CAR Options History — December 2010

In December 2010, CAR traded between $13.75 and $15.56. ATM implied volatility averaged 38.3%, placing in the 4.1% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 3.1% (HV 20d: 35.3%). Max pain ranged from $11.00 to $13.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.17.

Notable Days

  • 2010-12-06: Highest Volume — 4,472 contracts
  • 2010-12-03: Largest IV drop — 14.4% change
  • 2010-12-08: Highest IV Rank — 12.2%
  • 2010-12-07: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.77$13.75$15.56$13.75$15.56
Max Pain$11.73$11.00$13.00$12.00$12.50
ATM IV38.3%31.2%44.0%43.3%31.2%
Expected Move11.2%9.0%13.2%12.4%9.0%
HV 20d35.3%24.0%52.7%50.8%24.0%
HV 60d40.0%37.6%42.1%40.9%37.6%
IV Rank4.1%0.0%12.2%6.0%0.0%
IV Percentile1.7%0.0%5.6%2.8%0.0%
Term Structure7.8%2.1%13.0%2.1%12.3%
VWIV40.1%32.4%49.1%44.9%32.4%
Skew 25d8.3%5.9%12.6%8.4%10.2%
Skew 10d17.6%5.5%29.2%20.2%26.6%
Call IV 25d35.8%28.0%42.2%41.6%28.0%
Put IV 25d44.1%38.2%50.0%50.0%38.2%
Bid-Ask Spread %19.8910.3559.1628.1010.35
Gamma HHI0.220.180.290.220.27
Net GEX622.0K522.1K721.8K679.6K668.5K
Net DEX-40.7M-47.1M-32.3M-32.3M-47.1M
Net VEX-119.1K-128.0K-112.2K-126.5K-112.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.038.070.210.59
Total Volume1,217.3181094,472266552
Total OI64,776.13661,55768,29962,03367,156

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-12-01$13.75$12.0043.3%12.4%50.8%6.0%44.9%8.4%2.1%679.6K-32.3M-126.5K0.2128.102194744,83617,197
2010-12-02$14.50$12.0043.5%12.5%52.7%6.4%46.8%12.6%2.2%721.8K-39.7M-123.0K2.8523.287122,02844,92217,189
2010-12-03$14.54$13.0037.3%10.7%38.8%0.0%49.1%12.2%5.4%692.9K-39.4M-128.0K0.5022.411849244,97218,588
2010-12-06$14.67$11.0042.0%12.5%35.2%8.6%45.6%7.4%5.0%689.2K-41.0M-123.8K0.0321.494,34312944,96818,632
2010-12-07$14.36$11.0042.8%13.2%36.2%9.8%46.2%7.1%4.2%550.9K-36.6M-122.6K1.1122.0417919842,87318,684
2010-12-08$14.47$11.0044.0%13.2%34.9%12.2%45.4%7.4%5.1%549.7K-37.3M-121.8K0.0422.192,1258642,91718,845
2010-12-09$14.65$11.0038.3%12.2%33.8%1.8%43.3%6.9%5.0%641.0K-40.6M-124.4K0.0717.587705444,50818,815
2010-12-10$15.11$11.0037.2%12.3%35.3%0.0%40.4%8.5%4.4%629.1K-44.5M-118.9K0.3116.6283925844,47318,829
2010-12-13$14.96$11.0041.8%11.7%34.1%8.2%41.0%5.9%5.5%625.1K-44.2M-116.6K0.6222.2828817944,71518,942
2010-12-14$14.84$11.0043.5%11.7%34.4%11.3%40.7%5.9%7.4%672.0K-43.0M-115.6K0.6219.492,1971,35644,86319,008
2010-12-15$14.53$11.0040.9%11.7%35.0%6.7%37.8%8.6%7.3%704.1K-40.9M-122.8K0.8116.7178363746,68220,193
2010-12-16$14.70$11.0039.7%11.4%34.9%4.6%40.3%8.6%8.3%607.6K-42.2M-122.8K2.3216.0738489046,86220,792
2010-12-17$14.42$11.0042.4%12.2%35.7%9.4%41.9%10.5%7.4%522.1K-38.6M-124.6K0.0518.472,28112446,85921,440
2010-12-20$14.70$11.0036.4%10.4%35.6%0.0%37.4%11.3%8.6%548.3K-37.7M-117.8K3.1715.5117254643,75020,481
2010-12-21$15.07$12.5035.0%10.0%36.1%0.0%34.5%6.5%10.7%553.2K-40.6M-115.3K0.1515.061943043,50120,757
2010-12-22$14.98$12.5034.3%9.8%34.0%0.0%34.0%6.2%10.8%547.5K-40.1M-114.9K0.0516.501,8828943,58920,768
2010-12-23$14.97$12.5033.4%9.6%31.6%0.0%36.0%7.2%11.6%635.4K-41.1M-116.7K8.0711.1111391244,97020,797
2010-12-27$14.99$12.5034.3%9.8%31.2%1.6%34.0%8.7%11.3%622.5K-41.3M-112.7K0.9259.1625923945,00621,618
2010-12-28$14.96$12.5034.2%9.8%31.1%1.4%33.1%8.6%12.0%606.8K-41.2M-113.1K2.1614.19378045,16121,841
2010-12-29$14.98$12.5033.3%9.5%30.7%0.0%33.0%6.4%13.0%605.1K-41.7M-112.3K0.3114.51832645,11321,903
2010-12-30$15.25$12.5034.8%10.0%29.3%2.5%44.9%7.5%12.0%610.9K-43.4M-114.4K0.8114.481028345,15921,901
2010-12-31$15.56$12.5031.2%9.0%24.0%0.0%32.4%10.2%12.3%668.5K-47.1M-112.2K0.5910.3534720545,22421,932