CAR Options History — June 2009

In June 2009, CAR traded between $4.31 and $5.67. ATM implied volatility averaged 109.2%, placing in the 35.1% IV rank vs the trailing year. The 30-day expected move averaged 31.2%. IV traded below realized volatility by 13.2% (HV 20d: 122.4%). Max pain ranged from $2.50 to $5.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.49.

Notable Days

  • 2009-06-03: Highest Volume — 2,558 contracts
  • 2009-06-08: Largest IV spike — 10.7% change
  • 2009-06-08: Highest IV Rank — 40.2%
  • 2009-06-01: Largest Expected Move — 34.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.83$4.31$5.67$4.97$5.65
Max Pain$4.55$2.50$5.00$2.50$5.00
ATM IV109.2%94.8%122.9%121.6%101.9%
Expected Move31.2%27.2%34.9%34.9%29.2%
HV 20d122.4%73.0%198.4%198.4%90.8%
HV 60d199.6%167.2%229.4%229.2%167.7%
IV Rank35.1%29.7%40.2%39.7%32.4%
IV Percentile28.7%17.5%40.1%39.3%21.8%
Term Structure5.5%-3.5%15.1%-3.2%11.9%
VWIV108.6%91.2%121.6%121.6%101.9%
Skew 25d16.7%7.8%28.2%13.7%16.4%
Skew 10d35.7%1.0%87.1%18.5%32.2%
Call IV 25d101.7%93.7%109.6%101.6%97.6%
Put IV 25d118.4%103.9%132.3%115.2%114.1%
Bid-Ask Spread %21.969.2943.7514.0422.15
Gamma HHI0.330.240.450.380.33
Net GEX25.2K16.7K39.6K24.3K39.1K
Net DEX-2.0M-3.6M-1.1M-2.2M-3.4M
Net VEX-15.2K-18.4K-13.6K-14.2K-18.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.002.370.270.02
Total Volume700.636962,558800417
Total OI18,200.68215,87219,91115,87219,911

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-06-01$4.97$2.50121.6%34.9%198.4%39.7%121.6%13.7%-3.2%24.3K-2.2M-14.2K0.2714.0463017012,4463,426
2009-06-02$5.14$2.50118.7%34.0%198.2%38.7%120.7%15.4%-3.5%26.4K-2.4M-14.6K0.3510.771,47651312,6133,553
2009-06-03$4.92$2.50111.1%31.8%153.0%35.8%111.0%13.5%6.9%19.1K-1.8M-14.3K0.119.292,30525311,9764,009
2009-06-04$4.63$2.50113.9%32.6%151.2%36.8%113.9%17.0%0.7%21.6K-1.8M-15.9K0.2412.2262014914,0764,134
2009-06-05$4.56$5.00111.1%32.8%147.2%35.8%113.5%15.0%3.6%20.6K-1.7M-15.2K0.3241.592257113,7574,282
2009-06-08$4.31$5.00122.9%33.1%142.6%40.2%109.9%14.3%1.5%17.9K-1.3M-13.7K1.2131.6827633313,6824,225
2009-06-09$4.64$5.00115.0%33.2%143.5%37.3%115.7%13.7%1.1%22.1K-1.7M-15.0K1.1442.9120123013,8884,317
2009-06-10$4.51$5.00115.9%32.4%144.2%37.6%112.9%14.4%3.2%21.2K-1.6M-14.2K0.0027.74263013,8764,306
2009-06-11$4.82$5.00110.7%31.7%115.0%35.7%110.7%15.7%4.3%26.4K-2.0M-15.5K1.4742.1935451914,0474,306
2009-06-12$5.08$5.00111.4%31.9%115.4%35.9%107.5%14.2%3.5%29.8K-2.4M-16.5K0.1043.755535714,2344,399
2009-06-15$4.79$5.00110.9%31.8%119.3%35.7%110.9%14.9%5.9%29.1K-2.0M-15.3K1.2129.75668014,2994,441
2009-06-16$4.74$5.00109.7%31.4%116.3%35.3%109.0%14.0%5.6%30.0K-1.8M-15.3K0.4214.801285414,5124,497
2009-06-17$4.70$5.00113.3%32.5%107.1%36.6%113.4%20.7%2.3%32.2K-1.6M-15.0K0.0115.29345214,5844,530
2009-06-18$4.54$5.00105.3%30.2%105.1%33.6%105.3%22.0%10.0%17.2K-1.3M-14.0K2.3710.998119214,6724,528
2009-06-19$4.42$5.00104.1%29.8%101.6%33.2%0.0%25.9%7.4%16.7K-1.1M-13.6K0.2613.413579214,7264,608
2009-06-22$4.32$5.00104.8%30.1%101.1%33.5%104.9%23.5%9.5%17.2K-1.3M-13.6K0.0216.37266613,3314,044
2009-06-23$4.49$5.00100.0%28.7%95.4%31.7%100.0%28.0%11.6%19.0K-1.4M-13.8K0.3310.67722413,4384,039
2009-06-24$4.45$5.00108.0%31.0%73.0%34.7%107.8%7.8%0.8%18.8K-1.4M-13.8K0.3015.3095428313,4754,063
2009-06-25$5.29$5.0099.4%28.5%91.5%31.5%99.4%28.2%10.4%28.9K-2.6M-16.3K0.1413.871,41319314,1493,995
2009-06-26$5.54$5.0099.0%28.4%91.7%31.3%99.0%10.3%13.0%36.5K-3.2M-17.9K0.1023.928488915,0784,118
2009-06-29$5.67$5.0094.8%27.2%91.4%29.7%91.2%8.2%15.1%39.6K-3.6M-18.4K0.3320.531916315,6534,172
2009-06-30$5.65$5.00101.9%29.2%90.8%32.4%101.9%16.4%11.9%39.1K-3.4M-18.2K0.0222.154071015,7074,204