CAR Options History — June 2010

In June 2010, CAR traded between $9.82 and $11.90. ATM implied volatility averaged 73.3%, placing in the 42.3% IV rank vs the trailing year. The 30-day expected move averaged 21.0%. IV traded below realized volatility by 6.6% (HV 20d: 79.8%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.49.

Notable Days

  • 2010-06-25: Highest Volume — 11,390 contracts
  • 2010-06-04: Largest IV spike — 26.1% change
  • 2010-06-07: Highest IV Rank — 54.1%
  • 2010-06-07: Largest Expected Move — 24.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.99$9.82$11.90$11.24$9.82
Max Pain$12.05$10.00$12.50$12.50$10.00
ATM IV73.3%64.4%85.4%83.1%75.7%
Expected Move21.0%18.5%24.3%23.8%21.7%
HV 20d79.8%60.8%88.7%88.7%65.5%
HV 60d73.4%71.7%76.1%71.8%72.4%
IV Rank42.3%28.4%54.1%51.3%47.1%
IV Percentile50.3%36.1%75.4%68.3%57.1%
Term Structure4.8%0.1%9.2%0.3%0.1%
VWIV70.9%58.7%79.6%79.6%75.2%
Skew 25d8.4%-22.8%17.7%11.1%-22.8%
Skew 10d13.2%-36.0%36.6%27.5%-36.0%
Call IV 25d67.7%56.9%78.8%70.7%78.8%
Put IV 25d76.1%56.0%92.7%81.8%56.0%
Bid-Ask Spread %13.818.3325.6913.7311.00
Gamma HHI0.270.220.400.220.31
Net GEX124.2K274254.0K88.7K122.2K
Net DEX-638.3K-7.9M7.3M998.1K-794.3K
Net VEX-128.5K-152.2K-108.7K-134.6K-127.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.490.0312.340.792.51
Total Volume2,259.86452711,3907821,289
Total OI66,336.95554,87272,91767,28266,652

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-06-01$11.24$12.5083.1%23.8%88.7%51.3%79.6%11.1%0.3%88.7K998.1K-134.6K0.7913.7343634640,86926,413
2010-06-02$11.49$12.5068.3%19.6%87.4%33.1%73.5%16.6%2.7%108.0K-73.3K-137.6K0.8514.0532727840,93826,572
2010-06-03$11.90$12.5064.4%18.5%87.1%28.4%64.6%4.4%5.2%129.0K-2.3M-141.3K0.7114.9284959941,01026,742
2010-06-04$11.03$12.5081.3%23.5%86.7%49.0%76.6%14.9%3.2%70.4K2.6M-129.8K0.3417.0294732341,28026,906
2010-06-07$10.39$12.5085.4%24.3%87.5%54.1%78.5%15.1%2.0%26.9K5.6M-117.4K1.4613.2761689941,29027,134
2010-06-08$10.01$12.5079.4%22.9%84.0%46.7%73.9%15.5%3.7%8247.3M-108.7K0.2411.411,76442541,48527,148
2010-06-09$10.24$12.5081.3%23.4%82.1%53.7%73.0%17.7%6.2%2745.5M-113.0K0.0611.335,11531341,15526,250
2010-06-10$10.93$12.5079.0%22.7%85.6%50.7%71.6%13.5%6.7%105.8K978.3K-125.8K0.0621.833,45121644,73926,288
2010-06-11$11.07$10.0078.0%22.4%86.0%50.3%75.3%10.9%5.4%114.4K95.0K-128.7K3.4815.1515654345,66026,139
2010-06-14$11.36$10.0070.8%20.3%85.4%40.5%74.2%13.5%6.8%146.4K-2.1M-131.8K1.5325.6945269345,69426,197
2010-06-15$11.89$10.0067.4%19.3%87.1%35.8%76.2%15.4%9.2%219.2K-5.1M-138.0K2.2212.0039688145,77726,261
2010-06-16$11.46$12.5067.1%19.2%85.6%35.5%66.9%11.5%8.6%178.9K-1.4M-129.7K0.2310.571,05423845,88326,558
2010-06-17$11.52$12.5066.0%18.9%84.6%33.9%70.0%9.6%7.6%172.9K-1.2M-130.4K0.4011.741,07343345,84426,554
2010-06-18$11.20$12.5073.2%21.0%79.1%43.7%63.8%13.8%3.3%156.2K-27.8K-125.4K12.348.333023,72746,22826,689
2010-06-21$11.21$12.5069.9%20.0%76.1%39.2%66.4%11.8%7.4%150.0K-3.8M-129.2K1.0610.7062066032,64622,226
2010-06-22$10.88$12.5070.5%20.2%76.9%40.1%68.9%4.1%4.5%123.6K-1.9M-121.2K0.5911.372,1511,27232,97722,575
2010-06-23$11.00$12.5070.3%20.2%76.0%39.8%63.4%7.8%4.1%138.2K-2.7M-124.3K2.4011.2615537234,59823,007
2010-06-24$10.77$12.5070.3%20.1%75.7%39.8%65.8%2.0%5.4%121.6K-2.0M-119.1K0.8214.911,7171,40232,90422,060
2010-06-25$11.19$12.5067.8%19.4%62.6%36.4%58.7%9.3%5.2%154.9K-3.2M-127.3K0.0314.4811,04035033,73423,246
2010-06-28$11.10$12.5068.8%19.7%60.8%37.8%70.0%6.7%6.1%254.0K-7.9M-152.2K0.1716.881,07317843,19723,281
2010-06-29$10.18$12.5073.8%21.1%65.4%44.5%74.8%-17.3%1.3%150.7K-2.6M-134.8K0.5512.2337720943,34323,264
2010-06-30$9.82$10.0075.7%21.7%65.5%47.1%75.2%-22.8%0.1%122.2K-794.3K-127.8K2.5111.0036792243,30923,343