CAR Options History — May 2009

In May 2009, CAR traded between $2.07 and $4.99. ATM implied volatility averaged 136.4%, placing in the 45.2% IV rank vs the trailing year. The 30-day expected move averaged 36.4%. IV traded below realized volatility by 70.3% (HV 20d: 206.6%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.84.

Notable Days

  • 2009-05-27: Highest Volume — 3,015 contracts
  • 2009-05-11: Largest IV spike — 33.9% change
  • 2009-05-11: Highest IV Rank — 66.6%
  • 2009-05-05: Largest Expected Move — 45.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.64$2.07$4.99$2.07$4.80
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV136.4%99.0%193.7%124.5%115.5%
Expected Move36.4%28.4%45.5%35.7%33.1%
HV 20d206.6%192.4%240.8%193.3%199.3%
HV 60d235.7%223.5%241.5%223.5%233.7%
IV Rank45.2%31.3%66.6%40.8%37.5%
IV Percentile49.8%29.8%85.3%46.0%36.1%
Term Structure-3.2%-45.7%24.9%3.0%-0.6%
VWIV123.6%105.3%155.3%131.3%115.3%
Skew 25d16.5%1.2%42.2%20.2%17.7%
Skew 10d49.5%16.9%70.5%41.8%27.1%
Call IV 25d103.9%81.2%127.0%98.2%100.4%
Put IV 25d120.4%115.6%128.1%118.4%118.2%
Bid-Ask Spread %37.0611.4672.1135.8211.53
Gamma HHI0.260.170.480.450.38
Net GEX8.9K4.1K22.3K5.1K22.3K
Net DEX-916.5K-1.9M-108.1K-142.0K-1.9M
Net VEX-8.3K-13.7K-3.6K-3.6K-13.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.025.550.540.15
Total Volume707.5373,01537308
Total OI12,531.810,29215,68010,29215,680

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-05-01$2.07$2.50124.5%35.7%193.3%40.8%131.3%20.2%3.0%5.1K-142.0K-3.6K0.5435.8224138,4031,889
2009-05-04$2.21$2.50128.0%37.3%192.4%42.1%130.0%10.8%-3.7%5.3K-108.1K-3.6K0.0338.106828,4181,887
2009-05-05$3.25$2.50149.7%45.5%220.3%50.2%155.3%42.2%-42.3%4.1K-647.2K-5.5K0.1857.521,1592048,4381,885
2009-05-06$3.65$2.50173.2%44.9%219.2%58.9%137.6%15.8%-28.4%6.1K-924.4K-6.8K0.1032.361,3991338,8582,016
2009-05-07$3.35$2.50167.1%39.2%222.2%56.7%0.0%1.2%11.2%5.0K-865.6K-6.9K0.6637.196944619,4892,113
2009-05-08$3.82$2.50144.6%32.4%216.4%48.3%115.3%1.6%10.3%7.4K-1.0M-8.1K0.1239.72733859,4252,501
2009-05-11$3.67$2.50193.7%41.3%216.9%66.6%132.4%12.9%2.2%7.6K-980.0K-7.9K0.0265.31842209,9482,573
2009-05-12$3.70$2.50170.0%33.2%217.6%57.7%105.3%7.7%24.9%8.8K-1.1M-8.6K0.4572.1139117510,5312,571
2009-05-13$2.95$2.50148.6%38.6%240.8%49.8%135.3%8.2%12.8%6.7K-785.5K-7.6K1.0738.2320221610,6452,596
2009-05-14$3.03$2.50134.5%38.6%217.3%44.5%107.2%40.6%3.7%6.7K-679.5K-7.3K0.0938.804333710,6922,773
2009-05-15$3.11$2.50132.5%38.0%197.5%43.8%133.1%13.9%1.5%5.9K-552.0K-6.4K0.1235.251291510,6152,803
2009-05-18$3.43$2.50141.7%40.6%199.0%47.2%134.6%22.6%-45.7%7.3K-588.3K-7.2K1.4546.8542619,6572,320
2009-05-19$3.94$2.5099.0%28.4%201.9%31.3%112.8%23.6%-2.1%6.7K-801.8K-8.2K0.1752.725901009,6622,355
2009-05-20$4.25$2.50114.2%32.7%193.8%37.0%113.6%17.9%1.4%11.2K-1.1M-9.9K1.1425.962592969,9712,429
2009-05-21$3.94$2.50120.5%34.5%197.4%39.3%120.5%13.3%-3.8%10.1K-958.7K-9.6K2.6131.7712131610,0832,549
2009-05-22$3.81$2.50119.5%34.3%198.5%38.9%119.5%13.6%-1.9%6.9K-837.5K-9.3K5.5542.415329410,1592,778
2009-05-26$4.22$2.50114.8%32.9%193.4%37.2%114.9%18.6%-0.1%10.7K-1.1M-10.2K0.1714.223115210,2082,971
2009-05-27$4.99$2.50115.4%33.1%195.4%37.4%115.6%12.8%-1.2%14.3K-1.7M-12.5K0.1811.462,55645910,2743,012
2009-05-28$4.60$2.50120.7%34.6%200.4%39.4%119.7%15.0%-4.7%20.1K-1.7M-13.0K2.0813.8629160612,0893,370
2009-05-29$4.80$2.50115.5%33.1%199.3%37.5%115.3%17.7%-0.6%22.3K-1.9M-13.7K0.1511.532674112,2953,385