CAR Options History — August 2010

In August 2010, CAR traded between $9.07 and $12.63. ATM implied volatility averaged 58.9%, placing in the 24.3% IV rank vs the trailing year. The 30-day expected move averaged 17.0%. IV traded below realized volatility by 4.4% (HV 20d: 63.3%). Max pain ranged from $10.00 to $12.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.51.

Notable Days

  • 2010-08-05: Highest Volume — 8,412 contracts
  • 2010-08-11: Largest IV spike — 18.0% change
  • 2010-08-11: Highest IV Rank — 34.3%
  • 2010-08-04: Largest Expected Move — 18.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.17$9.07$12.63$12.63$9.12
Max Pain$10.36$10.00$12.00$10.00$10.00
ATM IV58.9%53.2%66.3%63.2%58.7%
Expected Move17.0%15.9%18.6%18.1%16.8%
HV 20d63.3%53.3%70.0%66.2%53.3%
HV 60d70.1%62.1%74.8%73.1%62.1%
IV Rank24.3%16.4%34.3%30.1%23.9%
IV Percentile27.1%17.1%46.4%36.5%28.2%
Term Structure4.5%-6.2%11.0%-6.2%4.6%
VWIV59.4%51.0%77.5%77.5%58.3%
Skew 25d6.9%2.6%12.0%7.6%4.0%
Skew 10d9.8%-8.9%36.4%21.0%18.7%
Call IV 25d57.4%52.3%64.6%60.8%55.8%
Put IV 25d64.3%57.8%70.9%68.3%59.8%
Bid-Ask Spread %18.5114.2124.2518.5218.76
Gamma HHI0.340.300.390.390.37
Net GEX240.2K178.1K404.0K404.0K181.6K
Net DEX-4.3M-22.0M5.0M-22.0M-132.1K
Net VEX-132.2K-160.2K-107.5K-160.2K-107.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.052.500.420.26
Total Volume1,896.5452118,4123,458422
Total OI78,750.13667,59389,92174,02168,817

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-08-02$12.63$10.0063.2%18.1%66.2%30.1%77.5%7.6%-6.2%404.0K-22.0M-160.2K0.4218.522,4411,01747,34226,679
2010-08-03$12.42$11.0061.1%17.5%62.4%27.2%69.8%12.0%-2.3%397.8K-19.6M-160.1K1.0815.5023625448,01027,474
2010-08-04$12.35$11.0065.0%18.6%58.8%32.6%65.2%6.3%-4.9%390.1K-19.2M-158.9K1.1514.211,3001,49548,03427,504
2010-08-05$10.92$11.0058.6%16.8%70.0%23.8%59.9%10.7%2.8%250.6K-5.5M-138.3K0.2214.436,8871,52548,56927,962
2010-08-06$10.70$12.0055.3%17.2%69.1%19.3%56.4%10.9%4.0%243.3K-4.6M-141.9K0.1616.482,71843851,21928,693
2010-08-09$10.86$12.0053.2%16.3%68.5%16.4%58.1%11.0%5.9%248.1K-5.2M-139.3K0.0521.556,03930550,88428,906
2010-08-10$10.70$11.0056.2%16.8%67.9%20.5%58.0%7.5%4.5%289.4K-6.9M-149.4K0.0520.513,89720155,46828,383
2010-08-11$10.20$10.0066.3%18.1%69.4%34.3%60.9%5.4%4.6%256.8K-4.3M-150.4K0.1820.341,46125659,36328,460
2010-08-12$10.00$10.0063.1%18.1%69.6%30.0%62.8%5.9%3.6%234.2K-3.0M-147.2K0.4221.4092839160,36228,565
2010-08-13$9.78$10.0060.3%17.3%66.6%26.1%60.0%7.1%8.0%194.8K-626.7K-137.4K0.1617.501,27320258,99928,673
2010-08-16$9.67$10.0061.6%17.7%66.6%27.9%58.0%10.3%5.1%178.1K891.1K-130.1K0.7819.9423518459,63428,704
2010-08-17$9.97$10.0057.3%16.4%66.4%22.0%57.2%6.4%8.0%194.6K-2.0M-135.4K0.2417.751,29530759,20228,695
2010-08-18$10.01$10.0059.2%17.0%65.3%24.6%59.8%3.8%8.3%246.8K-2.8M-139.1K0.1621.044046660,55628,789
2010-08-19$9.65$10.0058.8%16.8%62.9%24.0%58.7%7.8%7.0%197.9K1.0M-130.4K0.4521.4976834860,67528,810
2010-08-20$9.39$10.0058.7%16.8%62.4%24.0%56.0%7.4%11.0%207.2K5.0M-115.0K2.5016.5835388461,16228,759
2010-08-23$9.28$10.0056.1%16.1%61.5%20.4%52.7%5.5%7.5%203.1K-1.5M-114.4K0.2316.5174717247,37220,221
2010-08-24$9.07$10.0058.1%16.7%61.6%23.1%58.7%6.2%5.3%182.8K-649.2K-110.4K0.5416.6233117847,75020,290
2010-08-25$9.21$10.0057.2%16.4%61.7%21.9%58.1%2.6%5.4%182.2K-151.5K-109.0K0.0617.078344747,64420,442
2010-08-26$9.09$10.0057.6%16.5%54.2%22.4%55.6%6.4%4.7%181.4K-691.8K-110.1K0.3417.201816247,82920,448
2010-08-27$9.49$10.0055.5%15.9%54.8%19.6%51.0%5.5%5.8%220.1K-1.6M-112.7K0.3424.2532111047,95120,492
2010-08-30$9.24$10.0055.8%16.0%53.3%20.0%55.0%2.6%6.6%199.8K-1.2M-110.6K1.4319.688712448,15320,559
2010-08-31$9.12$10.0058.7%16.8%53.3%23.9%58.3%4.0%4.6%181.6K-132.1K-107.5K0.2618.763368648,17520,642