CAR Options History — January 2010

In January 2010, CAR traded between $10.82 and $13.23. ATM implied volatility averaged 50.5%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded above realized volatility by 18.8% (HV 20d: 31.8%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 4.43.

Notable Days

2010-01-22: Highest Volume — 6,193 contracts
2010-01-28: Largest IV spike — 27.6% change
2010-01-28: Highest IV Rank — 17.9%
2010-01-28: Largest Expected Move — 18.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.30	$10.82	$13.23	$13.23	$10.82
Max Pain	$12.50	$12.50	$12.50	$12.50	$12.50
ATM IV	50.5%	44.7%	63.1%	51.0%	61.1%
Expected Move	14.8%	12.8%	18.1%	15.9%	17.5%
HV 20d	31.8%	27.6%	47.1%	47.1%	31.0%
HV 60d	65.6%	57.8%	69.6%	69.6%	58.3%
IV Rank	13.2%	11.1%	17.9%	13.4%	17.2%
IV Percentile	4.6%	0.4%	14.7%	3.2%	14.3%
Term Structure	4.5%	0.7%	9.2%	6.3%	2.5%
VWIV	53.1%	44.7%	60.0%	60.0%	58.4%
Skew 25d	11.3%	3.5%	25.4%	13.6%	5.0%
Skew 10d	22.0%	1.7%	38.2%	38.2%	1.7%
Call IV 25d	46.7%	32.0%	56.6%	47.7%	56.6%
Put IV 25d	58.0%	50.2%	63.2%	61.3%	61.6%
Bid-Ask Spread %	13.56	8.75	17.39	11.92	12.70
Gamma HHI	0.42	0.24	0.65	0.46	0.25
Net GEX	628.3K	50.6K	1.3M	737.2K	50.6K
Net DEX	-17.9M	-30.4M	142.2K	-29.9M	142.2K
Net VEX	-151.1K	-169.3K	-128.6K	-157.6K	-128.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.43	0.04	43.42	5.59	0.95
Total Volume	1,793.158	271	6,193	336	703
Total OI	90,000.842	68,133	109,911	103,102	71,405

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2010-01-04	$13.23	$12.50	51.0%	15.9%	47.1%	13.4%	60.0%	13.6%	6.3%	737.2K	-29.9M	-157.6K	5.59	11.92	51	285	57,941	45,161
2010-01-05	$13.17	$12.50	51.6%	16.0%	34.1%	13.6%	55.9%	11.2%	5.8%	743.7K	-29.4M	-155.0K	0.08	14.44	1,824	148	57,835	45,312
2010-01-06	$13.05	$12.50	48.3%	16.1%	32.7%	12.4%	56.0%	12.5%	3.3%	821.7K	-28.7M	-158.2K	0.04	11.55	2,085	88	59,262	45,306
2010-01-07	$13.00	$12.50	51.0%	15.3%	32.9%	13.4%	52.2%	12.5%	5.5%	874.4K	-28.2M	-156.0K	0.14	13.07	2,862	402	60,441	45,331
2010-01-08	$13.04	$12.50	48.8%	14.3%	32.8%	12.6%	49.7%	12.8%	6.8%	946.8K	-30.4M	-169.3K	2.50	11.83	507	1,265	63,656	45,336
2010-01-11	$12.84	$12.50	50.4%	15.0%	33.4%	13.2%	52.9%	8.6%	4.0%	996.4K	-29.3M	-168.0K	0.32	13.26	575	186	63,450	45,586
2010-01-12	$12.49	$12.50	52.6%	14.5%	33.0%	14.0%	49.8%	13.6%	5.1%	1.1M	-22.1M	-154.9K	0.62	17.39	442	276	63,694	45,639
2010-01-13	$12.55	$12.50	46.6%	14.4%	30.3%	11.8%	52.8%	25.4%	5.1%	1.3M	-23.5M	-156.7K	1.52	12.24	514	783	63,650	45,696
2010-01-14	$12.87	$12.50	52.0%	14.9%	31.4%	13.8%	52.3%	10.9%	3.5%	1.2M	-29.8M	-158.5K	1.45	14.95	359	520	63,371	46,221
2010-01-15	$12.80	$12.50	46.5%	13.3%	27.6%	11.7%	46.5%	12.6%	9.2%	1.3M	-29.9M	-152.5K	0.87	16.76	2,742	2,373	63,469	46,442
2010-01-19	$12.81	$12.50	46.1%	13.2%	27.6%	11.6%	50.6%	7.6%	4.2%	418.7K	-16.8M	-155.9K	10.27	14.76	143	1,468	44,009	24,124
2010-01-20	$12.37	$12.50	44.8%	12.8%	29.5%	11.1%	44.7%	3.5%	4.8%	370.5K	-12.7M	-152.1K	0.27	8.75	638	175	44,111	24,961
2010-01-21	$11.69	$12.50	44.7%	12.8%	30.6%	11.1%	51.0%	12.0%	5.9%	278.2K	-7.8M	-140.2K	6.75	13.01	163	1,100	44,085	25,005
2010-01-22	$11.48	$12.50	49.5%	14.2%	29.8%	12.8%	50.1%	11.9%	4.6%	231.0K	-5.7M	-138.6K	3.13	13.78	1,499	4,694	44,111	25,827
2010-01-25	$11.44	$12.50	52.1%	14.9%	29.8%	13.8%	56.2%	8.9%	1.8%	211.6K	-5.6M	-143.1K	43.42	14.35	86	3,734	43,705	27,351
2010-01-26	$11.37	$12.50	50.7%	14.5%	29.6%	13.3%	58.4%	9.4%	2.0%	169.9K	-3.8M	-143.2K	4.11	13.17	53	218	43,724	29,842
2010-01-27	$11.53	$12.50	49.5%	14.2%	30.4%	12.8%	51.6%	13.4%	4.6%	190.8K	-4.7M	-145.2K	0.85	16.96	316	268	43,764	29,965
2010-01-28	$11.14	$12.50	63.1%	18.1%	30.3%	17.9%	59.8%	9.2%	0.7%	90.0K	-1.7M	-137.0K	1.36	12.86	222	303	41,626	29,602
2010-01-29	$10.82	$12.50	61.1%	17.5%	31.0%	17.2%	58.4%	5.0%	2.5%	50.6K	142.2K	-128.6K	0.95	12.70	360	343	41,679	29,726