CAR Options History — March 2011

In March 2011, CAR traded between $14.82 and $18.26. ATM implied volatility averaged 52.1%, placing in the 33.9% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded above realized volatility by 10.7% (HV 20d: 41.4%). Max pain ranged from $16.00 to $16.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 0.55.

Notable Days

2011-03-03: Highest Volume — 23,314 contracts
2011-03-10: Largest IV spike — 28.2% change
2011-03-16: Highest IV Rank — 58.0%
2011-03-16: Largest Expected Move — 19.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.39	$14.82	$18.26	$14.82	$17.91
Max Pain	$16.00	$16.00	$16.00	$16.00	$16.00
ATM IV	52.1%	41.5%	67.0%	46.1%	44.1%
Expected Move	15.2%	12.2%	19.2%	13.2%	12.6%
HV 20d	41.4%	34.6%	45.4%	35.3%	34.6%
HV 60d	35.6%	32.0%	37.4%	32.0%	35.6%
IV Rank	33.9%	16.7%	58.0%	24.1%	20.8%
IV Percentile	42.8%	11.9%	80.6%	23.4%	19.8%
Term Structure	-1.3%	-6.9%	5.4%	-1.9%	4.7%
VWIV	53.5%	40.4%	63.7%	48.2%	50.0%
Skew 25d	10.3%	2.4%	17.1%	2.7%	11.6%
Skew 10d	27.1%	-17.4%	44.6%	-17.4%	22.1%
Call IV 25d	47.8%	37.4%	58.1%	44.7%	40.6%
Put IV 25d	58.1%	45.6%	69.5%	47.3%	52.2%
Bid-Ask Spread %	24.11	19.30	33.86	19.94	25.35
Gamma HHI	0.28	0.16	0.36	0.16	0.25
Net GEX	1.1M	187.6K	1.6M	187.6K	1.5M
Net DEX	-53.7M	-96.9M	-16.8M	-16.8M	-93.1M
Net VEX	-214.6K	-279.6K	-124.1K	-124.1K	-270.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.55	0.04	4.38	0.67	0.33
Total Volume	5,245.565	152	23,314	613	4,420
Total OI	73,742.609	37,777	94,367	37,777	94,256

Daily Data (23 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
2011-03-01	$14.82	$16.00	46.1%	13.2%	35.3%	24.1%	48.2%	2.7%	-1.9%	187.6K	-16.8M	-124.1K	0.67	19.94	366	247	25,846	11,931
2011-03-02	$15.21	$16.00	44.8%	12.8%	34.6%	21.9%	43.8%	2.4%	0.5%	214.9K	-18.3M	-126.2K	0.40	22.49	284	113	26,098	12,102
2011-03-03	$16.16	$16.00	42.6%	12.2%	39.6%	18.4%	40.4%	10.8%	5.4%	267.2K	-24.0M	-130.5K	0.13	19.30	20,658	2,656	26,301	12,102
2011-03-04	$16.00	$16.00	41.5%	13.6%	40.0%	16.7%	48.4%	8.3%	1.9%	969.3K	-33.8M	-173.1K	0.22	24.73	2,411	525	44,428	14,012
2011-03-07	$15.37	$16.00	47.9%	14.4%	42.7%	27.1%	48.4%	3.8%	-0.2%	834.2K	-28.2M	-163.9K	4.38	27.79	189	827	44,386	14,035
2011-03-08	$15.94	$16.00	46.2%	14.1%	43.6%	24.2%	48.6%	7.9%	0.3%	882.0K	-32.3M	-168.5K	0.04	31.36	4,051	173	43,960	14,776
2011-03-09	$15.88	$16.00	48.5%	15.7%	43.5%	28.0%	54.3%	11.3%	-1.8%	912.2K	-33.4M	-170.4K	0.07	21.09	11,230	825	45,568	14,756
2011-03-10	$15.42	$16.00	62.2%	17.8%	44.9%	50.1%	62.0%	7.2%	-4.3%	1.0M	-34.5M	-184.9K	0.07	19.65	20,444	1,511	54,810	15,266
2011-03-11	$15.61	$16.00	59.5%	17.1%	44.9%	45.8%	59.6%	11.3%	-1.7%	1.1M	-40.6M	-212.9K	0.10	19.39	4,469	431	59,928	16,295
2011-03-14	$15.60	$16.00	62.0%	17.8%	44.8%	49.8%	62.7%	10.8%	-6.9%	1.2M	-38.5M	-204.4K	0.27	20.62	2,454	673	60,620	16,318
2011-03-15	$15.61	$16.00	62.5%	17.9%	44.8%	50.6%	63.7%	11.6%	-4.2%	1.1M	-38.6M	-207.8K	0.82	33.86	1,335	1,100	59,200	16,944
2011-03-16	$15.43	$16.00	67.0%	19.2%	45.0%	58.0%	60.7%	11.5%	-5.4%	972.6K	-36.3M	-206.7K	0.13	21.55	1,469	198	59,642	17,570
2011-03-17	$15.70	$16.00	59.7%	17.1%	45.4%	46.2%	62.1%	12.0%	-0.6%	1.1M	-40.8M	-211.1K	0.35	21.31	395	139	60,595	17,642
2011-03-18	$16.18	$16.00	57.2%	16.4%	42.4%	42.1%	55.5%	8.6%	-3.3%	1.1M	-49.7M	-209.8K	0.06	23.53	11,321	646	60,711	17,700
2011-03-21	$16.48	$16.00	53.2%	15.3%	42.3%	35.7%	53.1%	7.9%	-3.0%	1.4M	-61.3M	-242.3K	0.07	21.46	8,526	582	64,074	13,399
2011-03-22	$16.47	$16.00	54.1%	15.5%	41.3%	37.0%	52.7%	9.7%	2.2%	1.6M	-70.4M	-273.8K	1.87	20.45	2,316	4,324	72,099	13,832
2011-03-23	$16.97	$16.00	50.3%	14.4%	40.0%	31.0%	53.2%	12.2%	2.0%	1.4M	-74.3M	-279.5K	0.14	27.04	2,657	383	71,645	17,720
2011-03-24	$17.76	$16.00	47.9%	13.7%	41.6%	27.0%	51.4%	17.1%	-2.3%	1.4M	-88.0M	-278.0K	0.51	30.35	2,375	1,203	73,329	17,318
2011-03-25	$18.00	$16.00	48.9%	14.0%	41.5%	28.7%	52.2%	13.7%	-0.7%	1.4M	-93.4M	-279.6K	0.17	22.74	1,427	238	74,504	18,070
2011-03-28	$18.26	$16.00	51.1%	14.7%	41.5%	32.3%	52.7%	15.5%	-3.6%	1.4M	-96.9M	-273.5K	0.83	33.07	267	222	75,690	18,195
2011-03-29	$18.08	$16.00	51.4%	14.7%	39.2%	32.8%	52.5%	12.2%	-4.1%	1.4M	-95.5M	-273.4K	0.91	19.73	218	198	75,724	18,316
2011-03-30	$18.22	$16.00	50.1%	14.4%	38.7%	30.7%	54.9%	15.7%	-2.0%	1.4M	-96.8M	-272.2K	0.15	27.65	132	20	75,919	18,448
2011-03-31	$17.91	$16.00	44.1%	12.6%	34.6%	20.8%	50.0%	11.6%	4.7%	1.5M	-93.1M	-270.0K	0.33	25.35	3,325	1,095	75,912	18,344