CAR Options History — July 2011

In July 2011, CAR traded between $15.11 and $17.73. ATM implied volatility averaged 38.5%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 1.3% (HV 20d: 37.2%). Max pain ranged from $15.00 to $16.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.25.

Notable Days

  • 2011-07-01: Highest Volume — 3,504 contracts
  • 2011-07-11: Largest IV spike — 28.2% change
  • 2011-07-29: Highest IV Rank — 46.9%
  • 2011-07-29: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.28$15.11$17.73$17.36$15.11
Max Pain$15.05$15.00$16.00$16.00$15.00
ATM IV38.5%30.0%47.4%32.6%47.4%
Expected Move11.4%9.3%13.6%9.3%13.6%
HV 20d37.2%29.8%47.6%45.4%30.8%
HV 60d35.4%34.3%36.5%34.3%35.6%
IV Rank21.0%0.0%46.9%2.7%46.9%
IV Percentile19.2%0.0%60.3%0.4%60.3%
Term Structure-0.3%-3.2%5.4%5.4%-2.7%
VWIV39.4%25.4%48.2%32.3%48.2%
Skew 25d1.3%-1.6%6.0%6.0%3.8%
Skew 10d2.1%-16.0%17.1%15.4%16.4%
Call IV 25d40.3%29.2%46.8%29.2%46.8%
Put IV 25d41.6%35.2%50.6%35.2%50.6%
Bid-Ask Spread %22.5014.5767.0222.9967.02
Gamma HHI0.210.160.240.160.23
Net GEX2.2M1.7M2.4M2.2M1.7M
Net DEX-58.0M-90.8M-32.9M-79.5M-32.9M
Net VEX-321.2K-365.5K-281.9K-359.1K-281.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.250.008.930.070.71
Total Volume965.85883,5043,504667
Total OI118,040.6114,759121,205115,386121,205

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-07-01$17.36$16.0032.6%9.3%45.4%2.7%32.3%6.0%5.4%2.2M-79.5M-359.1K0.0722.993,26424097,49117,895
2011-07-05$17.17$15.0034.3%11.2%43.3%6.0%39.8%-1.6%-1.2%2.3M-79.0M-365.5K0.0717.501,11381100,54117,876
2011-07-06$17.20$15.0037.1%11.0%43.2%14.2%39.0%0.5%0.1%2.4M-79.1M-362.0K1.4720.616088101,58217,877
2011-07-07$17.73$15.0035.0%11.1%44.1%9.1%39.2%-0.4%-1.9%2.4M-90.8M-360.0K0.2023.6536274101,58717,903
2011-07-08$17.50$15.0030.0%11.1%44.4%0.0%38.7%-0.8%-0.9%2.4M-86.3M-356.6K0.7418.6413398101,79617,960
2011-07-11$16.84$15.0038.4%11.7%46.4%19.9%40.7%0.9%-1.6%2.3M-71.1M-345.1K1.9617.85162317101,79017,981
2011-07-12$16.38$15.0037.2%11.7%47.6%17.7%41.3%0.1%-0.7%2.3M-61.9M-338.5K0.6619.30236155101,76918,002
2011-07-13$16.30$15.0036.8%11.3%39.4%16.6%39.7%0.5%0.3%2.3M-58.8M-333.2K1.6819.4496161101,90018,141
2011-07-14$16.04$15.0039.9%11.4%33.1%24.1%40.1%0.4%0.2%2.3M-53.2M-322.7K0.2119.9526755101,91518,165
2011-07-15$15.74$15.0039.2%11.2%32.9%22.4%38.7%-0.4%0.0%2.2M-44.7M-310.2K0.6437.04407259102,16418,178
2011-07-18$15.47$15.0039.6%11.4%33.4%23.4%39.3%1.1%1.0%1.9M-40.1M-296.7K1.4514.8735250999,75715,002
2011-07-19$15.84$15.0038.4%11.0%34.2%20.5%40.4%2.0%-0.4%2.1M-47.0M-304.8K1.1523.20321369100,05615,195
2011-07-20$15.86$15.0037.7%10.8%33.1%18.8%38.6%2.4%0.0%2.1M-47.6M-304.3K0.4714.5711052100,17715,367
2011-07-21$16.08$15.0038.1%10.9%32.9%21.8%38.1%2.5%0.4%2.2M-52.1M-306.6K0.1716.7321136100,20815,398
2011-07-22$16.39$15.0038.1%10.9%33.5%22.1%38.2%0.6%1.1%2.2M-57.8M-309.4K0.2418.281,065255100,36415,401
2011-07-25$16.13$15.0039.3%11.3%34.0%25.2%39.5%2.5%-0.7%2.2M-53.4M-301.0K0.9120.004642100,22115,443
2011-07-26$16.01$15.0039.6%11.4%29.8%26.1%25.4%2.8%-0.9%2.2M-50.3M-297.4K0.0023.892,82710100,25315,463
2011-07-27$15.38$15.0045.6%13.1%31.2%42.2%46.4%2.2%-0.6%2.0M-39.6M-287.3K3.3616.376832,297102,98715,463
2011-07-28$15.16$15.0045.3%13.0%31.4%41.5%44.7%1.4%-3.2%1.8M-33.8M-282.3K8.9318.111851,652102,95417,385
2011-07-29$15.11$15.0047.4%13.6%30.8%46.9%48.2%3.8%-2.7%1.7M-32.9M-281.9K0.7167.02389278102,98318,222