CAR Options History — November 2011

In November 2011, CAR traded between $11.21 and $13.89. ATM implied volatility averaged 59.4%, placing in the 46.1% IV rank vs the trailing year. The 30-day expected move averaged 17.1%. IV traded below realized volatility by 6.3% (HV 20d: 65.7%). Max pain ranged from $11.00 to $14.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 2.54.

Notable Days

  • 2011-11-30: Highest Volume — 17,726 contracts
  • 2011-11-09: Largest IV spike — 24.3% change
  • 2011-11-01: Highest IV Rank — 61.2%
  • 2011-11-01: Largest Expected Move — 19.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.82$11.21$13.89$13.28$11.80
Max Pain$12.43$11.00$14.00$13.00$11.00
ATM IV59.4%48.1%69.0%69.0%48.1%
Expected Move17.1%13.8%19.8%19.8%13.8%
HV 20d65.7%55.2%72.5%67.2%56.4%
HV 60d67.2%66.0%68.4%68.4%67.1%
IV Rank46.1%28.4%61.2%61.2%28.4%
IV Percentile77.9%59.1%91.7%91.7%59.1%
Term Structure0.6%-4.8%4.4%-2.3%4.4%
VWIV60.9%53.5%72.3%72.3%53.5%
Skew 25d10.9%5.3%13.5%5.3%6.2%
Skew 10d26.2%0.8%46.3%12.8%25.6%
Call IV 25d55.2%48.4%67.0%67.0%48.4%
Put IV 25d66.1%54.6%76.0%72.4%54.6%
Bid-Ask Spread %31.0613.2674.2072.8214.64
Gamma HHI0.200.160.250.160.17
Net GEX486.4K294.6K770.3K631.2K467.2K
Net DEX-14.2M-22.8M-6.2M-18.5M-9.9M
Net VEX-143.7K-178.8K-102.1K-172.1K-107.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.540.0128.646.580.01
Total Volume1,757.0959017,7261,60017,726
Total OI81,093.66755,23294,84389,90261,050

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-11-01$13.28$13.0069.0%19.8%67.2%61.2%72.3%5.3%-2.3%631.2K-18.5M-172.1K6.5872.822111,38973,16716,735
2011-11-02$13.89$13.0066.3%19.0%67.8%56.9%72.3%13.5%-4.8%770.3K-22.8M-178.8K0.8067.9031825373,26616,901
2011-11-03$13.34$13.0061.4%17.6%69.7%49.2%58.2%9.2%1.0%570.7K-17.0M-163.1K1.6413.2660399173,44016,995
2011-11-04$13.71$14.0053.3%16.2%69.5%36.5%57.6%13.0%0.2%608.8K-19.2M-168.8K0.1728.8460010573,81117,910
2011-11-07$13.54$14.0055.8%16.1%68.1%40.5%54.5%12.8%0.1%556.1K-17.3M-164.3K0.5623.2859032973,92517,951
2011-11-08$13.85$14.0052.8%15.6%68.3%35.7%69.2%12.7%0.1%593.7K-20.1M-164.8K2.5022.2519949873,87918,049
2011-11-09$12.88$14.0065.6%18.1%71.6%55.8%67.0%13.5%-0.8%383.4K-12.8M-150.5K2.0365.3213928273,87018,475
2011-11-10$13.05$13.0061.2%17.6%71.0%49.0%60.2%13.4%0.8%411.1K-13.7M-150.9K28.6419.33421,20373,94318,631
2011-11-11$13.82$13.0054.3%15.6%72.5%38.2%60.7%11.2%2.0%568.2K-19.9M-163.3K0.1717.651,17520473,97319,317
2011-11-14$13.70$12.0056.8%16.3%68.8%41.9%54.4%10.1%-0.7%558.6K-19.5M-159.6K2.2617.875712975,10519,401
2011-11-15$13.73$12.0056.2%16.1%66.0%41.1%58.7%11.3%0.8%594.0K-20.5M-159.6K1.2018.8426631975,09519,308
2011-11-16$13.24$12.0060.3%17.3%66.8%47.5%60.5%10.4%2.6%525.9K-16.5M-150.3K0.5763.5728616275,12919,510
2011-11-17$12.77$12.0060.8%17.4%68.3%48.3%65.9%11.2%2.6%388.3K-11.9M-144.6K0.5118.1925513075,07819,620
2011-11-18$12.59$12.0059.7%17.1%67.8%46.5%60.4%11.5%1.6%391.7K-10.0M-136.9K1.4116.3814320175,22519,618
2011-11-21$12.46$12.0060.7%17.4%65.0%48.1%57.7%10.0%-0.3%405.3K-11.8M-128.6K1.0724.4126027845,4909,742
2011-11-22$12.10$12.0060.5%17.3%65.1%47.7%60.8%10.1%-1.9%363.5K-9.5M-122.1K0.3317.5768722445,6189,806
2011-11-23$11.45$12.0060.8%17.4%64.4%48.2%61.1%10.8%3.4%294.6K-6.2M-111.1K0.0819.093,17324945,77310,024
2011-11-25$11.26$11.0062.2%17.8%55.6%50.4%58.2%10.1%2.3%351.2K-7.2M-109.6K2.2122.27286248,62810,058
2011-11-28$11.49$11.0061.8%17.7%55.7%49.8%60.4%10.9%0.3%374.8K-7.6M-108.4K0.0874.202,13017248,63910,074
2011-11-29$11.21$11.0060.4%17.3%55.2%47.6%55.1%11.2%1.1%406.2K-6.9M-102.1K0.5914.6252131050,57610,162
2011-11-30$11.80$11.0048.1%13.8%56.4%28.4%53.5%6.2%4.4%467.2K-9.9M-107.6K0.0114.6417,59613050,91410,136