CAR Options History — May 2010

In May 2010, CAR traded between $10.42 and $15.08. ATM implied volatility averaged 75.0%, placing in the 33.1% IV rank vs the trailing year. The 30-day expected move averaged 21.5%. IV traded below realized volatility by 0.2% (HV 20d: 75.2%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.82.

Notable Days

  • 2010-05-03: Highest Volume — 28,304 contracts
  • 2010-05-20: Largest IV spike — 25.4% change
  • 2010-05-20: Highest IV Rank — 63.3%
  • 2010-05-20: Largest Expected Move — 26.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.29$10.42$15.08$15.08$11.85
Max Pain$13.38$12.50$15.00$15.00$12.50
ATM IV75.0%62.3%92.9%73.0%65.7%
Expected Move21.5%17.9%26.6%20.9%18.8%
HV 20d75.2%61.7%87.7%61.7%87.7%
HV 60d69.8%66.3%73.5%68.8%71.8%
IV Rank33.1%13.8%63.3%20.9%30.0%
IV Percentile50.2%31.3%78.2%43.7%37.3%
Term Structure1.3%-9.0%8.0%-9.0%6.4%
VWIV73.7%64.1%90.3%75.4%65.6%
Skew 25d14.1%6.0%21.2%14.0%6.0%
Skew 10d24.6%3.7%48.1%22.3%5.7%
Call IV 25d68.6%52.4%81.7%68.1%67.8%
Put IV 25d82.6%68.9%95.5%82.1%73.9%
Bid-Ask Spread %14.886.7825.6011.9825.60
Gamma HHI0.300.220.570.510.22
Net GEX77.1K-303.8K419.0K307.7K121.4K
Net DEX3.9M-24.7M25.6M-24.7M-2.5M
Net VEX-157.6K-205.7K-115.3K-192.9K-145.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.820.134.500.640.62
Total Volume8,243.21,03928,30428,3041,383
Total OI106,618.256,692125,86498,57266,644

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-05-03$15.08$15.0073.0%20.9%61.7%20.9%75.4%14.0%-9.0%307.7K-24.7M-192.9K0.6411.9817,30411,00052,06946,503
2010-05-04$14.10$15.0062.3%17.9%64.2%13.8%65.4%16.5%0.5%419.0K-15.7M-205.7K1.818.919,67417,51866,74652,988
2010-05-05$13.35$15.0070.7%20.3%66.5%19.3%67.3%10.3%-1.2%54.3K-753.9K-199.6K0.606.7810,8846,48364,86558,479
2010-05-06$12.33$15.0074.5%21.4%69.2%21.9%77.5%17.7%8.0%110.2K6.9M-180.4K0.7715.865,4744,20069,35252,770
2010-05-07$11.74$15.0089.2%23.5%69.2%31.5%89.6%20.9%-2.8%31.5K12.7M-169.3K4.0221.112,2649,11069,37253,724
2010-05-10$12.53$15.0074.5%21.3%74.4%21.8%69.7%21.2%-0.8%38.8K7.5M-179.5K0.2021.368,7931,78967,99657,868
2010-05-11$13.14$15.0068.9%21.1%77.0%18.1%75.3%17.4%0.8%101.8K51.7K-182.8K0.6914.101,38495166,62257,840
2010-05-12$13.50$12.5065.8%20.3%76.4%19.1%66.2%16.4%1.1%210.1K-6.3M-179.5K0.8015.2557846167,67756,848
2010-05-13$13.36$12.5069.9%20.0%76.2%26.7%64.1%16.8%0.7%217.3K-5.2M-174.2K0.7924.1364251067,54756,006
2010-05-14$12.70$12.5071.2%20.4%76.1%29.8%69.5%18.3%2.9%102.8K4.6M-165.3K4.509.575392,42767,64756,064
2010-05-17$12.48$12.5066.8%19.2%76.1%25.5%75.3%13.9%5.8%18.9K8.6M-155.9K3.2414.402,0156,52667,72257,095
2010-05-18$11.77$12.5073.3%21.0%78.1%31.9%72.7%12.2%3.0%2.1K16.5M-142.6K2.4215.598151,97267,52054,870
2010-05-19$11.35$12.5074.1%21.2%77.8%40.3%75.6%13.1%5.8%-77.9K21.1M-132.5K3.5911.439463,39567,69254,899
2010-05-20$10.42$12.5092.9%26.6%81.6%63.3%90.3%11.2%-2.7%-303.8K25.6M-116.4K3.7715.953,01711,38967,98955,382
2010-05-21$11.08$12.5088.9%25.5%86.2%58.4%78.0%14.3%-1.1%25.1K22.1M-122.5K2.0811.041,7173,57968,96753,876
2010-05-24$11.03$12.5085.4%24.5%72.5%54.1%78.6%11.2%0.9%18.5K3.2M-118.3K4.399.737593,33133,33223,360
2010-05-25$10.67$12.5084.3%24.2%71.9%52.8%73.2%10.6%0.1%-7.0K5.9M-115.3K1.1513.1557165733,64725,655
2010-05-26$10.99$12.5081.3%23.3%74.0%49.0%75.0%9.7%2.5%8.0K4.4M-120.8K0.1313.156,10577934,05225,662
2010-05-27$12.40$12.5068.1%19.5%87.6%32.9%69.7%9.8%4.5%143.2K-5.8M-152.6K0.2418.513,15476939,00326,014
2010-05-28$11.85$12.5065.7%18.8%87.7%30.0%65.6%6.0%6.4%121.4K-2.5M-145.3K0.6225.6085353040,47926,165