CAR Options History — December 2009

In December 2009, CAR traded between $10.02 and $13.52. ATM implied volatility averaged 55.6%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 16.4%. IV traded below realized volatility by 7.0% (HV 20d: 62.7%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.95.

Notable Days

  • 2009-12-04: Highest Volume — 15,503 contracts
  • 2009-12-04: Largest IV drop — 17.8% change
  • 2009-12-02: Highest IV Rank — 21.2%
  • 2009-12-02: Largest Expected Move — 20.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.34$10.02$13.52$10.02$13.12
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV55.6%47.5%71.8%67.5%48.4%
Expected Move16.4%13.6%20.6%19.4%13.9%
HV 20d62.7%47.6%77.9%75.9%47.6%
HV 60d75.8%70.7%78.4%75.9%70.7%
IV Rank15.1%12.1%21.2%19.6%12.4%
IV Percentile1.5%0.8%2.8%0.8%1.2%
Term Structure5.9%2.8%11.4%8.7%6.9%
VWIV58.7%39.1%87.4%68.4%48.3%
Skew 25d7.6%1.5%14.9%9.0%14.6%
Skew 10d15.5%-3.3%43.3%15.2%15.9%
Call IV 25d54.2%33.2%71.9%71.9%33.2%
Put IV 25d61.8%47.7%80.9%80.9%47.7%
Bid-Ask Spread %13.207.6318.458.637.63
Gamma HHI0.410.270.580.270.44
Net GEX553.4K106.7K939.1K106.7K682.6K
Net DEX-24.2M-33.4M-2.9M-2.9M-29.0M
Net VEX-167.2K-178.8K-131.1K-131.1K-162.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.214.551.190.73
Total Volume2,313.54511115,503824706
Total OI105,214.72797,129113,99297,129102,668

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-12-01$10.02$10.0067.5%19.4%75.9%19.6%68.4%9.0%8.7%106.7K-2.9M-131.1K1.198.6337744756,60540,524
2009-12-02$10.96$10.0071.8%20.6%72.8%21.2%68.9%6.2%4.8%258.8K-10.5M-147.1K0.4118.451,04642556,70940,510
2009-12-03$10.86$10.0068.4%19.6%71.5%19.9%66.3%2.5%8.9%255.3K-10.2M-146.4K0.4917.2076237056,73140,494
2009-12-04$11.97$10.0056.3%18.5%76.9%15.4%69.0%14.9%3.4%406.7K-20.0M-157.8K0.9613.707,9077,59656,85040,547
2009-12-07$11.68$10.0059.1%18.5%77.9%16.4%71.4%9.6%3.5%392.1K-19.1M-176.0K0.4815.051,21457761,84745,996
2009-12-08$11.74$10.0055.5%18.4%72.1%15.1%87.4%12.2%3.7%423.2K-19.6M-178.8K0.8317.0049541262,50346,307
2009-12-09$11.73$10.0054.5%18.2%72.0%14.7%64.1%7.9%2.8%443.5K-19.6M-174.1K1.559.0427442462,66646,439
2009-12-10$11.90$10.0062.7%18.0%70.5%17.8%63.6%9.3%3.3%501.1K-21.0M-173.0K0.4314.412,6791,14462,82346,389
2009-12-11$11.54$10.0060.5%17.3%60.1%17.0%60.1%7.4%3.9%448.6K-18.6M-171.1K0.3814.211,74967364,23846,614
2009-12-14$12.00$10.0058.4%16.8%59.9%16.2%61.0%9.7%6.4%552.1K-22.1M-171.9K0.2413.6951712663,62446,664
2009-12-15$12.00$10.0058.1%16.7%58.9%16.1%58.1%7.1%5.5%595.5K-23.0M-173.7K1.0313.6122723363,80946,820
2009-12-16$12.54$10.0053.2%15.3%60.5%14.2%53.3%6.8%8.2%807.5K-29.0M-176.5K0.409.973,1181,25163,60046,687
2009-12-17$12.50$10.0052.5%15.0%60.1%14.0%65.0%8.4%5.5%939.1K-28.1M-174.6K0.4113.945,7232,32064,30247,417
2009-12-18$12.74$10.0052.5%15.1%57.3%14.0%53.1%12.2%5.7%868.9K-32.2M-176.2K0.2314.631,28329564,79549,197
2009-12-21$13.31$10.0048.4%13.9%57.2%12.4%48.2%8.1%7.2%620.8K-31.7M-174.0K0.219.341,44330058,57144,392
2009-12-22$13.50$10.0050.5%14.5%55.8%13.2%48.0%2.3%5.4%607.5K-33.4M-174.7K1.4410.081,4082,02958,07244,506
2009-12-23$13.49$10.0047.5%13.6%56.1%12.1%47.6%6.6%11.4%630.3K-33.3M-174.8K1.7610.949416558,47545,571
2009-12-24$13.50$10.0048.0%13.8%55.8%12.3%48.1%3.0%7.4%635.3K-32.8M-172.1K4.5512.54209157,81444,829
2009-12-28$13.27$10.0049.4%14.2%53.2%12.8%48.8%1.8%5.6%654.2K-30.8M-164.5K1.5415.277912257,82444,843
2009-12-29$13.52$10.0052.3%15.0%53.2%13.9%52.7%6.8%3.7%660.4K-32.8M-163.4K0.8416.0333127857,84944,882
2009-12-30$13.48$10.0048.5%13.9%53.5%12.5%39.1%1.5%7.7%685.1K-32.2M-165.0K0.8114.94937557,60945,112
2009-12-31$13.12$10.0048.4%13.9%47.6%12.4%48.3%14.6%6.9%682.6K-29.0M-162.0K0.737.6340829857,56445,104