CAR Options History — October 2011

In October 2011, CAR traded between $8.89 and $14.62. ATM implied volatility averaged 63.7%, placing in the 52.7% IV rank vs the trailing year. The 30-day expected move averaged 18.5%. IV traded below realized volatility by 8.9% (HV 20d: 72.6%). 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 4 of 21 days. Put/call ratio averaged 0.93.

Notable Days

  • 2011-10-28: Highest Volume — 21,849 contracts
  • 2011-10-05: Largest IV drop — 16.5% change
  • 2011-10-03: Highest IV Rank — 87.7%
  • 2011-10-03: Largest Expected Move — 24.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.86$8.89$14.62$8.89$14.10
Max Pain$12.62$11.00$13.00$11.00$13.00
ATM IV63.7%54.3%86.0%86.0%60.4%
Expected Move18.5%15.6%24.6%24.6%17.3%
HV 20d72.6%62.8%79.0%64.5%62.8%
HV 60d67.7%60.9%72.1%60.9%72.1%
IV Rank52.7%38.1%87.7%87.7%47.6%
IV Percentile85.1%73.0%99.2%99.2%81.0%
Term Structure-2.2%-5.9%4.3%-4.4%-3.9%
VWIV64.7%52.0%78.5%76.3%63.1%
Skew 25d14.4%8.0%18.6%18.6%11.9%
Skew 10d41.9%26.8%60.8%32.2%43.4%
Call IV 25d59.3%48.7%77.3%77.3%54.6%
Put IV 25d73.7%60.3%95.8%95.8%66.5%
Bid-Ask Spread %44.1622.1173.6436.9973.64
Gamma HHI0.130.120.250.120.19
Net GEX258.0K27.2K870.0K27.2K870.0K
Net DEX-5.9M-24.9M7.0M7.0M-24.9M
Net VEX-125.2K-183.5K-82.0K-82.0K-183.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.014.171.732.22
Total Volume1,4735921,8491,270328
Total OI80,645.61976,74389,77181,13289,771

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-10-03$8.89$11.0086.0%24.6%64.5%87.7%76.3%18.6%-4.4%27.2K7.0M-82.0K1.7336.9946680461,74219,390
2011-10-04$9.49$11.0083.5%23.9%70.7%83.8%78.5%13.5%-5.9%30.9K6.2M-89.4K0.9243.4920418862,03419,401
2011-10-05$9.78$11.0069.7%20.0%70.3%62.3%70.2%13.6%3.8%51.7K4.9M-96.7K0.2126.7866813962,20518,736
2011-10-06$10.27$11.0066.9%19.2%72.8%57.8%62.3%13.0%4.3%66.0K3.7M-101.2K0.3943.622188662,16618,717
2011-10-07$10.61$13.0066.6%19.7%73.2%57.3%71.1%15.5%-4.5%103.1K1.2M-112.6K3.7124.9312546462,21918,767
2011-10-10$11.22$13.0064.5%20.0%75.8%54.1%68.5%15.9%-5.4%135.8K-945.2K-121.0K0.2134.661934162,31418,878
2011-10-11$11.30$13.0064.4%19.6%75.3%53.9%65.8%14.9%-3.0%140.9K-1.7M-121.5K0.2349.5569115762,33018,889
2011-10-12$12.00$13.0055.1%18.6%75.2%39.4%64.0%16.1%-5.2%248.4K-6.6M-135.2K0.1155.767137662,76219,025
2011-10-13$11.74$13.0061.0%17.5%74.1%48.6%66.8%17.4%2.6%179.7K-4.0M-129.9K0.3731.9429110862,07419,025
2011-10-14$12.19$13.0060.8%17.4%75.6%48.3%60.2%16.0%-3.9%216.5K-6.5M-130.8K0.6954.89654562,28319,046
2011-10-17$11.51$13.0063.4%18.2%77.8%52.3%66.4%15.1%1.8%153.1K-3.0M-121.2K4.1722.116627562,29119,055
2011-10-18$12.23$13.0062.7%18.0%79.0%51.2%63.3%13.9%-3.7%205.5K-6.7M-128.2K1.4624.686910162,34219,154
2011-10-19$11.91$13.0063.8%18.3%75.5%53.0%62.7%15.7%-4.9%182.8K-5.4M-126.8K0.1035.78981062,35319,089
2011-10-20$11.85$13.0064.0%18.4%70.0%53.3%72.7%13.6%-3.6%182.3K-5.2M-124.9K0.3056.25872662,37619,099
2011-10-21$12.22$13.0062.2%17.8%70.4%50.4%64.7%13.9%-3.3%218.5K-7.4M-125.8K0.1957.293496562,39119,101
2011-10-24$12.90$13.0056.1%16.1%72.3%40.9%54.5%15.7%-1.5%271.6K-9.5M-130.0K0.0558.724072060,38416,359
2011-10-25$12.57$13.0058.5%16.8%73.3%44.7%61.3%13.5%-0.3%264.0K-8.3M-129.2K1.0350.80293060,55916,364
2011-10-26$13.25$13.0058.1%16.7%71.2%44.1%60.0%12.4%-1.8%362.3K-12.2M-134.4K1.1535.83809260,57916,371
2011-10-27$14.35$13.0054.7%15.7%74.0%38.7%52.0%13.2%-0.7%667.3K-20.5M-149.0K0.3439.6590330760,64916,434
2011-10-28$14.62$13.0054.3%15.6%70.6%38.1%54.0%8.0%-2.0%839.8K-24.1M-155.5K0.0169.9921,57127860,37416,460
2011-10-31$14.10$13.0060.4%17.3%62.8%47.6%63.1%11.9%-3.9%870.0K-24.9M-183.5K2.2273.6410222673,14416,627