CAR Options History — June 2011

In June 2011, CAR traded between $15.70 and $17.17. ATM implied volatility averaged 41.0%, placing in the 18.7% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 3.0% (HV 20d: 38.0%). Max pain ranged from $16.00 to $18.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.11.

Notable Days

  • 2011-06-14: Highest Volume — 8,723 contracts
  • 2011-06-06: Largest IV spike — 16.3% change
  • 2011-06-24: Highest IV Rank — 26.0%
  • 2011-06-24: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.33$15.70$17.17$17.01$17.09
Max Pain$16.36$16.00$18.00$18.00$16.00
ATM IV41.0%34.1%44.8%39.3%34.1%
Expected Move11.8%9.8%12.8%11.3%9.8%
HV 20d38.0%27.8%46.7%31.1%45.4%
HV 60d31.4%28.2%34.4%29.1%34.3%
IV Rank18.7%5.6%26.0%14.8%5.6%
IV Percentile22.2%2.0%40.5%12.7%2.0%
Term Structure2.5%-1.2%5.8%-1.2%5.7%
VWIV41.5%34.7%45.1%39.6%34.7%
Skew 25d5.0%0.4%7.5%4.3%5.9%
Skew 10d10.6%-14.4%23.0%-14.4%20.5%
Call IV 25d39.2%30.8%44.0%37.7%30.8%
Put IV 25d44.2%36.7%49.2%41.9%36.7%
Bid-Ask Spread %32.5018.3067.0921.9418.30
Gamma HHI0.150.140.170.160.15
Net GEX1.5M939.3K2.0M1.7M2.0M
Net DEX-51.1M-67.7M-38.6M-64.9M-67.7M
Net VEX-326.5K-343.5K-302.1K-338.5K-338.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.015.382.440.01
Total Volume2,467.5912308,7231,0046,251
Total OI105,213.72795,278111,109100,266109,588

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-06-01$17.01$18.0039.3%11.3%31.1%14.8%39.6%4.3%-1.2%1.7M-64.9M-338.5K2.4421.9429271286,61913,647
2011-06-02$16.98$18.0037.8%10.8%29.5%12.2%37.5%5.1%0.2%1.5M-57.3M-326.3K0.1926.894,86890181,15314,125
2011-06-03$16.74$17.0038.5%11.2%29.5%13.5%39.8%4.2%5.1%1.5M-55.1M-334.7K0.0848.901,83614885,62414,711
2011-06-06$16.13$17.0044.8%11.9%31.3%25.1%41.5%4.1%3.1%1.5M-46.8M-321.4K0.0624.354,88829187,27914,823
2011-06-07$16.09$17.0037.8%11.8%31.1%12.7%41.3%3.0%1.6%1.5M-45.1M-315.6K0.0925.952,00218687,30714,905
2011-06-08$15.98$17.0041.4%12.0%27.8%19.7%41.5%4.4%2.5%1.4M-41.9M-302.1K5.3827.641,2646,80186,94115,004
2011-06-09$16.23$16.0040.7%11.7%27.8%18.4%38.1%7.2%2.4%1.3M-48.4M-317.0K0.1525.476018987,93315,994
2011-06-10$15.99$16.0040.6%11.6%27.9%18.1%41.1%2.3%2.5%1.3M-44.3M-309.1K1.2526.979011,12887,98916,022
2011-06-13$15.96$16.0040.4%11.6%27.9%17.8%41.4%5.0%2.3%1.2M-42.2M-304.9K0.7725.5431424187,97416,955
2011-06-14$17.17$16.0041.4%11.9%39.0%19.7%41.2%4.4%2.8%1.6M-64.2M-328.2K0.1331.947,73698788,11617,181
2011-06-15$16.14$16.0044.6%12.8%43.9%26.0%44.3%0.4%2.5%1.2M-50.0M-343.5K1.1726.0560771392,09617,803
2011-06-16$15.79$16.0043.6%12.5%43.6%24.0%44.8%5.3%2.6%978.2K-41.0M-331.0K1.0030.9544344192,44218,146
2011-06-17$15.70$16.0043.6%12.5%43.6%24.0%44.3%3.6%3.2%939.3K-38.6M-327.1K1.4845.0125437592,63618,473
2011-06-20$15.90$16.0043.3%12.4%43.7%23.4%42.3%5.1%1.5%1.6M-46.1M-324.3K0.1032.063323388,84214,859
2011-06-21$16.27$16.0042.6%12.2%43.7%22.0%45.1%5.1%1.6%1.7M-52.5M-333.1K4.8323.034982,40489,11314,847
2011-06-22$16.00$16.0041.2%11.8%44.0%19.3%42.6%7.5%2.9%1.6M-47.7M-327.4K0.5367.091,19963489,26616,853
2011-06-23$15.90$16.0043.7%12.5%44.0%24.1%44.2%6.0%0.5%1.5M-44.3M-324.3K1.1451.3842548489,99717,209
2011-06-24$15.80$16.0044.6%12.8%43.0%26.0%44.7%6.7%0.6%1.5M-43.5M-323.7K2.5431.4315840290,20217,388
2011-06-27$16.53$16.0040.1%11.5%46.0%17.1%43.0%6.7%4.6%1.7M-55.8M-335.9K0.7524.1717513290,29817,750
2011-06-28$16.92$16.0040.5%11.6%46.7%18.1%40.7%6.0%3.4%1.8M-63.7M-342.0K0.2456.241854590,41017,816
2011-06-29$16.90$16.0036.6%10.5%45.2%10.4%38.3%7.2%5.8%1.8M-63.2M-333.9K0.0323.781,8595290,52217,844
2011-06-30$17.09$16.0034.1%9.8%45.4%5.6%34.7%5.9%5.7%2.0M-67.7M-338.5K0.0118.306,2183391,70917,879