CAR Options History — April 2011

In April 2011, CAR traded between $17.94 and $19.20. ATM implied volatility averaged 43.2%, placing in the 19.5% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 18.4% (HV 20d: 24.8%). Max pain ranged from $13.00 to $16.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 3.74.

Notable Days

2011-04-04: Highest Volume — 5,441 contracts
2011-04-08: Largest IV drop — 9.8% change
2011-04-05: Highest IV Rank — 24.8%
2011-04-05: Largest Expected Move — 14.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.54	$17.94	$19.20	$17.94	$18.96
Max Pain	$13.85	$13.00	$16.00	$16.00	$15.00
ATM IV	43.2%	39.9%	46.5%	43.8%	41.7%
Expected Move	12.8%	11.4%	14.0%	12.6%	11.9%
HV 20d	24.8%	20.3%	34.2%	34.2%	20.3%
HV 60d	34.3%	32.1%	35.5%	35.5%	32.1%
IV Rank	19.5%	14.0%	24.8%	20.3%	16.9%
IV Percentile	17.4%	8.3%	27.0%	18.7%	13.5%
Term Structure	-2.8%	-5.9%	3.4%	3.4%	-1.9%
VWIV	47.3%	37.3%	56.6%	48.8%	45.6%
Skew 25d	10.3%	7.0%	14.5%	11.3%	8.2%
Skew 10d	25.0%	15.8%	34.6%	33.2%	24.5%
Call IV 25d	39.6%	35.2%	43.1%	40.0%	39.8%
Put IV 25d	49.9%	45.0%	53.8%	51.3%	48.0%
Bid-Ask Spread %	21.94	12.99	33.99	33.17	13.68
Gamma HHI	0.17	0.14	0.24	0.24	0.15
Net GEX	953.1K	554.0K	1.6M	1.6M	809.7K
Net DEX	-88.3M	-107.6M	-62.8M	-96.4M	-74.1M
Net VEX	-255.7K	-283.2K	-235.9K	-274.5K	-241.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.74	0.03	43.97	0.99	0.71
Total Volume	1,207.3	106	5,441	497	106
Total OI	90,900.65	73,292	103,992	97,199	80,441

Daily Data (20 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
2011-04-01	$17.94	$16.00	43.8%	12.6%	34.2%	20.3%	48.8%	11.3%	3.4%	1.6M	-96.4M	-274.5K	0.99	33.17	250	247	78,074	19,125
2011-04-04	$18.13	$13.00	45.7%	13.4%	29.6%	23.4%	51.1%	11.4%	-3.0%	1.5M	-98.6M	-267.2K	43.97	20.84	121	5,320	78,088	19,203
2011-04-05	$18.15	$13.00	46.5%	14.0%	27.7%	24.8%	56.6%	12.0%	-5.9%	1.3M	-97.2M	-283.2K	0.99	19.59	169	168	78,096	24,439
2011-04-06	$18.45	$13.00	46.2%	13.9%	27.6%	24.3%	52.6%	12.6%	-5.5%	1.2M	-102.7M	-279.2K	11.94	23.49	87	1,039	78,100	24,457
2011-04-07	$18.47	$13.00	45.1%	13.6%	24.1%	22.6%	50.4%	12.5%	-4.1%	1.2M	-103.3M	-275.1K	0.89	27.45	312	277	78,113	25,201
2011-04-08	$18.37	$13.00	40.7%	13.6%	24.6%	15.4%	46.6%	8.6%	-4.8%	1.1M	-103.6M	-271.3K	1.05	27.89	407	429	78,304	25,361
2011-04-11	$18.09	$13.00	44.2%	13.7%	25.8%	21.0%	51.0%	7.9%	-5.0%	1.2M	-99.5M	-266.6K	1.61	20.89	163	262	78,485	25,381
2011-04-12	$18.05	$13.00	43.0%	13.6%	26.0%	19.1%	49.7%	12.5%	-4.6%	1.1M	-99.2M	-263.0K	2.18	20.39	139	303	78,421	25,497
2011-04-13	$18.19	$14.00	42.4%	13.8%	25.0%	18.0%	51.0%	11.5%	-5.1%	831.2K	-102.1M	-258.1K	0.79	19.19	516	408	78,112	25,604
2011-04-14	$18.29	$14.00	45.9%	13.2%	24.8%	23.8%	52.3%	14.5%	-4.5%	554.0K	-104.3M	-253.7K	0.78	19.06	98	76	77,972	25,714
2011-04-15	$18.47	$14.00	43.1%	12.4%	23.3%	19.3%	46.4%	11.9%	-1.1%	619.3K	-107.6M	-250.2K	0.03	26.09	2,129	60	78,228	25,764
2011-04-18	$18.24	$14.00	44.1%	12.7%	23.8%	20.9%	44.9%	10.8%	-2.9%	663.8K	-62.8M	-248.1K	1.54	33.99	200	309	54,108	19,184
2011-04-19	$18.29	$14.00	42.8%	12.3%	23.8%	18.8%	45.9%	9.8%	-0.4%	662.4K	-64.0M	-243.9K	0.94	31.42	1,081	1,014	54,214	19,322
2011-04-20	$19.16	$14.00	40.5%	11.6%	26.6%	15.0%	41.6%	8.4%	-0.2%	677.6K	-73.9M	-241.1K	0.06	22.81	1,509	84	55,221	19,899
2011-04-21	$19.20	$14.00	39.9%	11.4%	22.2%	14.0%	37.3%	9.8%	-1.2%	712.9K	-74.6M	-238.3K	0.42	16.42	886	374	55,464	19,894
2011-04-25	$19.20	$14.00	42.3%	12.1%	21.9%	17.9%	42.1%	9.4%	-1.7%	749.4K	-75.2M	-235.9K	0.03	16.27	2,320	62	56,191	20,148
2011-04-26	$19.18	$14.00	42.4%	12.2%	21.6%	18.2%	42.3%	7.4%	-2.4%	862.6K	-77.5M	-240.2K	3.85	12.99	242	932	58,296	20,139
2011-04-27	$19.00	$14.00	42.5%	12.2%	21.5%	18.2%	44.7%	7.0%	-2.9%	860.4K	-75.2M	-242.4K	1.87	16.78	592	1,108	58,298	21,056
2011-04-28	$19.01	$15.00	42.0%	12.1%	21.4%	17.5%	44.1%	9.3%	-2.4%	806.7K	-74.9M	-241.2K	0.20	16.31	290	57	58,331	22,068
2011-04-29	$18.96	$15.00	41.7%	11.9%	20.3%	16.9%	45.6%	8.2%	-1.9%	809.7K	-74.1M	-241.5K	0.71	13.68	62	44	58,341	22,100