CAR Options History — November 2009

In November 2009, CAR traded between $8.45 and $11.11. ATM implied volatility averaged 88.3%, placing in the 27.3% IV rank vs the trailing year. The 30-day expected move averaged 25.3%. IV traded above realized volatility by 0.2% (HV 20d: 88.1%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.15.

Notable Days

  • 2009-11-10: Highest Volume — 32,162 contracts
  • 2009-11-03: Largest IV drop — 11.7% change
  • 2009-11-02: Highest IV Rank — 37.0%
  • 2009-11-02: Largest Expected Move — 32.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.06$8.45$11.11$8.45$9.75
Max Pain$9.88$7.50$10.00$10.00$10.00
ATM IV88.3%68.3%114.3%114.3%75.5%
Expected Move25.3%19.6%32.8%32.8%21.7%
HV 20d88.1%71.4%97.3%71.4%75.6%
HV 60d79.0%76.1%83.4%77.7%76.1%
IV Rank27.3%19.9%37.0%37.0%22.6%
IV Percentile22.1%0.8%43.3%43.3%5.6%
Term Structure-0.4%-14.9%8.4%-14.9%1.6%
VWIV86.0%67.6%109.7%109.7%75.5%
Skew 25d14.0%-13.5%36.8%24.6%4.9%
Skew 10d29.2%-22.5%97.8%97.8%7.3%
Call IV 25d79.7%64.7%99.0%99.0%77.3%
Put IV 25d93.7%55.6%123.6%123.6%82.2%
Bid-Ask Spread %14.078.6125.8915.0010.88
Gamma HHI0.290.210.460.220.26
Net GEX222.7K4.4K456.8K4.4K81.0K
Net DEX-9.8M-24.8M2.6M2.6M-1.0M
Net VEX-152.1K-194.9K-107.3K-107.3K-127.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.157.923.367.92
Total Volume6,354.6580132,16212,5601,195
Total OI105,13983,695119,33483,69596,683

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-11-02$8.45$10.00114.3%32.8%71.4%37.0%109.7%24.6%-14.9%4.4K2.6M-107.3K3.3615.002,8839,67749,71233,983
2009-11-03$9.42$10.00100.9%28.9%82.6%32.0%101.7%17.5%-7.2%48.7K-1.4M-123.8K0.238.6112,7723,00250,22639,091
2009-11-04$9.11$10.00103.6%29.7%81.3%33.0%104.1%36.8%-9.1%120.2K-2.3M-127.3K0.349.833,7571,26458,08139,979
2009-11-05$9.57$7.5092.3%26.5%82.7%28.8%92.0%32.7%-2.4%189.1K-6.1M-133.9K0.4010.886,6802,65559,43139,142
2009-11-06$9.57$10.0094.0%25.2%81.5%29.4%89.6%14.7%-1.1%166.4K-5.9M-138.5K0.1810.513,55463359,35041,025
2009-11-09$10.46$10.0091.4%25.5%89.0%28.5%86.8%20.1%-1.7%319.2K-15.1M-155.4K0.1525.898,2891,24462,40339,812
2009-11-10$10.61$10.0095.0%29.0%89.3%29.8%92.9%13.0%-5.4%371.3K-19.4M-169.4K0.3414.7624,0468,11666,47640,231
2009-11-11$11.11$10.0095.8%27.5%89.3%30.1%92.8%12.1%-2.1%456.8K-24.8M-194.9K0.5612.533,9382,19574,42844,906
2009-11-12$10.03$10.0092.7%26.6%95.5%28.9%87.7%14.0%0.5%315.6K-12.7M-175.5K0.669.921,8141,18973,68544,998
2009-11-13$10.46$10.0092.8%26.6%96.1%29.0%84.7%13.6%-1.6%348.7K-15.6M-177.8K0.6914.591,17381172,83645,173
2009-11-16$10.85$10.0089.6%25.7%97.3%27.8%87.0%14.8%3.0%298.9K-20.8M-178.4K0.8020.791,6361,31673,40445,379
2009-11-17$10.93$10.0088.5%25.4%96.3%27.4%86.1%16.1%2.2%321.3K-21.2M-178.7K1.8314.6428351873,53445,761
2009-11-18$10.78$10.0087.9%25.2%96.2%27.2%78.9%13.4%-1.7%304.8K-19.4M-177.0K0.1514.4110,5001,54973,00445,760
2009-11-19$10.34$10.0084.1%24.1%97.3%25.8%83.4%12.7%2.9%298.1K-12.6M-162.9K1.3215.608691,14668,51146,385
2009-11-20$10.12$10.0080.6%23.1%95.6%24.4%79.1%9.5%3.1%366.8K-9.4M-154.9K0.5114.831,64183866,56345,622
2009-11-23$9.92$10.0072.9%20.9%94.7%21.6%73.3%8.0%8.4%113.7K-3.6M-144.6K0.6215.811,55896656,18639,304
2009-11-24$10.08$10.0072.7%20.8%90.0%21.5%73.9%13.1%4.5%126.3K-4.1M-142.3K0.7511.1267050256,22039,749
2009-11-25$10.02$10.0068.3%19.6%80.9%19.9%67.6%-13.5%8.1%118.5K-2.6M-139.1K0.9018.0545741257,90239,912
2009-11-27$9.62$10.0072.5%20.8%79.2%21.4%73.0%2.1%4.1%83.5K-891.8K-132.1K1.3612.8557077558,07939,854
2009-11-30$9.75$10.0075.5%21.7%75.6%22.6%75.5%4.9%1.6%81.0K-1.0M-127.8K7.9210.881341,06156,54940,134