CAR Options History — March 2009

In March 2009, CAR traded between $0.36 and $1.09. ATM implied volatility averaged 179.8%, placing in the 68.6% IV rank vs the trailing year. The 30-day expected move averaged 51.0%. IV traded below realized volatility by 28.7% (HV 20d: 208.6%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.40.

Notable Days

  • 2009-03-26: Highest Volume — 120 contracts
  • 2009-03-18: Largest IV spike — 59.1% change
  • 2009-03-31: Highest IV Rank — 96.2%
  • 2009-03-27: Largest Expected Move — 53.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.60$0.36$1.09$0.42$0.91
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV179.8%125.0%246.2%198.4%246.2%
Expected Move51.0%46.9%53.7%46.9%53.7%
HV 20d208.6%132.5%313.9%133.8%302.2%
HV 60d182.7%160.2%218.3%166.8%218.3%
IV Rank68.6%45.8%96.2%76.3%96.2%
IV Percentile82.8%58.7%99.2%94.0%99.2%
Term Structure11.7%-41.1%40.8%-41.1%35.5%
Skew 25d11.3%-44.9%50.6%42.8%-2.9%
Skew 10d11.3%-44.9%50.6%42.8%-2.9%
Call IV 25d109.4%86.4%154.4%89.1%141.7%
Put IV 25d120.7%95.5%157.6%131.9%138.8%
Bid-Ask Spread %8.316.7912.5810.3712.58
Gamma HHI0.900.211.000.211.00
Net GEX12026700
Net DEX91.1K56.1K149.9K74.8K146.3K
Net VEX-39-854000
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.001.400.001.40
Total Volume14.955012000
Total OI8,5458,4478,7648,7648,643

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-03-02$0.42$2.50198.4%0.0%133.8%76.3%0.0%42.8%0.0%074.8K00.0010.37006,9821,782
2009-03-03$0.39$2.50194.3%0.0%132.5%74.6%0.0%35.1%0.0%069.5K00.006.94006,9821,782
2009-03-04$0.43$2.50184.0%0.0%133.1%70.3%0.0%28.5%0.0%069.0K00.006.944806,9821,605
2009-03-05$0.36$2.50138.1%0.0%142.1%51.2%0.0%26.2%0.0%056.1K00.0011.49006,9821,559
2009-03-06$0.39$0.00198.4%0.0%147.8%76.3%0.0%17.7%0.0%060.8K00.057.954026,9821,559
2009-03-09$0.38$0.00140.0%0.0%147.7%52.0%0.0%32.6%0.0%059.2K00.007.54006,9421,559
2009-03-10$0.45$0.00186.6%0.0%163.4%71.4%0.0%33.7%0.0%070.2K00.006.79006,9421,559
2009-03-11$0.42$0.00196.4%0.0%164.1%75.5%0.0%9.7%0.0%065.5K00.006.87006,9421,559
2009-03-12$0.40$0.00141.5%0.0%163.6%52.6%0.0%20.4%0.0%062.4K00.007.95006,9421,559
2009-03-13$0.41$0.00130.4%0.0%162.8%48.0%0.0%23.1%0.0%063.9K00.008.70006,9421,559
2009-03-16$0.44$0.00198.4%0.0%166.4%76.3%0.0%31.4%0.0%068.6K00.006.87006,9421,559
2009-03-17$0.43$0.00125.0%0.0%160.9%45.8%0.0%12.6%0.0%067.0K00.006.87006,9421,559
2009-03-18$0.45$0.00198.9%0.0%162.3%76.5%0.0%50.6%0.0%070.2K00.006.871006,9421,559
2009-03-19$0.55$0.00175.9%0.0%175.0%66.9%0.0%-34.4%0.0%085.7K00.007.91006,9421,559
2009-03-20$1.09$0.00163.7%46.9%299.0%61.9%0.0%29.3%-41.1%267110.7K-8540.008.532006,9421,557
2009-03-23$0.84$0.00185.3%53.1%313.9%70.8%0.0%3.1%0.0%0126.3K01.366.9011156,9441,503
2009-03-24$0.89$0.00199.1%0.0%309.8%76.6%0.0%-6.7%0.0%0134.2K00.009.653306,9551,508
2009-03-25$0.81$0.00175.4%50.3%305.1%66.7%0.0%-42.7%0.0%0122.1K00.008.04006,9851,508
2009-03-26$0.92$0.00178.4%51.2%301.7%68.0%0.0%-29.0%40.8%0138.7K01.4010.8550706,9851,508
2009-03-27$0.95$0.00187.4%53.7%297.7%71.7%0.0%0.0%35.5%0149.9K00.009.440207,0351,578
2009-03-30$0.83$0.00214.6%0.0%304.3%83.0%0.0%-44.9%0.0%0132.6K00.006.900107,0351,598
2009-03-31$0.91$0.00246.2%0.0%302.2%96.2%0.0%-2.9%0.0%0146.3K00.0012.58007,0351,608