CAR Options History — August 2011

In August 2011, CAR traded between $11.28 and $15.12. ATM implied volatility averaged 65.6%, placing in the 61.5% IV rank vs the trailing year. The 30-day expected move averaged 18.4%. IV traded above realized volatility by 4.4% (HV 20d: 61.2%). Max pain ranged from $13.00 to $15.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 2.26.

Notable Days

  • 2011-08-23: Highest Volume — 8,066 contracts
  • 2011-08-08: Largest IV spike — 58.2% change
  • 2011-08-08: Highest IV Rank — 100.0%
  • 2011-08-22: Largest Expected Move — 22.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.68$11.28$15.12$15.12$13.15
Max Pain$14.48$13.00$15.00$15.00$13.00
ATM IV65.6%47.3%93.8%47.3%57.5%
Expected Move18.4%13.6%22.9%13.6%16.5%
HV 20d61.2%29.8%78.0%29.8%75.7%
HV 60d47.9%35.5%54.6%35.5%54.6%
IV Rank61.5%39.6%100.0%46.7%43.1%
IV Percentile92.9%60.3%100.0%60.3%89.7%
Term Structure-1.0%-6.6%5.3%-4.3%2.9%
VWIV62.4%47.2%75.8%47.2%55.4%
Skew 25d11.5%-0.5%18.8%1.7%15.8%
Skew 10d26.6%-15.0%53.9%1.7%23.4%
Call IV 25d60.0%47.7%72.3%47.7%51.9%
Put IV 25d71.5%49.4%87.8%49.4%67.8%
Bid-Ask Spread %35.6815.7652.6318.3432.81
Gamma HHI0.170.120.230.230.14
Net GEX532.4K144.5K1.8M1.8M450.6K
Net DEX-4.9M-31.5M6.7M-31.5M-12.5M
Net VEX-201.1K-272.9K-153.9K-272.9K-216.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.260.049.610.530.17
Total Volume2,257.4781828,066658896
Total OI112,579.78375,991135,297121,28187,453

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-08-01$15.12$15.0047.3%13.6%29.8%46.7%47.2%1.7%-4.3%1.8M-31.5M-272.9K0.5318.34431227103,02018,261
2011-08-02$14.09$15.0052.1%14.9%37.4%59.7%50.6%4.9%-3.6%1.2M-14.4M-230.3K3.3715.764631,562103,14418,342
2011-08-03$14.27$15.0051.6%14.8%38.1%58.3%49.5%6.2%-4.5%1.3M-15.9M-239.8K0.2221.562,348527103,27019,483
2011-08-04$13.84$15.0057.9%16.6%35.7%75.2%54.6%-0.5%-3.0%1.1M-14.1M-235.4K0.7423.17663490103,68819,633
2011-08-05$13.51$15.0059.3%16.5%36.0%79.2%63.6%8.2%2.3%872.9K-10.4M-223.5K5.3528.258804,708103,56919,556
2011-08-08$11.92$15.0093.8%22.8%53.2%100.0%75.8%12.2%-6.6%461.0K-799.7K-189.5K9.6149.845495,274103,99523,285
2011-08-09$12.79$15.0063.2%17.2%61.4%52.0%66.1%10.1%5.3%458.4K19-204.3K0.6149.72725444104,07726,331
2011-08-10$12.23$15.0084.7%21.3%62.4%85.7%62.9%13.5%-3.7%418.6K207.8K-192.9K2.0152.63130261103,55825,313
2011-08-11$12.66$15.0069.5%19.9%64.7%61.9%64.4%12.4%-3.3%461.2K-1.8M-202.2K1.9845.029331,848104,12425,155
2011-08-12$12.92$15.0063.9%18.3%65.7%53.1%67.8%9.8%0.6%504.2K-1.6M-208.6K1.2852.35110141104,76726,728
2011-08-15$13.26$15.0062.5%17.9%66.8%51.0%60.9%8.3%1.4%534.0K-2.8M-214.7K0.4330.7012755105,01526,830
2011-08-16$12.70$15.0063.1%18.1%66.9%51.9%62.7%9.7%1.2%344.3K1.1M-195.0K4.1426.7143178105,09826,859
2011-08-17$12.67$15.0060.4%17.3%66.8%47.6%66.2%11.1%3.8%297.6K2.1M-190.9K1.9438.681,3752,674105,10626,810
2011-08-18$11.73$14.0073.5%21.1%70.0%68.2%75.1%15.9%-2.8%202.6K6.0M-175.2K3.6550.23154562106,21428,674
2011-08-19$11.61$14.0073.5%21.1%68.8%68.2%74.8%17.0%-2.0%187.5K6.7M-173.2K0.7047.522,0891,466106,32928,968
2011-08-22$11.39$14.0079.7%22.9%68.8%77.9%51.4%15.5%-4.3%180.8K-197.7K-164.3K0.0545.211,1235455,32021,628
2011-08-23$11.28$14.0074.8%21.5%68.8%70.2%71.9%12.2%-3.1%144.5K1.7M-153.9K0.0445.947,74332354,36521,626
2011-08-24$11.68$14.0067.1%19.2%70.6%58.1%67.2%14.3%-0.4%234.9K-2.4M-178.6K6.8321.872291,56560,14221,778
2011-08-25$11.35$14.0077.1%22.1%70.8%73.8%70.5%18.8%-5.7%206.6K-1.5M-167.6K6.2420.727384,60760,20221,304
2011-08-26$11.92$14.0063.9%18.3%74.3%53.1%64.6%15.8%1.3%203.1K-2.1M-182.4K1.1451.319041,03260,89924,652
2011-08-29$12.61$14.0056.1%16.1%78.0%41.0%56.0%16.3%0.8%318.3K-6.6M-199.5K0.5325.8631416761,74925,501
2011-08-30$13.03$13.0055.3%15.8%75.8%39.6%55.6%14.4%4.3%422.9K-11.2M-214.5K0.4326.3955223861,94025,574
2011-08-31$13.15$13.0057.5%16.5%75.7%43.1%55.4%15.8%2.9%450.6K-12.5M-216.9K0.1732.8176812861,71325,740