CAR Options History — February 2010

In February 2010, CAR traded between $9.72 and $13.31. ATM implied volatility averaged 60.9%, placing in the 14.9% IV rank vs the trailing year. The 30-day expected move averaged 17.1%. IV traded above realized volatility by 0.6% (HV 20d: 60.3%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.82.

Notable Days

2010-02-18: Highest Volume — 13,934 contracts
2010-02-03: Largest IV spike — 25.6% change
2010-02-08: Highest IV Rank — 23.2%
2010-02-08: Largest Expected Move — 19.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.27	$9.72	$13.31	$11.37	$10.52
Max Pain	$12.50	$12.50	$12.50	$12.50	$12.50
ATM IV	60.9%	46.7%	77.1%	46.7%	54.5%
Expected Move	17.1%	13.4%	19.6%	13.4%	15.6%
HV 20d	60.3%	36.9%	87.4%	37.0%	87.4%
HV 60d	55.3%	49.7%	63.1%	54.9%	63.1%
IV Rank	14.9%	4.1%	23.2%	11.8%	4.1%
IV Percentile	15.1%	2.4%	26.2%	2.4%	11.9%
Term Structure	1.8%	-1.8%	7.0%	4.1%	5.3%
VWIV	58.1%	41.7%	67.9%	55.0%	54.2%
Skew 25d	12.0%	1.2%	21.0%	14.0%	8.5%
Skew 10d	21.6%	-5.6%	41.0%	24.8%	16.5%
Call IV 25d	55.4%	43.1%	73.3%	50.6%	58.1%
Put IV 25d	67.4%	58.0%	82.4%	64.6%	66.6%
Bid-Ask Spread %	18.94	8.39	31.38	14.93	25.94
Gamma HHI	0.26	0.23	0.28	0.25	0.26
Net GEX	109.0K	-37.7K	341.9K	106.2K	5.0K
Net DEX	-3.2M	-21.8M	5.1M	-2.1M	2.5M
Net VEX	-124.6K	-150.9K	-85.3K	-132.4K	-91.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.82	0.02	1.81	0.44	0.50
Total Volume	2,259.263	209	13,934	781	2,015
Total OI	68,968.211	52,775	86,193	71,567	53,900

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
2010-02-01	$11.37	$12.50	46.7%	13.4%	37.0%	11.8%	55.0%	14.0%	4.1%	106.2K	-2.1M	-132.4K	0.44	14.93	544	237	41,824	29,743
2010-02-02	$11.43	$12.50	47.9%	13.7%	36.9%	12.3%	49.1%	11.8%	6.2%	127.1K	-3.5M	-140.3K	0.02	16.68	205	4	42,067	29,844
2010-02-03	$11.24	$12.50	60.2%	17.3%	37.0%	16.9%	41.7%	5.6%	7.0%	100.1K	-2.0M	-132.2K	0.45	15.14	187	85	42,214	29,846
2010-02-04	$10.49	$12.50	62.9%	18.0%	42.9%	17.8%	54.7%	18.5%	-0.9%	10.8K	2.1M	-120.7K	1.81	8.39	117	212	42,356	29,871
2010-02-05	$10.56	$12.50	61.8%	18.8%	43.3%	17.4%	59.3%	21.0%	0.3%	7.1K	2.4M	-118.7K	0.55	22.95	793	437	42,299	29,896
2010-02-08	$10.62	$12.50	77.1%	19.6%	43.4%	23.2%	67.9%	1.2%	-1.2%	31.8K	1.8M	-120.0K	1.28	16.20	678	868	42,787	29,921
2010-02-09	$11.43	$12.50	70.5%	16.7%	52.5%	20.7%	59.8%	10.3%	0.9%	131.0K	-3.2M	-135.0K	0.53	15.34	1,242	652	43,168	30,546
2010-02-10	$11.77	$12.50	69.2%	17.4%	53.3%	20.2%	65.7%	20.1%	-0.9%	182.8K	-6.3M	-140.1K	0.63	13.85	519	326	43,365	30,754
2010-02-11	$12.42	$12.50	60.8%	17.4%	56.9%	17.1%	64.7%	8.9%	-0.8%	287.2K	-11.6M	-150.2K	1.11	24.61	838	931	43,561	30,836
2010-02-12	$12.43	$12.50	60.8%	17.4%	56.1%	17.1%	58.9%	3.9%	0.2%	283.0K	-11.3M	-148.8K	0.84	20.50	336	281	43,621	30,913
2010-02-16	$12.82	$12.50	63.8%	18.3%	57.3%	18.2%	65.4%	16.9%	-1.8%	341.9K	-14.9M	-149.5K	0.74	26.54	1,130	841	43,756	31,104
2010-02-17	$13.31	$12.50	62.9%	18.0%	58.8%	17.9%	59.8%	15.2%	-0.7%	243.4K	-21.8M	-150.9K	0.85	29.35	1,580	1,338	44,565	31,432
2010-02-18	$11.39	$12.50	54.9%	15.7%	80.5%	14.9%	57.3%	14.2%	6.3%	103.7K	-1.5M	-122.6K	0.91	18.24	7,303	6,631	45,215	31,648
2010-02-19	$11.16	$12.50	62.6%	17.9%	78.4%	17.7%	57.3%	14.3%	5.1%	135.6K	-2.5M	-134.4K	1.13	20.16	699	792	49,952	36,241
2010-02-22	$11.07	$12.50	61.9%	17.7%	78.2%	17.5%	56.7%	13.7%	0.4%	37.0K	-235.7K	-109.6K	0.82	14.30	511	418	31,708	21,098
2010-02-23	$10.52	$12.50	60.5%	17.3%	80.1%	6.6%	58.7%	11.5%	2.4%	6.3K	2.4M	-97.9K	0.97	31.38	1,527	1,481	31,892	21,243
2010-02-24	$9.88	$12.50	60.1%	17.2%	82.8%	6.5%	60.0%	9.1%	0.7%	-31.7K	4.4M	-87.4K	1.55	9.86	2,372	3,677	31,480	21,295
2010-02-25	$9.72	$12.50	57.5%	16.5%	82.4%	5.3%	56.8%	9.4%	0.9%	-37.7K	5.1M	-85.3K	0.45	15.51	773	346	32,039	22,396
2010-02-26	$10.52	$12.50	54.5%	15.6%	87.4%	4.1%	54.2%	8.5%	5.3%	5.0K	2.5M	-91.6K	0.50	25.94	1,343	672	32,416	21,484