CAR Options History — October 2009

In October 2009, CAR traded between $8.30 and $13.28. ATM implied volatility averaged 83.9%, placing in the 25.7% IV rank vs the trailing year. The 30-day expected move averaged 24.7%. IV traded above realized volatility by 11.1% (HV 20d: 72.7%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.02.

Notable Days

  • 2009-10-07: Highest Volume — 24,451 contracts
  • 2009-10-28: Largest IV spike — 22.7% change
  • 2009-10-30: Highest IV Rank — 34.2%
  • 2009-10-30: Largest Expected Move — 30.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.23$8.30$13.28$12.23$8.40
Max Pain$10.23$10.00$12.50$12.50$10.00
ATM IV83.9%71.4%106.7%82.8%106.7%
Expected Move24.7%22.2%30.6%23.8%30.6%
HV 20d72.7%59.7%75.8%72.8%75.1%
HV 60d72.5%70.3%78.1%71.6%78.1%
IV Rank25.7%21.0%34.2%25.3%34.2%
IV Percentile16.9%1.2%37.3%15.9%37.3%
Term Structure-3.1%-11.3%3.6%2.7%-9.7%
VWIV89.3%80.3%105.1%85.5%105.1%
Skew 25d14.3%7.0%24.5%13.1%11.2%
Skew 10d35.9%5.1%77.1%15.4%67.6%
Call IV 25d80.0%72.1%99.4%77.6%99.4%
Put IV 25d94.3%87.4%110.7%90.7%110.7%
Bid-Ask Spread %15.377.9923.1521.547.99
Gamma HHI0.250.210.370.250.23
Net GEX100.7K-63.8K384.2K23.2K-36.0K
Net DEX-8.8M-24.2M7.6M-9.2M5.7M
Net VEX-107.7K-137.9K-78.8K-78.8K-86.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.142.561.850.16
Total Volume5,663.95562224,4513,4107,270
Total OI71,005.18250,61983,22950,61980,241

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-10-01$12.23$12.5082.8%23.8%72.8%25.3%85.5%13.1%2.7%23.2K-9.2M-78.8K1.8521.541,1982,21222,94427,675
2009-10-02$12.17$12.5081.5%23.4%72.9%24.8%82.6%7.0%3.6%19.0K-8.6M-81.8K1.0223.0133834523,83629,081
2009-10-05$12.78$10.0085.3%24.6%73.6%26.2%92.1%14.2%-5.5%37.7K-11.1M-80.6K1.3822.0326136123,94829,132
2009-10-06$13.28$10.0084.6%24.8%74.2%25.9%90.9%12.9%-6.0%50.3K-13.1M-79.7K0.8123.1565953124,02229,251
2009-10-07$12.50$10.0084.8%24.7%73.8%26.0%87.4%18.2%-4.6%24.8K-9.6M-80.5K2.5115.696,97517,47623,95429,349
2009-10-08$11.78$10.0075.3%24.1%75.5%22.5%103.2%10.4%-3.6%44.6K-8.2M-92.7K0.5413.8413,1227,09329,61430,856
2009-10-09$12.12$10.0071.4%23.3%75.8%21.0%90.5%15.4%-0.5%198.6K-15.4M-128.3K0.1413.865,69279641,47529,400
2009-10-12$12.06$10.0081.1%24.6%75.4%24.6%92.1%16.2%-3.5%233.9K-17.2M-127.3K0.6819.835,3663,66544,09929,683
2009-10-13$11.97$10.0074.4%24.0%72.9%22.1%89.4%17.6%-2.6%273.5K-19.4M-128.2K0.3018.542,40171147,22631,610
2009-10-14$12.54$10.0071.4%23.9%73.8%21.0%92.0%15.9%-2.1%326.5K-24.2M-137.9K0.3911.701,75667748,77932,325
2009-10-15$12.22$10.0083.5%23.9%73.6%25.5%87.6%15.7%-2.7%384.2K-20.4M-134.5K0.4317.6294340647,75532,334
2009-10-16$11.66$10.0081.4%23.3%74.6%24.8%81.9%11.4%-1.2%135.5K-14.9M-127.1K0.2614.255,1431,35647,32632,497
2009-10-19$11.62$10.0077.6%22.2%74.3%23.3%80.3%12.9%0.8%139.4K-11.8M-126.0K0.5611.391,39078441,10531,207
2009-10-20$11.16$10.0087.5%25.1%75.2%27.0%84.6%11.3%-4.2%120.3K-9.3M-122.6K1.8217.521,0391,89342,15331,476
2009-10-21$10.94$10.0086.3%24.7%74.7%26.6%80.7%10.2%-2.7%102.9K-8.0M-123.0K2.5615.484161,06542,83832,453
2009-10-22$10.96$10.0084.2%24.1%71.5%25.8%81.2%15.9%-4.6%103.5K-7.2M-122.4K1.419.701,2231,72743,04432,984
2009-10-23$10.37$10.0083.4%23.9%73.6%25.5%84.5%11.3%-2.2%69.4K-4.1M-116.7K0.3112.662,47477643,80433,771
2009-10-26$9.96$10.0083.6%24.0%59.7%25.6%84.5%13.9%-1.7%48.0K-2.0M-109.8K1.7410.8450988744,79733,880
2009-10-27$9.19$10.0084.9%24.4%63.9%26.1%99.0%15.3%-3.0%-552.3M-98.8K1.1417.406,3937,29343,57034,058
2009-10-28$8.30$10.00104.2%29.9%70.1%33.3%99.4%20.4%-11.3%-63.8K7.6M-90.6K0.8910.822,9692,63744,45838,771
2009-10-29$8.92$10.0089.5%25.7%73.6%27.8%90.9%24.5%-2.9%-21.0K3.6M-94.9K1.519.191,7452,63443,42135,912
2009-10-30$8.40$10.00106.7%30.6%75.1%34.2%105.1%11.2%-9.7%-36.0K5.7M-86.8K0.167.996,28698444,31235,929