CAR Options History — September 2010

In September 2010, CAR traded between $9.75 and $11.65. ATM implied volatility averaged 53.1%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 15.5%. IV traded above realized volatility by 5.9% (HV 20d: 47.2%). Max pain ranged from $10.00 to $11.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 4.87.

Notable Days

  • 2010-09-30: Highest Volume — 11,236 contracts
  • 2010-09-09: Largest IV spike — 15.6% change
  • 2010-09-09: Highest IV Rank — 24.2%
  • 2010-09-07: Largest Expected Move — 17.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.82$9.75$11.65$9.75$11.65
Max Pain$10.38$10.00$11.00$10.00$11.00
ATM IV53.1%49.5%58.9%54.5%56.5%
Expected Move15.5%14.3%17.1%15.6%16.2%
HV 20d47.2%40.3%60.7%60.7%40.3%
HV 60d61.3%56.0%63.7%63.2%56.0%
IV Rank16.3%11.3%24.2%18.2%20.9%
IV Percentile18.3%9.1%31.3%19.0%30.2%
Term Structure6.6%3.3%8.6%3.3%5.0%
VWIV55.4%49.6%61.5%54.9%60.4%
Skew 25d8.5%1.0%22.9%22.9%4.2%
Skew 10d19.9%-6.3%36.2%10.4%19.9%
Call IV 25d50.1%36.8%57.2%36.8%57.2%
Put IV 25d58.6%51.8%65.0%59.7%61.4%
Bid-Ask Spread %23.5016.3629.1116.3622.79
Gamma HHI0.410.360.460.370.44
Net GEX393.5K263.2K547.7K263.2K547.7K
Net DEX-9.3M-17.3M-2.8M-2.8M-17.3M
Net VEX-126.7K-143.5K-114.8K-114.8K-143.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.870.0175.280.010.15
Total Volume2,054.33313211,2365,85511,236
Total OI68,575.23865,30575,30368,93975,303

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-09-01$9.75$10.0054.5%15.6%60.7%18.2%54.9%22.9%3.3%263.2K-2.8M-114.8K0.0116.365,7975848,22320,716
2010-09-02$10.17$10.0049.8%14.3%47.5%11.8%49.9%1.0%8.0%339.2K-6.0M-126.5K1.2617.2244155748,56020,769
2010-09-03$10.41$11.0049.5%15.9%48.0%11.3%54.4%6.7%7.1%358.0K-6.7M-126.7K0.7921.9714311347,66521,127
2010-09-07$10.19$11.0054.4%17.1%48.1%18.1%60.0%9.0%5.4%328.1K-5.6M-123.0K75.2822.30473,53847,76221,194
2010-09-08$10.21$11.0051.0%17.0%47.9%13.4%61.5%8.1%5.5%334.9K-5.3M-121.1K1.6421.77508247,76321,015
2010-09-09$10.24$11.0058.9%16.9%44.8%24.2%56.3%6.8%5.0%339.8K-5.6M-120.4K0.0822.733292547,77521,061
2010-09-10$10.22$11.0056.8%16.3%44.2%21.3%59.2%8.7%5.1%349.8K-5.5M-119.5K1.3319.9110514047,96321,058
2010-09-13$10.95$11.0055.1%15.8%49.3%19.0%58.2%9.0%6.4%440.7K-10.8M-130.1K0.2926.171,35139048,01421,125
2010-09-14$11.08$10.0054.6%15.6%49.0%18.3%56.3%7.4%7.3%439.7K-12.7M-132.6K0.6429.1131720448,60521,163
2010-09-15$11.09$10.0054.4%15.6%48.2%18.1%57.6%10.9%7.1%450.9K-12.6M-131.9K0.7223.7016511848,71821,085
2010-09-16$11.00$10.0052.7%15.1%48.4%15.7%55.0%8.6%7.6%407.1K-11.7M-128.0K11.6423.111551,80448,74021,142
2010-09-17$11.00$10.0053.6%15.4%46.0%16.9%54.0%7.6%6.8%461.7K-11.5M-129.9K0.6826.4135123748,81022,767
2010-09-20$11.30$10.0052.8%15.1%44.7%15.9%51.1%8.1%7.2%407.1K-11.1M-130.6K0.7426.5338028344,39920,906
2010-09-21$11.21$10.0052.2%15.0%44.4%15.1%52.8%6.3%6.4%414.3K-10.7M-130.6K2.0727.1917436044,73521,146
2010-09-22$11.02$10.0052.2%15.0%43.9%15.0%51.5%11.3%6.3%382.0K-9.1M-127.3K1.3423.5013618244,84321,378
2010-09-23$10.58$10.0050.5%14.5%47.4%12.7%53.6%9.9%8.4%316.4K-5.9M-116.9K0.5427.8933618344,64421,160
2010-09-24$11.14$10.0050.5%14.5%49.3%12.8%56.3%10.3%7.3%403.8K-9.7M-125.0K2.1919.8940488344,80821,193
2010-09-27$11.15$10.0051.7%14.8%47.8%14.4%53.1%5.1%7.4%390.4K-10.0M-124.3K0.1520.066309744,95721,979
2010-09-28$11.32$10.0050.3%14.4%46.0%12.4%49.6%11.1%8.6%430.3K-10.9M-125.6K0.5326.801,09457545,42122,040
2010-09-29$11.52$11.0053.8%15.4%45.2%17.2%57.4%6.4%6.8%458.3K-13.5M-131.6K0.2928.007,5182,15345,94622,402
2010-09-30$11.65$11.0056.5%16.2%40.3%20.9%60.4%4.2%5.0%547.7K-17.3M-143.5K0.1522.799,7791,45751,11324,190