CAR Options History — October 2010

In October 2010, CAR traded between $10.95 and $11.80. ATM implied volatility averaged 54.2%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 16.1%. IV traded above realized volatility by 17.2% (HV 20d: 37.0%). Max pain ranged from $11.00 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.80.

Notable Days

  • 2010-10-08: Highest Volume — 7,150 contracts
  • 2010-10-12: Largest IV drop — 18.7% change
  • 2010-10-18: Highest IV Rank — 22.6%
  • 2010-10-04: Largest Expected Move — 17.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.39$10.95$11.80$11.72$11.61
Max Pain$11.93$11.00$12.50$11.00$11.00
ATM IV54.2%46.6%57.7%53.6%54.6%
Expected Move16.1%14.8%17.3%15.4%15.7%
HV 20d37.0%33.8%41.6%38.3%33.9%
HV 60d50.0%40.2%53.1%53.1%40.2%
IV Rank17.8%7.4%22.6%17.0%18.3%
IV Percentile25.9%2.8%38.1%23.0%29.8%
Term Structure0.7%-3.2%5.3%5.3%0.6%
VWIV56.2%47.2%64.2%54.9%53.6%
Skew 25d6.7%1.1%11.4%1.1%10.3%
Skew 10d16.8%-0.6%31.1%22.7%21.7%
Call IV 25d52.6%45.6%57.9%56.0%47.1%
Put IV 25d59.3%55.6%64.5%57.1%57.4%
Bid-Ask Spread %18.0114.4040.9316.1617.27
Gamma HHI0.440.290.600.310.60
Net GEX771.7K459.0K1.2M767.8K757.1K
Net DEX-17.9M-24.3M-11.1M-21.9M-18.7M
Net VEX-143.0K-154.8K-135.0K-148.2K-138.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.033.880.401.85
Total Volume1,506.714577,1505,046302
Total OI86,433.28680,17794,85382,19384,789

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-10-01$11.72$11.0053.6%15.4%38.3%17.0%54.9%1.1%5.3%767.8K-21.9M-148.2K0.4016.163,6121,43457,60824,585
2010-10-04$11.71$12.5055.4%17.3%37.9%19.4%61.1%7.5%1.2%821.8K-22.9M-151.4K0.8514.4019816860,16725,569
2010-10-05$11.80$12.5053.7%16.5%36.5%17.1%64.2%6.0%1.4%860.8K-24.1M-150.3K3.8815.942911,13060,05225,535
2010-10-06$11.27$12.5057.5%17.1%41.1%22.3%62.8%9.3%1.3%783.2K-16.0M-140.2K0.8517.6394780660,23226,156
2010-10-07$11.14$12.5057.2%16.8%41.6%21.9%61.6%11.3%0.0%768.2K-13.3M-135.8K0.4016.981184760,36826,294
2010-10-08$11.20$12.5053.4%16.7%41.5%16.7%56.1%5.6%1.1%822.1K-15.0M-137.0K0.4715.314,8502,30060,40526,219
2010-10-11$11.32$12.5057.4%16.6%34.0%22.1%58.2%5.6%1.7%903.2K-19.7M-147.0K0.8717.2129425664,29827,994
2010-10-12$11.38$12.5046.6%16.9%33.8%7.4%57.6%7.5%-0.7%967.5K-20.3M-144.2K0.0315.843,4249364,29528,033
2010-10-13$11.62$12.5048.5%16.5%34.5%10.0%57.3%6.6%-1.3%925.8K-24.3M-154.8K0.1018.391,89119865,38928,535
2010-10-14$11.16$12.5055.8%16.0%37.6%20.0%55.3%5.7%1.1%981.8K-17.6M-149.5K0.5416.9590148766,28028,573
2010-10-15$11.05$12.5056.1%16.1%37.7%20.4%56.0%4.3%0.7%1.2M-15.7M-141.3K0.1618.2596515565,37228,644
2010-10-18$11.36$12.5057.7%16.5%37.8%22.6%56.5%6.9%-1.8%551.6K-14.8M-142.0K1.0617.8933335354,90525,272
2010-10-19$10.95$12.5056.9%16.3%40.0%21.4%59.4%1.4%-1.8%459.0K-11.1M-135.0K0.3020.671,42842855,04025,589
2010-10-20$11.32$12.5053.1%15.2%41.3%16.3%53.2%6.9%4.1%569.9K-15.1M-141.8K0.0940.932,01017356,35025,666
2010-10-21$11.24$11.0054.6%15.7%38.3%18.4%54.2%3.7%0.4%585.3K-15.3M-143.6K0.4818.3776937258,24425,782
2010-10-22$11.21$11.0051.6%14.8%33.8%14.3%47.2%10.0%3.1%610.8K-14.5M-138.9K0.9916.00868558,54625,836
2010-10-25$11.41$11.0052.8%15.1%34.4%15.8%52.1%7.5%2.7%666.6K-16.8M-142.1K0.0419.293461458,51325,912
2010-10-26$11.63$11.0055.5%15.9%34.6%19.6%53.3%11.4%-3.2%730.0K-19.6M-142.4K0.1815.581202258,73525,909
2010-10-27$11.59$11.0053.1%15.2%34.1%16.3%53.2%4.2%-0.2%735.9K-19.3M-140.7K0.5814.52362158,75925,931
2010-10-28$11.54$11.0052.8%15.1%33.9%15.8%52.9%7.7%-0.5%731.8K-18.9M-138.4K2.7114.704813058,76825,950
2010-10-29$11.61$11.0054.6%15.7%33.9%18.3%53.6%10.3%0.6%757.1K-18.7M-138.8K1.8517.2710619658,79725,992