CAR Options History — July 2009

In July 2009, CAR traded between $5.20 and $8.55. ATM implied volatility averaged 94.9%, placing in the 29.8% IV rank vs the trailing year. The 30-day expected move averaged 28.8%. IV traded above realized volatility by 12.0% (HV 20d: 82.9%). 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 13 of 22 days. Put/call ratio averaged 2.80.

Notable Days

  • 2009-07-29: Highest Volume — 6,164 contracts
  • 2009-07-10: Largest IV drop — 31.3% change
  • 2009-07-09: Highest IV Rank — 35.9%
  • 2009-07-10: Largest Expected Move — 33.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.77$5.20$8.55$5.85$8.55
Max Pain$4.66$2.50$5.00$5.00$5.00
ATM IV94.9%71.9%111.4%98.2%95.5%
Expected Move28.8%25.8%33.3%28.1%27.4%
HV 20d82.9%69.3%90.5%89.6%70.1%
HV 60d142.6%106.9%166.4%166.0%106.9%
IV Rank29.8%21.2%35.9%31.0%30.0%
IV Percentile18.5%7.1%30.2%17.9%17.1%
Term Structure2.1%-6.6%19.8%11.5%-5.6%
VWIV102.6%89.0%115.9%97.6%91.6%
Skew 25d17.1%9.3%33.9%24.4%15.3%
Skew 10d32.6%-0.6%56.4%44.1%22.5%
Call IV 25d91.7%77.6%104.1%83.6%77.6%
Put IV 25d108.9%92.8%118.5%108.0%92.8%
Bid-Ask Spread %19.8211.6130.2121.8220.46
Gamma HHI0.270.200.410.310.27
Net GEX37.1K16.7K55.1K40.1K16.7K
Net DEX-4.5M-6.5M-2.7M-3.7M-4.9M
Net VEX-22.7K-46.1K-16.6K-18.6K-46.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.800.0622.890.063.50
Total Volume1,195.9551006,164521621
Total OI22,029.09119,76432,99119,76432,991

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-07-01$5.85$5.0098.2%28.1%89.6%31.0%97.6%24.4%11.5%40.1K-3.7M-18.6K0.0621.824932815,5604,204
2009-07-02$5.70$5.0090.0%25.8%86.8%27.9%89.0%18.7%19.8%41.7K-3.5M-18.0K0.1124.851731915,6504,204
2009-07-06$5.39$2.50109.1%31.4%89.5%35.1%109.5%17.9%1.9%41.5K-3.0M-17.0K1.1818.89657715,6884,219
2009-07-07$5.20$2.50106.7%32.3%87.9%34.2%112.6%17.5%-1.2%41.4K-2.7M-16.6K1.6315.59386215,7264,162
2009-07-08$5.71$2.50104.0%32.6%90.0%33.2%112.9%20.3%-1.8%26.6K-3.7M-17.1K3.4913.693241,13015,7364,213
2009-07-09$5.63$5.00111.4%32.2%89.4%35.9%112.4%9.3%-0.3%35.5K-3.2M-18.1K1.5418.596510015,6465,281
2009-07-10$5.74$5.0076.4%33.3%87.0%22.9%115.9%20.3%-3.6%36.3K-3.4M-18.3K1.8814.838616215,6765,346
2009-07-13$6.28$5.0071.9%28.2%90.5%21.2%111.4%33.9%6.9%25.7K-4.3M-19.2K0.0915.154794115,6305,448
2009-07-14$6.32$5.0077.0%28.4%86.7%23.1%110.8%11.4%3.2%27.0K-4.4M-19.3K4.1713.7116367915,8215,449
2009-07-15$6.45$5.0078.4%27.2%86.2%23.6%111.1%18.6%8.0%27.0K-4.4M-20.0K2.6911.6119251615,7245,762
2009-07-16$6.38$5.0097.8%28.0%86.3%30.8%106.4%31.0%6.7%25.3K-4.2M-20.3K0.4113.6632613315,6496,141
2009-07-17$6.55$5.0096.9%27.8%84.4%30.5%99.5%13.1%3.1%27.0K-4.5M-20.7K0.2127.0887518415,7526,121
2009-07-20$7.19$5.0095.5%27.4%86.6%30.0%100.0%13.6%3.2%37.6K-4.6M-22.5K1.1718.7758067614,6625,788
2009-07-21$7.11$5.0095.4%27.4%85.8%30.0%97.0%11.2%0.5%37.8K-4.5M-22.3K0.9225.0645141514,8816,127
2009-07-22$7.10$5.0096.6%27.7%86.1%30.4%98.2%14.7%1.0%37.9K-4.5M-22.6K0.1226.2888210615,1186,279
2009-07-23$7.70$5.0096.4%27.6%87.7%30.3%94.1%16.5%2.4%46.9K-5.7M-24.7K0.4730.2154925615,7116,297
2009-07-24$8.05$5.0093.6%26.8%69.3%29.3%92.6%10.8%4.6%50.5K-6.5M-25.5K0.1921.691,71632815,8796,328
2009-07-27$7.88$5.00100.9%28.9%70.2%32.0%97.6%17.4%-3.5%50.5K-6.1M-25.7K0.4525.8527512516,0566,500
2009-07-28$8.05$5.0098.2%28.2%70.2%31.0%100.2%16.8%-0.3%52.0K-6.3M-25.4K0.0614.591,2117715,9426,531
2009-07-29$7.88$5.0096.7%27.7%71.2%30.4%97.0%13.9%-3.2%55.1K-6.1M-25.4K22.8927.732585,90616,3366,534
2009-07-30$8.27$5.00100.6%28.9%71.8%31.9%98.9%10.2%-6.6%36.4K-5.5M-35.5K14.4515.973545,11516,47311,399
2009-07-31$8.55$5.0095.5%27.4%70.1%30.0%91.6%15.3%-5.6%16.7K-4.9M-46.1K3.5020.4613848316,59716,394