CAR Options History — August 2009

In August 2009, CAR traded between $8.84 and $11.57. ATM implied volatility averaged 81.3%, placing in the 24.7% IV rank vs the trailing year. The 30-day expected move averaged 23.5%. IV traded above realized volatility by 17.1% (HV 20d: 64.2%). Max pain ranged from $5.00 to $10.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.23.

Notable Days

  • 2009-08-11: Highest Volume — 4,024 contracts
  • 2009-08-24: Largest IV spike — 14.2% change
  • 2009-08-03: Highest IV Rank — 29.2%
  • 2009-08-03: Largest Expected Move — 26.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.20$8.84$11.57$8.84$9.73
Max Pain$8.69$5.00$10.00$5.00$10.00
ATM IV81.3%75.2%93.5%93.5%81.5%
Expected Move23.5%21.6%26.8%26.8%23.4%
HV 20d64.2%55.7%77.2%64.1%77.2%
HV 60d86.2%76.7%104.9%104.9%77.6%
IV Rank24.7%22.4%29.2%29.2%24.8%
IV Percentile13.6%8.3%15.9%15.9%13.9%
Term Structure2.8%-9.1%8.3%-9.1%3.5%
VWIV82.7%70.9%98.7%96.6%80.7%
Skew 25d11.5%-3.9%21.9%13.1%10.2%
Skew 10d23.2%1.8%57.8%30.3%16.0%
Call IV 25d77.5%63.6%85.0%83.9%82.2%
Put IV 25d89.0%73.7%97.1%97.0%92.4%
Bid-Ask Spread %18.229.5031.7812.8431.78
Gamma HHI0.340.280.450.280.39
Net GEX10.9K-21.9K49.9K14.1K6.5K
Net DEX-7.6M-13.0M-4.0M-5.4M-4.0M
Net VEX-58.1K-67.9K-47.2K-47.2K-65.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.230.128.800.751.07
Total Volume1,491.4294094,024822713
Total OI39,183.52433,36945,03633,36942,704

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-08-03$8.84$5.0093.5%26.8%64.1%29.2%96.6%13.1%-9.1%14.1K-5.4M-47.2K0.7512.8447135116,66216,707
2009-08-04$8.94$5.0092.7%26.6%60.3%29.0%96.3%12.2%-6.5%15.6K-5.6M-47.9K0.8011.6831925516,89416,790
2009-08-05$9.39$5.0079.9%22.9%55.7%24.2%77.8%12.6%1.4%20.2K-6.7M-48.2K1.3719.1570997017,03416,881
2009-08-06$9.23$5.0078.3%22.5%56.0%23.6%98.7%11.6%2.5%7.9K-6.0M-48.2K0.4622.6264829917,07017,544
2009-08-07$9.60$7.5076.2%22.8%56.2%22.8%81.9%12.4%2.5%12.0K-7.0M-48.9K0.8821.1935731317,46417,633
2009-08-10$10.47$7.5080.7%23.8%55.7%24.5%82.9%13.8%2.3%13.7K-9.5M-49.9K0.9010.291,3431,21517,73417,737
2009-08-11$10.15$7.5076.7%22.9%58.9%23.0%80.0%10.8%4.5%972-8.4M-49.6K4.8016.826943,33018,37218,407
2009-08-12$10.41$10.0079.4%23.2%58.9%24.0%77.5%13.9%2.8%-13.4K-8.4M-56.8K0.9016.3457451718,29721,470
2009-08-13$10.63$10.0079.9%22.9%57.5%24.2%80.7%12.2%5.4%-11.0K-8.8M-57.4K0.2916.273189118,40421,682
2009-08-14$10.61$10.0080.2%23.0%58.3%24.3%70.9%12.0%4.6%-9.8K-8.9M-57.4K0.7721.9635927718,57121,673
2009-08-17$9.89$10.0083.9%24.0%61.4%25.7%83.2%13.6%1.9%-18.6K-6.7M-55.9K0.2120.501,35328818,73621,794
2009-08-18$9.92$10.0085.1%24.4%60.8%26.1%84.8%10.0%2.5%-21.9K-6.9M-57.3K0.1214.572,30227319,04221,883
2009-08-19$10.08$10.0084.7%24.3%60.4%26.0%83.2%10.5%2.2%-8.8K-8.3M-61.6K0.2415.1271817420,97922,019
2009-08-20$11.51$10.0077.3%22.2%69.6%23.2%84.0%11.8%5.6%40.4K-13.0M-63.4K0.7026.901,9691,37021,31022,089
2009-08-21$11.57$10.0075.2%21.6%69.2%22.4%82.4%10.9%8.1%40.0K-12.7M-67.8K0.5318.8678541921,84623,190
2009-08-24$11.17$10.0085.9%24.6%70.4%26.4%79.4%10.9%2.6%31.7K-8.4M-65.9K0.3428.071,18640019,10219,934
2009-08-25$11.26$10.0078.8%22.6%70.5%23.8%79.1%21.9%2.4%38.7K-8.8M-66.8K0.289.501,52342119,49620,028
2009-08-26$10.73$10.0079.9%22.9%73.0%24.2%79.5%-3.9%5.7%49.9K-7.6M-67.9K8.8010.482422,13020,70420,068
2009-08-27$10.06$10.0079.6%22.8%77.1%24.1%79.5%9.5%5.2%10.8K-4.9M-67.8K1.0314.0959160920,72421,544
2009-08-28$10.01$10.0077.9%22.3%76.8%23.4%78.2%11.7%8.3%11.0K-4.6M-67.6K0.5223.6829315120,98121,655
2009-08-31$9.73$10.0081.5%23.4%77.2%24.8%80.7%10.2%3.5%6.5K-4.0M-65.9K1.0731.7834536821,13221,572