CAR Options History — September 2011

In September 2011, CAR traded between $9.67 and $12.97. ATM implied volatility averaged 67.9%, placing in the 59.4% IV rank vs the trailing year. The 30-day expected move averaged 19.3%. IV traded above realized volatility by 6.4% (HV 20d: 61.5%). Max pain ranged from $11.00 to $13.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 7.18.

Notable Days

  • 2011-09-23: Highest Volume — 4,045 contracts
  • 2011-09-12: Largest IV spike — 33.7% change
  • 2011-09-12: Highest IV Rank — 91.8%
  • 2011-09-22: Largest Expected Move — 22.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.61$9.67$12.97$12.97$9.67
Max Pain$11.48$11.00$13.00$13.00$11.00
ATM IV67.9%56.2%88.6%56.3%77.0%
Expected Move19.3%16.1%22.6%16.2%22.1%
HV 20d61.5%54.4%76.6%75.2%60.7%
HV 60d56.3%53.2%59.2%54.7%59.0%
IV Rank59.4%41.1%91.8%41.3%73.6%
IV Percentile93.5%83.7%99.6%86.9%97.2%
Term Structure1.6%-2.1%6.1%1.9%-2.0%
VWIV70.1%52.6%92.8%52.6%73.8%
Skew 25d15.0%12.1%18.6%12.5%18.6%
Skew 10d28.8%-1.5%49.5%18.3%-1.5%
Call IV 25d61.4%49.7%73.0%54.9%70.5%
Put IV 25d76.4%65.4%89.0%67.4%89.0%
Bid-Ask Spread %32.6421.0950.2937.2531.89
Gamma HHI0.130.120.150.140.12
Net GEX196.5K17.5K420.4K420.4K21.5K
Net DEX-2.4M-11.3M7.3M-11.3M7.2M
Net VEX-162.9K-210.0K-103.0K-210.0K-103.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.180.0276.677.831.23
Total Volume1,177.333974,045362201
Total OI87,125.23884,30991,04287,28284,309

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-09-01$12.97$13.0056.3%16.2%75.2%41.3%52.6%12.5%1.9%420.4K-11.3M-210.0K7.8337.254132161,56125,721
2011-09-02$12.35$13.0063.8%18.3%76.6%53.0%64.2%13.8%2.2%284.2K-6.0M-190.6K39.5943.551767361,55125,868
2011-09-06$12.31$12.0074.5%20.0%61.9%69.8%68.2%16.1%-0.4%255.5K-4.7M-185.6K2.5826.1429977061,54826,237
2011-09-07$12.74$12.0060.5%17.4%57.8%47.8%60.8%16.4%2.1%334.6K-8.2M-198.5K0.4224.951918161,67226,441
2011-09-08$12.23$12.0069.7%19.0%57.4%62.2%64.9%17.0%-1.1%231.5K-4.8M-185.1K2.3027.2212228061,74126,472
2011-09-09$11.74$12.0066.3%20.2%57.7%56.8%92.8%16.7%-1.2%140.0K-1.3M-174.6K1.9436.39336461,80026,752
2011-09-12$11.45$12.0088.6%21.3%57.4%91.8%83.9%18.1%0.3%85.7K442.2K-163.6K0.3940.821003961,82226,654
2011-09-13$11.74$12.0066.1%19.8%57.3%56.6%74.9%17.9%0.4%102.7K-363.2K-166.3K0.1323.711,74422161,87826,683
2011-09-14$12.48$11.0060.2%18.6%60.2%47.3%71.7%13.8%3.8%294.7K-9.0M-189.3K2.1536.501,0192,19264,33026,712
2011-09-15$12.93$11.0057.7%16.5%61.6%43.4%68.5%13.4%4.0%365.1K-11.3M-193.5K0.7338.0639628963,40426,784
2011-09-16$12.83$11.0056.2%16.1%54.4%41.1%57.5%15.7%2.8%330.4K-9.7M-188.6K0.0224.703,5857263,01625,584
2011-09-19$12.53$11.0056.7%16.3%55.1%41.9%55.6%14.3%2.2%334.5K-8.4M-178.8K0.5332.591447762,87822,996
2011-09-20$11.91$11.0059.3%17.0%57.9%45.9%60.9%14.9%3.0%261.4K-5.5M-171.0K0.6621.9621013862,89323,063
2011-09-21$11.13$11.0065.9%18.9%63.0%56.3%63.4%16.9%2.4%144.9K138.6K-147.1K1.5824.54507963,03123,167
2011-09-22$10.34$11.0078.7%22.6%66.5%76.3%74.6%13.5%-2.1%95.4K4.1M-129.1K2.1033.1123048363,03423,186
2011-09-23$10.51$11.0072.7%20.9%66.4%67.0%73.0%12.2%2.8%119.2K3.0M-137.5K0.0342.933,92611963,00323,347
2011-09-26$10.70$11.0073.9%21.2%64.0%68.7%78.9%14.2%1.4%106.2K3.0M-133.4K0.7829.6419315161,58123,416
2011-09-27$10.84$11.0071.0%20.4%60.2%64.2%68.9%12.1%3.7%108.2K1.7M-138.2K0.3938.0331112261,50923,363
2011-09-28$10.27$11.0077.5%22.2%60.4%74.4%73.0%12.4%6.1%72.1K4.1M-126.0K8.8250.292051,80861,71423,395
2011-09-29$10.08$11.0073.3%21.0%59.9%67.9%89.7%14.2%0.0%17.5K7.3M-110.4K76.6721.09483,68061,74723,767
2011-09-30$9.67$11.0077.0%22.1%60.7%73.6%73.8%18.6%-2.0%21.5K7.2M-103.0K1.2331.899011161,75622,553