CAR Options History — March 2010

In March 2010, CAR traded between $10.57 and $12.19. ATM implied volatility averaged 56.9%, placing in the 5.8% IV rank vs the trailing year. The 30-day expected move averaged 16.7%. IV traded below realized volatility by 17.3% (HV 20d: 74.2%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 0.95.

Notable Days

  • 2010-03-01: Highest Volume — 4,104 contracts
  • 2010-03-09: Largest IV drop — 30.0% change
  • 2010-03-19: Highest IV Rank — 9.3%
  • 2010-03-19: Largest Expected Move — 18.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.25$10.57$12.19$10.96$11.50
Max Pain$10.43$10.00$12.50$12.50$10.00
ATM IV56.9%42.3%64.7%58.1%48.4%
Expected Move16.7%13.9%18.6%16.7%13.9%
HV 20d74.2%55.9%88.2%88.2%58.2%
HV 60d60.6%57.8%63.4%63.4%63.3%
IV Rank5.8%0.0%9.3%5.6%2.6%
IV Percentile15.8%0.0%27.0%14.3%5.6%
Term Structure4.8%-1.6%12.9%6.6%12.9%
VWIV57.0%49.6%63.2%58.2%49.9%
Skew 25d10.7%6.0%14.7%11.6%7.0%
Skew 10d27.0%13.8%37.1%30.5%22.7%
Call IV 25d57.7%55.0%61.4%58.0%60.4%
Put IV 25d68.4%66.1%71.5%69.6%67.4%
Bid-Ask Spread %19.8912.5734.1821.8334.18
Gamma HHI0.270.230.320.250.30
Net GEX150.6K42.7K279.1K46.2K210.7K
Net DEX-3.2M-7.7M182.9K182.9K-3.0M
Net VEX-108.0K-124.8K-92.4K-103.6K-116.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.024.370.160.42
Total Volume1,515.1741334,1044,104631
Total OI58,77554,08763,40854,08763,408

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-03-01$10.96$12.5058.1%16.7%88.2%5.6%58.2%11.6%6.6%46.2K182.9K-103.6K0.1621.833,53856632,62521,462
2010-03-02$10.68$12.5060.6%17.4%86.7%6.6%59.0%12.3%3.7%58.6K-38.6K-103.9K0.1218.9381010035,22121,689
2010-03-03$10.57$12.5056.5%16.2%86.6%4.9%55.8%12.0%7.6%42.7K176.9K-102.5K0.1717.203275434,46921,760
2010-03-04$10.93$12.5058.5%16.8%87.5%5.7%54.6%14.7%5.1%52.6K-727.8K-103.8K0.0416.478813834,67421,791
2010-03-05$11.53$10.0047.0%15.0%85.7%1.0%58.0%12.9%5.7%118.7K-4.6M-116.5K0.1214.311,79720835,18221,817
2010-03-08$11.17$10.0060.4%18.2%86.7%6.5%59.2%11.1%0.6%97.9K-2.7M-107.5K0.0215.063,8849235,32321,852
2010-03-09$11.38$10.0042.3%15.6%86.8%0.0%58.3%10.1%3.4%147.6K-3.8M-109.2K1.0614.699510136,73921,900
2010-03-10$11.20$10.0053.3%18.3%83.0%4.6%63.2%10.7%-1.6%138.0K-3.2M-108.3K3.5412.575619836,87421,895
2010-03-11$11.14$10.0064.7%18.5%82.2%9.3%59.7%14.1%1.0%121.8K-2.3M-106.1K1.1217.91758436,89721,946
2010-03-12$10.99$10.0061.8%17.7%79.5%8.1%54.2%11.9%3.4%105.4K-2.0M-106.3K0.8218.9018014836,93521,983
2010-03-15$10.74$10.0061.4%17.6%79.7%7.9%60.5%12.0%4.1%75.1K-692.1K-97.0K1.1522.30627136,98521,998
2010-03-16$10.84$10.0061.7%17.7%78.7%8.0%61.6%14.2%4.8%86.9K-956.2K-97.5K0.6823.511439736,99022,020
2010-03-17$10.58$10.0061.6%17.7%76.9%8.0%57.3%11.4%2.1%77.5K-492.0K-92.4K0.9217.5919117537,03821,756
2010-03-18$11.49$10.0057.1%16.4%62.9%6.1%57.6%8.8%3.6%186.4K-5.1M-107.9K0.1615.662,93748337,12121,856
2010-03-19$10.80$10.0064.7%18.6%66.3%9.3%60.2%8.0%2.8%171.2K-2.7M-101.3K0.3513.901,02835738,79522,191
2010-03-22$10.86$10.0063.6%18.2%66.3%8.8%54.9%8.9%1.0%167.6K-1.7M-94.7K0.5421.981,9511,06037,13419,693
2010-03-23$11.67$10.0056.5%16.2%68.4%5.9%56.6%9.7%4.0%224.2K-5.3M-106.3K0.2318.792,36255336,50320,110
2010-03-24$11.65$10.0061.4%17.6%63.6%7.9%62.1%6.0%2.2%252.7K-6.5M-113.4K4.3714.933081,34537,88420,300
2010-03-25$11.93$10.0055.9%16.0%63.1%5.6%55.9%11.3%7.5%266.5K-7.1M-116.0K1.7425.401,3412,33237,91221,346
2010-03-26$11.93$10.0051.9%14.9%57.7%4.0%51.9%10.1%9.2%268.2K-7.1M-124.6K1.2224.901,2551,53638,69322,757
2010-03-29$12.19$10.0049.6%14.2%56.5%3.0%49.6%9.6%11.3%279.1K-7.7M-124.8K0.7926.4224519339,11423,989
2010-03-30$11.99$10.0052.5%15.1%55.9%4.2%51.6%8.4%9.5%268.0K-7.1M-123.7K2.1530.1630565639,18224,016
2010-03-31$11.50$10.0048.4%13.9%58.2%2.6%49.9%7.0%12.9%210.7K-3.0M-116.2K0.4234.1844318839,18224,226