CAR Options History — April 2009

In April 2009, CAR traded between $0.76 and $2.40. ATM implied volatility averaged 177.7%, placing in the 62.5% IV rank vs the trailing year. The 30-day expected move averaged 49.3%. IV traded below realized volatility by 80.0% (HV 20d: 257.7%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 1.02.

Notable Days

  • 2009-04-22: Highest Volume — 1,570 contracts
  • 2009-04-08: Largest IV drop — 39.3% change
  • 2009-04-07: Highest IV Rank — 100.0%
  • 2009-04-07: Largest Expected Move — 81.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.50$0.76$2.40$0.84$2.09
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV177.7%127.7%283.4%248.7%143.8%
Expected Move49.3%36.6%81.2%70.5%41.2%
HV 20d257.7%192.3%321.6%304.4%192.3%
HV 60d219.8%213.2%224.7%218.6%224.3%
IV Rank62.5%42.0%100.0%97.2%48.0%
IV Percentile72.6%51.6%100.0%99.2%56.3%
Term Structure-52.3%-189.1%-6.0%-153.3%-26.7%
VWIV158.4%138.2%182.4%149.4%138.2%
Skew 25d-1.7%-44.6%53.9%-25.6%53.9%
Skew 10d8.8%-44.6%52.7%-25.6%40.4%
Call IV 25d120.1%65.1%150.6%146.6%65.1%
Put IV 25d118.4%91.6%157.7%121.0%119.0%
Bid-Ask Spread %15.365.2035.1910.4629.61
Gamma HHI0.570.181.001.000.38
Net GEX1.8K06.0K04.5K
Net DEX13.1K-304.7K156.6K135.1K-171.3K
Net VEX-1.9K-4.9K00-3.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.0010.002.001.31
Total Volume28301,5701530
Total OI9,178.0488,27010,4048,64310,291

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-04-01$0.84$0.00248.7%0.0%304.4%97.2%0.0%-25.6%0.0%0135.1K02.0010.465107,0351,608
2009-04-02$0.88$0.00218.8%0.0%294.0%84.8%0.0%0.0%0.0%0142.4K00.0010.560207,0351,618
2009-04-03$0.87$2.50246.1%70.5%294.4%96.1%0.0%-41.9%-153.3%0142.5K00.007.43007,0351,638
2009-04-06$0.80$2.50242.9%69.6%296.8%94.8%0.0%-42.6%-189.1%0131.0K00.007.39007,0351,638
2009-04-07$0.80$2.50283.4%81.2%292.9%100.0%0.0%-44.6%-182.6%0131.0K00.005.208307,0351,638
2009-04-08$0.76$2.50171.9%49.3%292.2%58.5%0.0%-32.4%-66.5%0124.5K00.009.70006,9601,638
2009-04-09$0.95$2.50144.5%41.4%298.3%48.3%0.0%-27.2%-56.7%0155.6K010.009.211106,9601,638
2009-04-13$0.92$2.50127.7%36.6%299.5%42.0%0.0%-26.9%-24.1%0151.6K00.0013.351006,9611,648
2009-04-14$0.95$2.50140.8%40.4%299.3%46.9%0.0%-36.1%-25.0%0156.6K00.008.62006,9611,648
2009-04-15$1.05$2.50141.8%40.6%299.1%47.2%0.0%-4.9%-34.4%188121.3K-7060.267.5538106,9611,648
2009-04-16$1.46$2.50181.1%51.9%315.8%61.9%0.0%4.0%-37.9%223151.0K-1.0K0.029.431,281206,6391,631
2009-04-17$1.93$2.50128.6%36.9%321.6%42.3%149.4%-36.2%-19.2%1.9K-14.9K-3.1K0.0715.99460307,7961,651
2009-04-20$1.93$2.50169.3%48.5%222.9%57.5%169.9%53.3%-6.0%1.3K26.0K-2.8K0.1722.91360607,1171,675
2009-04-21$1.90$2.50182.0%52.2%196.1%62.2%182.4%31.2%-29.9%1.0K102.0K-2.2K0.1823.2855107,3651,719
2009-04-22$2.31$2.50157.8%45.2%203.6%53.2%157.8%24.0%-17.4%3.7K-206.3K-4.5K0.0315.671,520507,3901,718
2009-04-23$2.35$2.50152.4%43.7%197.0%51.2%152.3%27.0%-20.8%6.0K-304.7K-4.6K0.0625.501,310838,6361,768
2009-04-24$2.40$2.50161.7%46.3%195.3%54.7%160.3%41.5%-26.5%5.3K-297.8K-4.9K0.5420.25154838,3881,823
2009-04-27$2.14$2.50161.1%46.2%203.7%54.4%161.1%13.2%-21.8%4.6K-169.2K-4.2K0.2222.52114258,3401,906
2009-04-28$2.01$2.50174.2%49.9%196.9%59.3%0.0%12.5%-31.3%4.0K-103.3K-3.5K0.0012.760108,3881,891
2009-04-29$2.13$2.50153.7%44.1%196.2%51.7%154.4%23.4%-24.5%4.6K-127.6K-3.7K0.4435.1970318,3881,881
2009-04-30$2.09$2.50143.8%41.2%192.3%48.0%138.2%53.9%-26.7%4.5K-171.3K-3.9K1.3129.6113178,4011,890