CAR Options History — February 2011

In February 2011, CAR traded between $14.12 and $16.52. ATM implied volatility averaged 43.9%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 9.9% (HV 20d: 34.0%). Max pain ranged from $14.00 to $16.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 4.11.

Notable Days

2011-02-09: Highest Volume — 9,178 contracts
2011-02-17: Largest IV drop — 27.1% change
2011-02-08: Highest IV Rank — 30.2%
2011-02-16: Largest Expected Move — 13.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.24	$14.12	$16.52	$14.30	$15.32
Max Pain	$14.68	$14.00	$16.00	$14.00	$16.00
ATM IV	43.9%	33.8%	49.9%	45.9%	44.5%
Expected Move	12.4%	9.7%	13.3%	13.2%	12.7%
HV 20d	34.0%	28.9%	38.2%	33.4%	32.8%
HV 60d	32.8%	31.9%	34.1%	34.1%	33.0%
IV Rank	20.5%	4.1%	30.2%	23.8%	21.5%
IV Percentile	16.4%	1.2%	30.2%	17.5%	19.4%
Term Structure	2.1%	-1.1%	7.4%	-1.1%	0.1%
VWIV	44.3%	37.7%	54.9%	45.8%	43.0%
Skew 25d	7.2%	1.5%	10.6%	4.0%	6.0%
Skew 10d	13.2%	-6.2%	27.4%	9.8%	2.1%
Call IV 25d	40.5%	31.9%	46.8%	45.2%	41.2%
Put IV 25d	47.7%	40.7%	50.4%	49.2%	47.2%
Bid-Ask Spread %	22.77	16.46	29.57	20.22	20.54
Gamma HHI	0.29	0.17	0.39	0.31	0.18
Net GEX	336.4K	140.0K	526.0K	342.1K	226.9K
Net DEX	-24.4M	-39.2M	-17.5M	-18.9M	-18.6M
Net VEX	-131.0K	-140.3K	-125.5K	-132.8K	-126.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.11	0.07	59.87	0.44	1.25
Total Volume	1,730.421	164	9,178	614	191
Total OI	44,293.211	34,223	54,903	43,080	37,738

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2011-02-01	$14.30	$14.00	45.9%	13.2%	33.4%	23.8%	45.8%	4.0%	-1.1%	342.1K	-18.9M	-132.8K	0.44	20.22	427	187	29,792	13,288
2011-02-02	$14.12	$14.00	45.2%	12.9%	32.7%	22.6%	44.8%	1.5%	-1.0%	335.4K	-18.1M	-130.2K	59.87	19.80	23	1,377	30,058	13,379
2011-02-03	$14.27	$14.00	45.4%	13.0%	32.3%	23.0%	45.4%	7.2%	0.6%	318.1K	-18.3M	-134.1K	3.33	16.46	151	503	30,072	14,572
2011-02-04	$14.58	$14.00	41.1%	12.1%	33.2%	16.0%	46.6%	7.8%	4.3%	350.4K	-20.4M	-134.4K	0.46	21.06	112	52	30,184	14,980
2011-02-07	$14.95	$14.00	47.2%	12.3%	34.2%	25.8%	42.6%	7.3%	2.4%	389.0K	-23.7M	-133.5K	0.36	18.63	285	103	30,251	15,005
2011-02-08	$15.17	$14.00	49.9%	12.4%	34.0%	30.2%	44.5%	9.4%	2.6%	405.4K	-25.1M	-132.9K	0.39	23.45	770	299	30,312	15,059
2011-02-09	$15.20	$14.00	49.5%	13.0%	33.6%	29.6%	42.6%	5.6%	0.9%	419.6K	-26.0M	-134.1K	0.07	21.56	8,540	638	30,783	15,264
2011-02-10	$15.40	$14.00	44.5%	12.8%	33.8%	21.6%	54.9%	6.1%	2.5%	526.0K	-39.2M	-140.3K	1.37	27.64	547	749	39,171	15,732
2011-02-11	$15.50	$14.00	44.0%	12.6%	33.9%	20.7%	44.2%	9.6%	2.6%	408.9K	-26.1M	-134.2K	1.36	27.40	281	383	30,039	16,360
2011-02-14	$15.52	$14.00	42.5%	12.2%	33.8%	18.3%	46.6%	8.7%	1.7%	387.5K	-26.8M	-131.4K	2.39	24.83	144	344	30,052	16,444
2011-02-15	$15.54	$14.00	41.4%	11.9%	33.8%	16.6%	44.4%	10.1%	3.4%	380.6K	-26.2M	-131.2K	1.51	27.64	1,208	1,824	30,039	16,637
2011-02-16	$15.66	$14.00	46.3%	13.3%	28.9%	24.5%	46.3%	8.0%	0.9%	354.5K	-27.5M	-130.4K	1.03	29.57	1,771	1,823	30,942	17,770
2011-02-17	$16.52	$15.00	33.8%	9.7%	32.3%	4.1%	38.8%	10.6%	7.4%	304.5K	-38.5M	-126.2K	0.70	25.98	1,507	1,053	32,220	18,698
2011-02-18	$16.20	$16.00	37.7%	10.8%	33.9%	10.5%	37.7%	5.9%	7.3%	452.4K	-35.4M	-128.0K	0.37	24.83	538	199	31,816	19,312
2011-02-22	$15.81	$16.00	43.5%	12.5%	35.5%	19.9%	43.4%	10.4%	-0.2%	140.0K	-20.6M	-125.5K	0.07	25.16	4,355	298	23,295	10,928
2011-02-23	$15.27	$16.00	42.9%	12.3%	38.2%	18.8%	43.3%	6.5%	5.1%	226.9K	-18.7M	-126.7K	1.45	18.59	507	733	25,333	11,092
2011-02-24	$15.02	$16.00	44.9%	12.9%	37.5%	22.1%	44.3%	4.7%	-0.9%	203.3K	-17.5M	-128.1K	0.73	19.46	456	334	25,610	11,706
2011-02-25	$15.26	$16.00	43.3%	12.4%	37.6%	19.6%	43.1%	7.2%	1.8%	219.5K	-18.3M	-128.7K	0.89	19.88	88	78	25,815	11,823
2011-02-28	$15.32	$16.00	44.5%	12.7%	32.8%	21.5%	43.0%	6.0%	0.1%	226.9K	-18.6M	-126.8K	1.25	20.54	85	106	25,874	11,864