CAR Options History — January 2011

In January 2011, CAR traded between $13.69 and $14.82. ATM implied volatility averaged 42.5%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 12.0% (HV 20d: 30.5%). Max pain ranged from $12.50 to $14.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.33.

Notable Days

  • 2011-01-06: Highest Volume — 7,547 contracts
  • 2011-01-13: Largest IV spike — 30.9% change
  • 2011-01-19: Highest IV Rank — 29.2%
  • 2011-01-10: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.30$13.69$14.82$14.82$13.84
Max Pain$13.70$12.50$14.00$12.50$14.00
ATM IV42.5%34.3%49.3%36.3%45.1%
Expected Move12.8%9.9%14.5%10.4%12.9%
HV 20d30.5%27.2%36.0%30.3%34.8%
HV 60d38.6%36.9%39.9%39.1%39.8%
IV Rank18.3%4.9%29.2%8.3%22.5%
IV Percentile12.3%2.0%24.6%3.2%16.3%
Term Structure3.2%-1.8%12.5%11.2%1.4%
VWIV44.5%35.0%50.7%35.8%45.3%
Skew 25d8.1%4.8%15.8%7.9%4.8%
Skew 10d13.1%-5.4%33.1%2.2%-5.4%
Call IV 25d40.9%26.3%46.2%34.3%43.8%
Put IV 25d48.9%38.5%53.7%42.2%48.7%
Bid-Ask Spread %17.6311.0150.9215.2818.16
Gamma HHI0.320.240.470.280.27
Net GEX696.1K214.4K1.2M615.0K291.6K
Net DEX-32.5M-44.9M-15.3M-39.9M-15.9M
Net VEX-127.6K-145.8K-109.2K-110.1K-129.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.330.027.342.061.49
Total Volume1,876.75807,5471,096217
Total OI65,757.238,16181,83667,18643,009

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-01-03$14.82$12.5036.3%10.4%30.3%8.3%35.8%7.9%11.2%615.0K-39.9M-110.1K2.0615.2835873845,19821,988
2011-01-04$14.47$12.5040.7%11.7%31.4%15.3%39.0%15.8%9.2%614.1K-35.8M-111.2K2.2315.8414632645,30722,459
2011-01-05$14.71$12.5034.7%9.9%31.0%5.6%35.4%12.6%12.5%625.9K-37.9M-111.1K1.3211.0110513945,34822,657
2011-01-06$14.60$12.5034.5%9.9%31.0%5.2%35.0%9.0%11.7%626.8K-37.0M-109.2K0.1612.296,5121,03545,41322,715
2011-01-07$14.48$14.0039.6%14.3%30.8%13.6%46.5%8.9%1.5%949.7K-38.3M-120.5K0.0317.916,60721551,71523,749
2011-01-10$14.28$14.0041.3%14.5%28.8%16.4%49.4%7.6%1.1%1.2M-39.8M-130.1K3.3914.177625856,65623,903
2011-01-11$14.52$14.0035.8%13.3%29.4%7.5%45.9%7.6%3.4%962.8K-42.4M-129.2K0.0217.132,2623953,65124,035
2011-01-12$14.52$14.0034.3%13.1%29.3%4.9%49.6%9.0%1.9%1.0M-42.8M-126.4K0.1216.152,92436354,54424,052
2011-01-13$14.56$14.0044.9%12.9%28.4%22.1%45.8%8.6%2.6%972.8K-44.9M-145.8K0.4719.711296156,46324,306
2011-01-14$14.54$14.0045.5%13.0%28.1%23.1%45.9%6.6%2.0%1.0M-44.7M-142.4K1.1150.92384256,47324,303
2011-01-18$14.52$14.0047.4%13.6%27.2%26.2%47.4%7.9%0.9%1.0M-44.2M-138.4K7.3411.997152156,46424,332
2011-01-19$13.90$14.0049.3%14.1%30.4%29.2%48.5%6.6%-0.2%985.6K-35.4M-133.0K0.2614.201,41437456,43624,551
2011-01-20$13.69$14.0047.4%13.6%28.8%26.2%47.9%9.0%1.8%910.1K-32.8M-132.0K0.0619.953,62623356,93824,731
2011-01-21$13.76$14.0047.7%13.7%29.0%26.7%45.6%8.0%1.6%940.1K-32.4M-133.1K0.8819.151,2311,08257,07124,765
2011-01-24$14.01$14.0046.9%13.5%30.1%25.5%44.0%6.6%0.3%232.8K-16.3M-125.2K1.6517.139901,62926,81011,351
2011-01-25$13.94$14.0046.9%13.5%30.0%25.5%50.7%6.6%-1.8%214.4K-15.3M-128.2K3.1115.148727127,56312,685
2011-01-26$14.39$14.0045.2%13.0%32.6%22.7%45.0%5.4%0.7%254.7K-18.2M-131.9K0.2314.6782719227,65012,931
2011-01-27$14.60$14.0043.4%12.5%33.1%19.8%43.2%7.8%-0.4%293.3K-19.9M-134.7K0.3117.172778628,34313,012
2011-01-28$13.93$14.0043.8%12.5%36.0%20.3%43.4%4.8%1.9%232.2K-15.6M-130.0K0.2514.611,62740728,48713,080
2011-01-31$13.84$14.0045.1%12.9%34.8%22.5%45.3%4.8%1.4%291.6K-15.9M-129.3K1.4918.168713029,74813,261