CAR Options History — July 2010

In July 2010, CAR traded between $8.71 and $12.34. ATM implied volatility averaged 66.8%, placing in the 35.1% IV rank vs the trailing year. The 30-day expected move averaged 19.4%. IV traded below realized volatility by 3.5% (HV 20d: 70.3%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.27.

Notable Days

  • 2010-07-08: Highest Volume — 5,567 contracts
  • 2010-07-07: Largest IV drop — 18.1% change
  • 2010-07-06: Highest IV Rank — 57.0%
  • 2010-07-06: Largest Expected Move — 23.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.42$8.71$12.34$9.67$12.34
Max Pain$11.07$10.00$12.50$10.00$10.00
ATM IV66.8%59.4%82.8%67.9%59.4%
Expected Move19.4%17.0%23.7%19.5%17.0%
HV 20d70.3%60.0%76.1%63.5%70.4%
HV 60d75.3%71.8%77.8%72.1%74.7%
IV Rank35.1%24.9%57.0%36.5%24.9%
IV Percentile41.3%24.2%76.6%41.3%24.2%
Term Structure-0.2%-3.5%4.9%4.9%-0.1%
VWIV67.6%61.8%76.8%73.5%63.1%
Skew 25d11.0%5.2%27.6%27.6%5.4%
Skew 10d24.9%-13.1%45.0%45.0%15.1%
Call IV 25d63.1%55.2%73.0%55.2%58.5%
Put IV 25d74.1%64.0%84.6%82.8%64.0%
Bid-Ask Spread %12.638.6420.378.6416.13
Gamma HHI0.340.250.410.290.39
Net GEX155.5K-170.4K372.2K89.2K372.2K
Net DEX-4.1M-19.4M5.1M794.0K-19.4M
Net VEX-134.8K-158.9K-98.8K-122.3K-158.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.270.115.121.700.17
Total Volume1,664.7623105,5671,2461,345
Total OI71,61167,33276,03567,33273,522

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-07-01$9.67$10.0067.9%19.5%63.5%36.5%73.5%27.6%4.9%89.2K794.0K-122.3K1.708.6446178543,46823,864
2010-07-02$9.18$10.0072.3%20.7%60.8%42.5%76.8%18.3%2.2%67.7K2.6M-112.8K2.4120.375111,23043,46923,931
2010-07-06$8.71$12.5082.8%23.7%60.0%57.0%71.6%9.4%-2.2%34.2K5.1M-98.8K0.8213.3046638143,67924,334
2010-07-07$9.41$12.5067.8%20.1%66.3%36.4%70.0%9.6%0.8%61.3K2.6M-110.4K1.4011.121,6172,26443,87024,517
2010-07-08$10.28$12.5064.8%19.8%73.4%32.4%68.8%9.9%1.4%119.5K-2.0M-131.4K1.5412.522,1963,37144,65324,634
2010-07-09$10.68$12.5063.6%20.1%70.8%30.6%69.5%8.5%1.0%135.3K-4.5M-145.3K1.249.409201,13745,20526,978
2010-07-12$10.38$12.5072.5%20.6%71.2%42.8%68.8%12.8%-1.0%81.9K-2.8M-136.8K0.1112.833,43836245,77626,910
2010-07-13$10.70$12.5061.1%18.9%71.5%27.2%68.5%10.5%0.1%152.1K-6.0M-145.9K3.1116.9022469748,42226,872
2010-07-14$10.42$12.5071.1%19.8%69.5%40.9%72.4%13.7%0.1%101.5K-3.8M-141.4K1.929.5319838048,43427,167
2010-07-15$10.51$12.5064.3%18.4%68.8%31.6%64.9%9.4%1.7%136.0K-4.6M-141.2K5.1211.495226648,59727,438
2010-07-16$9.89$12.5069.2%19.8%71.5%38.3%68.7%12.3%-0.1%-170.4K566.5K-128.3K0.1812.451,28723348,62927,389
2010-07-19$9.99$10.0068.9%19.8%71.3%37.9%69.0%11.5%-1.3%169.3K-1.3M-126.8K0.3612.9644816344,65624,449
2010-07-20$10.33$10.0065.9%18.9%72.7%33.8%62.6%11.5%2.0%199.3K-3.2M-133.6K0.7116.2583359544,91724,497
2010-07-21$9.98$10.0071.1%20.4%72.9%41.0%69.9%9.4%-2.7%184.0K-1.9M-127.3K1.5512.561,6472,55445,45724,379
2010-07-22$10.56$10.0065.4%18.8%75.9%33.1%67.4%8.6%-3.0%205.1K-4.6M-139.6K0.5410.7434018545,65426,077
2010-07-23$10.83$10.0063.0%18.0%76.1%29.8%63.8%8.7%-1.2%237.3K-6.5M-141.5K2.0010.6110721445,89026,153
2010-07-26$11.07$10.0062.7%18.0%75.3%29.4%64.6%9.3%0.2%263.3K-8.3M-146.4K0.5512.0354530045,97426,245
2010-07-27$10.92$10.0065.5%18.8%75.4%33.2%62.7%7.9%-3.5%241.3K-7.0M-142.5K0.1412.752723845,96926,506
2010-07-28$11.08$10.0064.2%18.4%68.3%31.4%61.8%10.8%-2.4%255.2K-7.7M-144.5K0.8812.3522519745,98626,522
2010-07-29$11.88$10.0060.0%17.2%70.4%25.7%62.1%5.2%-0.2%329.8K-14.7M-154.4K0.2310.232,02045646,15026,592
2010-07-30$12.34$10.0059.4%17.0%70.4%24.9%63.1%5.4%-0.1%372.2K-19.4M-158.9K0.1716.131,14520046,93226,590