.0%0.0%77.1%0.0%0147.5K00.009.3203710,7772,682
2009-02-23$0.50$0.00157.9%0.0%96.2%59.5%0.0%2.8%0.0%0120.0K00.007.1701006,9822,401
2009-02-24$0.59$2.50175.3%0.0%115.2%66.7%0.0%46.6%0.0%0144.9K00.0010.62006,9822,456
2009-02-25$0.50$2.50197.9%0.0%125.2%76.1%0.0%29.9%0.0%0114.1K00.008.37006,9822,282
2009-02-26$0.44$2.50171.5%0.0%130.4%65.1%0.0%15.4%0.0%0100.4K00.007.22006,9822,282
2009-02-27$0.40$2.50187.0%0.0%131.4%71.5%0.0%20.2%0.0%071.3K00.008.17006,9821,782