CAR Options History — November 2010

In November 2010, CAR traded between $11.81 and $13.92. ATM implied volatility averaged 46.8%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded above realized volatility by 0.4% (HV 20d: 46.4%). Max pain ranged from $11.00 to $12.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.16.

Notable Days

  • 2010-11-04: Highest Volume — 10,536 contracts
  • 2010-11-04: Largest IV drop — 19.2% change
  • 2010-11-16: Highest IV Rank — 20.2%
  • 2010-11-01: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.18$11.81$13.92$11.87$13.29
Max Pain$11.81$11.00$12.00$11.00$12.00
ATM IV46.8%40.2%51.8%51.8%49.9%
Expected Move13.7%11.9%14.8%14.8%14.3%
HV 20d46.4%30.7%51.5%34.8%49.8%
HV 60d43.0%40.1%44.9%40.2%40.8%
IV Rank11.4%0.0%20.2%14.5%18.5%
IV Percentile8.4%0.0%18.3%17.5%18.3%
Term Structure1.8%-2.2%5.1%1.6%-2.2%
VWIV47.9%42.0%53.0%53.0%50.0%
Skew 25d7.7%1.8%17.5%10.2%5.2%
Skew 10d15.4%-5.2%35.9%29.8%-0.5%
Call IV 25d43.7%37.7%47.6%44.9%46.3%
Put IV 25d51.4%40.3%59.7%55.2%51.5%
Bid-Ask Spread %24.6015.0163.9822.6419.38
Gamma HHI0.360.200.630.620.20
Net GEX911.2K527.3K1.3M861.1K620.6K
Net DEX-43.4M-64.1M-21.4M-21.8M-28.1M
Net VEX-139.9K-156.3K-124.4K-137.7K-125.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.025.405.400.42
Total Volume2,117.52413910,5362,552298
Total OI83,922.47659,83597,79184,99261,807

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-11-01$11.87$11.0051.8%14.8%34.8%14.5%53.0%10.2%1.6%861.1K-21.8M-137.7K5.4022.643992,15358,84626,146
2010-11-02$11.97$11.0051.3%14.7%34.8%13.9%51.9%17.5%2.7%880.8K-23.3M-141.6K1.3318.8940553959,00828,142
2010-11-03$11.81$11.0051.5%14.8%30.7%16.6%51.2%10.3%2.2%870.5K-21.4M-135.7K0.2422.761,13126659,21626,192
2010-11-04$13.13$11.0041.6%11.9%47.5%0.7%42.0%1.8%5.1%1.2M-42.6M-136.4K0.1115.019,5301,00659,45526,217
2010-11-05$13.79$12.0041.2%13.5%49.6%0.0%45.5%4.2%1.6%1.0M-59.4M-152.7K0.3425.672,53585566,40726,808
2010-11-08$13.81$12.0040.4%12.8%49.7%0.0%44.9%6.9%3.8%1.0M-60.5M-153.6K0.3128.441,61249467,66127,054
2010-11-09$13.48$12.0043.2%14.1%51.1%5.1%47.0%4.9%-0.3%1.2M-56.5M-156.3K3.3928.144801,62668,88127,278
2010-11-10$13.87$12.0040.2%12.9%51.5%0.0%45.3%7.6%3.1%1.1M-62.6M-149.1K0.0222.969,38322768,71226,490
2010-11-11$13.92$12.0046.5%13.3%48.1%11.3%50.6%8.8%2.8%1.1M-64.1M-152.6K0.7125.5850535870,13626,641
2010-11-12$13.59$12.0047.7%13.7%49.2%14.4%46.0%7.5%3.8%1.2M-59.4M-155.8K0.1218.9999812170,29426,904
2010-11-15$13.62$12.0047.5%13.6%48.8%14.0%48.5%7.0%3.2%1.2M-60.3M-152.1K0.6222.4635421970,59926,898
2010-11-16$13.43$12.0050.8%14.6%46.6%20.2%51.3%6.9%0.3%1.3M-56.8M-152.5K0.0422.493,71814970,70027,091
2010-11-17$13.33$12.0049.1%14.1%46.2%16.9%48.4%6.9%0.4%990.8K-57.7M-144.8K3.6717.433312170,55527,126
2010-11-18$13.26$12.0049.3%14.1%46.1%17.4%48.4%9.7%-1.1%890.8K-53.6M-133.3K1.0524.2413013667,16827,029
2010-11-19$13.10$12.0046.8%13.4%46.5%12.5%44.0%7.6%5.1%763.7K-51.8M-130.7K0.7124.0531422467,18127,014
2010-11-22$13.07$12.0047.9%13.7%46.5%14.7%47.2%11.9%-0.1%550.8K-25.6M-125.9K1.1663.9866777443,05416,781
2010-11-23$12.71$12.0046.9%13.4%47.8%12.8%47.3%2.1%3.5%527.3K-23.6M-124.4K2.7226.7420555843,49216,585
2010-11-24$13.26$12.0044.0%12.6%49.6%7.3%43.4%8.8%0.5%589.8K-27.2M-127.0K0.1121.118178743,61416,943
2010-11-26$13.15$12.0047.5%13.6%49.7%13.9%51.8%8.0%2.2%601.2K-27.0M-126.0K1.2425.36627744,16116,950
2010-11-29$13.39$12.0048.3%13.8%49.9%15.4%48.5%8.2%-1.0%624.8K-28.7M-124.5K0.5820.2157133144,17716,959
2010-11-30$13.29$12.0049.9%14.3%49.8%18.5%50.0%5.2%-2.2%620.6K-28.1M-125.0K0.4219.382108844,67317,134