CAR Options History — May 2011

In May 2011, CAR traded between $16.73 and $19.04. ATM implied volatility averaged 39.0%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 10.7% (HV 20d: 28.2%). Max pain ranged from $15.00 to $18.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.86.

Notable Days

  • 2011-05-17: Highest Volume — 10,459 contracts
  • 2011-05-11: Largest IV spike — 23.8% change
  • 2011-05-03: Highest IV Rank — 29.2%
  • 2011-05-03: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.85$16.73$19.04$18.70$17.59
Max Pain$17.52$15.00$18.00$15.00$18.00
ATM IV39.0%34.1%49.3%44.7%35.3%
Expected Move11.2%10.0%14.1%12.8%10.1%
HV 20d28.2%21.1%32.2%21.1%31.2%
HV 60d32.7%29.4%34.4%32.3%29.4%
IV Rank12.9%4.6%29.2%21.8%7.5%
IV Percentile11.3%1.6%42.5%26.6%5.6%
Term Structure0.1%-5.5%2.3%-5.2%1.6%
VWIV38.2%34.2%49.9%44.1%37.2%
Skew 25d7.0%3.3%10.9%10.5%6.6%
Skew 10d14.4%-2.0%29.9%20.7%9.5%
Call IV 25d35.6%30.4%45.5%40.3%33.8%
Put IV 25d42.6%36.3%55.6%50.9%40.5%
Bid-Ask Spread %27.7416.1651.5116.1645.69
Gamma HHI0.170.140.230.150.15
Net GEX866.1K305.4K1.7M807.1K1.7M
Net DEX-64.7M-81.5M-45.8M-71.3M-67.5M
Net VEX-277.1K-334.5K-241.5K-241.5K-332.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.014.150.030.03
Total Volume3,137.47620010,4596,3496,068
Total OI91,82979,277107,46680,50994,993

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-05-02$18.70$15.0044.7%12.8%21.1%21.8%44.1%10.5%-5.2%807.1K-71.3M-241.5K0.0316.166,14420558,39122,118
2011-05-03$18.06$15.0049.3%14.1%24.6%29.2%49.9%10.1%-5.5%879.7K-68.7M-272.6K1.8023.752,9495,30364,01222,261
2011-05-04$18.49$16.0037.5%10.8%26.0%10.2%36.0%6.3%1.9%829.2K-74.7M-271.9K0.4319.6091539366,31826,111
2011-05-05$18.25$16.0038.2%11.0%25.8%11.3%37.2%10.9%-0.3%746.9K-69.7M-272.6K0.2816.571,20933566,41526,411
2011-05-06$18.41$18.0036.9%11.0%26.0%9.2%35.2%5.0%0.0%772.9K-72.8M-264.7K0.1833.6281314965,55326,515
2011-05-09$18.47$18.0038.1%11.2%25.9%11.2%39.1%5.7%0.4%708.0K-72.9M-261.3K0.5443.2281744564,91326,599
2011-05-10$19.04$18.0034.1%10.5%27.3%4.6%37.2%7.6%0.9%915.6K-81.5M-259.0K1.4619.4632547365,55126,607
2011-05-11$18.46$18.0042.2%11.2%29.8%17.8%36.1%8.0%0.9%735.8K-73.8M-262.6K0.6818.921198165,68026,946
2011-05-12$18.42$18.0039.2%11.2%29.7%12.9%36.7%6.2%0.3%673.4K-72.9M-260.4K1.1216.9710712065,70327,003
2011-05-13$18.21$18.0039.5%11.3%29.9%13.4%34.2%6.1%0.9%556.6K-69.1M-258.3K4.1533.884117065,67427,048
2011-05-16$17.78$18.0039.9%11.4%30.8%14.1%40.7%6.8%0.4%326.3K-61.0M-254.8K2.0034.0024048165,68827,101
2011-05-17$17.39$18.0041.7%11.9%31.4%16.9%41.0%6.8%-0.8%305.4K-53.7M-253.0K0.0322.8310,14731265,67827,339
2011-05-18$17.71$18.0037.4%10.7%32.2%10.1%37.0%4.9%2.2%311.9K-61.8M-271.6K0.8024.9431124975,68127,487
2011-05-19$17.65$18.0037.4%10.7%26.8%10.0%37.1%8.0%2.1%314.5K-60.9M-267.0K0.0124.765,3092875,44326,854
2011-05-20$17.30$18.0040.2%11.5%27.2%15.6%37.2%7.5%0.4%1.0M-59.5M-285.2K0.2924.211,49343180,61326,853
2011-05-23$16.81$18.0040.1%11.5%28.4%16.4%40.4%4.5%-1.4%1.1M-47.0M-287.3K0.8534.1448541366,89812,379
2011-05-24$16.73$18.0038.6%11.1%28.3%13.7%39.3%6.8%-1.0%1.1M-45.8M-283.6K0.0323.857,60021867,07212,571
2011-05-25$16.78$18.0037.3%10.7%28.5%11.2%36.4%6.6%-0.1%1.4M-52.2M-307.8K3.3430.514871,62574,46812,524
2011-05-26$17.17$18.0035.6%10.2%30.3%8.1%35.5%9.3%2.0%1.4M-57.1M-317.2K0.0351.517,87922474,74813,523
2011-05-27$17.43$18.0034.9%10.0%31.1%6.8%34.7%3.3%2.3%1.6M-64.8M-334.5K0.0123.917641081,18813,479
2011-05-31$17.59$18.0035.3%10.1%31.2%7.5%37.2%6.6%1.6%1.7M-67.5M-332.0K0.0345.695,86919981,50713,486