CAR Options History — April 2010

In April 2010, CAR traded between $11.87 and $16.40. ATM implied volatility averaged 58.9%, placing in the 11.1% IV rank vs the trailing year. The 30-day expected move averaged 18.5%. IV traded above realized volatility by 0.3% (HV 20d: 58.6%). Max pain ranged from $10.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.36.

Notable Days

  • 2010-04-26: Highest Volume — 14,232 contracts
  • 2010-04-15: Largest IV spike — 33.2% change
  • 2010-04-27: Highest IV Rank — 21.2%
  • 2010-04-27: Largest Expected Move — 21.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.58$11.87$16.40$11.87$15.12
Max Pain$12.50$10.00$15.00$10.00$15.00
ATM IV58.9%41.2%73.5%49.1%71.1%
Expected Move18.5%14.1%21.1%14.1%20.4%
HV 20d58.6%48.6%64.4%58.1%64.4%
HV 60d67.4%63.7%70.5%63.7%70.5%
IV Rank11.1%0.0%21.2%2.9%19.6%
IV Percentile23.4%0.0%42.5%6.7%40.1%
Term Structure-5.3%-9.0%10.7%10.7%-4.7%
VWIV66.0%50.8%72.6%50.8%70.9%
Skew 25d9.6%5.7%17.2%8.4%10.0%
Skew 10d30.2%9.6%44.8%26.4%21.9%
Call IV 25d61.6%57.0%67.9%58.7%67.7%
Put IV 25d71.1%66.6%77.7%67.1%77.7%
Bid-Ask Spread %13.647.6930.1430.149.25
Gamma HHI0.420.290.570.310.57
Net GEX349.7K253.8K476.1K253.8K260.1K
Net DEX-26.0M-40.2M-5.8M-5.8M-24.3M
Net VEX-169.8K-193.8K-122.3K-122.3K-193.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.360.218.761.970.63
Total Volume4,438.85777514,2327758,611
Total OI79,14563,91394,96863,95094,968

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-04-01$11.87$10.0049.1%14.1%58.1%2.9%50.8%8.4%10.7%253.8K-5.8M-122.3K1.9730.1426151439,60224,348
2010-04-05$12.64$12.5050.4%17.5%59.2%3.4%62.1%11.5%-5.0%347.1K-11.0M-125.6K0.2810.251,58044439,56724,460
2010-04-06$13.42$12.5055.5%18.3%60.7%5.5%62.5%9.2%-6.1%362.9K-18.2M-136.8K0.5814.028,6494,98539,33924,574
2010-04-07$13.81$12.5041.2%17.5%61.0%0.0%66.6%10.1%-6.8%364.9K-22.3M-159.2K0.8313.852,1841,81843,76328,644
2010-04-08$14.49$12.5048.1%18.0%61.7%2.9%68.4%9.1%-6.5%382.2K-27.7M-162.4K1.0413.724,5094,70043,76328,644
2010-04-09$14.91$12.5047.8%18.2%61.5%4.4%67.8%11.3%-7.4%392.7K-33.2M-174.6K1.3217.421,1341,49747,09431,767
2010-04-12$14.74$12.5051.9%18.6%61.4%7.0%69.5%8.9%-9.0%371.1K-32.5M-172.8K0.2116.842,24347847,14632,205
2010-04-13$14.75$12.5050.1%18.8%60.0%5.9%69.9%8.9%-8.1%345.1K-31.4M-172.2K1.6812.031,5262,56146,20232,412
2010-04-14$15.29$12.5047.9%19.1%60.4%4.4%67.6%11.7%-8.7%371.9K-35.8M-179.2K1.4415.4848069147,22834,569
2010-04-15$15.00$12.5063.8%18.3%59.9%14.8%63.8%8.7%-5.7%337.7K-33.2M-181.3K0.547.692,2571,21147,42735,039
2010-04-16$14.23$12.5064.5%18.5%59.7%15.3%65.2%7.8%-7.3%289.5K-25.8M-178.9K1.5013.681,6332,45347,88935,853
2010-04-19$14.25$12.5063.9%18.3%53.4%14.9%67.4%11.3%-4.6%267.8K-18.9M-177.7K1.2310.479001,10543,90435,608
2010-04-20$14.38$12.5062.5%17.9%53.3%14.0%62.8%7.1%-4.4%292.9K-20.3M-179.4K0.6913.4773350444,49036,308
2010-04-21$14.65$12.5061.8%17.7%48.8%13.5%61.7%8.2%-4.6%343.9K-23.5M-174.8K0.727.781,12881644,22935,759
2010-04-22$14.74$12.5061.4%17.6%48.6%13.3%61.1%8.2%-2.6%357.5K-24.4M-175.2K1.3416.5538151144,86136,403
2010-04-23$14.67$12.5063.1%18.1%48.7%14.4%63.3%8.2%-2.9%334.9K-23.2M-176.7K1.5513.1162396745,10836,744
2010-04-26$16.40$12.5067.0%19.2%60.3%16.9%69.5%5.7%-7.1%465.2K-40.2M-181.9K0.4811.889,6374,59545,51337,444
2010-04-27$15.63$12.5073.5%21.1%64.3%21.2%72.6%9.4%-8.8%372.9K-31.0M-174.0K1.5317.377591,15944,88539,309
2010-04-28$15.38$12.5071.9%20.6%64.3%20.1%72.6%9.8%-6.8%353.5K-28.8M-179.2K0.2510.003,95899646,01339,815
2010-04-29$15.80$12.5070.9%20.3%61.2%19.5%70.1%17.2%-5.7%476.1K-35.0M-187.9K8.7611.418227,20348,85340,296
2010-04-30$15.12$15.0071.1%20.4%64.4%19.6%70.9%10.0%-4.7%260.1K-24.3M-193.8K0.639.255,2673,34449,50945,459