CAR Options History — December 2011

In December 2011, CAR traded between $10.40 and $12.18. ATM implied volatility averaged 41.8%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded below realized volatility by 10.6% (HV 20d: 52.4%). Max pain ranged from $11.00 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.79.

Notable Days

  • 2011-12-02: Highest Volume — 6,725 contracts
  • 2011-12-15: Largest IV spike — 75.9% change
  • 2011-12-19: Highest IV Rank — 36.9%
  • 2011-12-08: Largest Expected Move — 15.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.22$10.40$12.18$11.78$10.72
Max Pain$12.36$11.00$12.50$11.00$12.50
ATM IV41.8%26.8%51.5%44.5%43.5%
Expected Move13.2%11.6%15.1%12.8%12.5%
HV 20d52.4%47.9%57.7%53.1%51.7%
HV 60d64.6%59.9%66.7%66.7%59.9%
IV Rank21.0%0.0%36.9%22.8%25.0%
IV Percentile34.4%0.0%63.1%45.2%38.1%
Term Structure6.8%3.6%9.4%5.7%7.6%
VWIV47.2%35.4%53.4%49.0%47.3%
Skew 25d8.2%2.9%16.4%6.7%16.4%
Skew 10d15.0%-15.2%32.4%24.6%9.4%
Call IV 25d42.7%33.3%50.1%42.8%33.3%
Put IV 25d50.9%43.5%56.5%49.4%49.8%
Bid-Ask Spread %14.488.7228.3513.0611.56
Gamma HHI0.320.120.940.220.12
Net GEX997.9K159.2K7.4M669.2K195.8K
Net DEX-9.5M-22.3M1.0M-13.3M-3.4M
Net VEX-90.3K-121.5K-69.4K-121.5K-77.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.790.019.070.010.92
Total Volume1,388.7621306,7252,050744
Total OI64,864.09555,57176,21775,24057,992

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-12-01$11.78$11.0044.5%12.8%53.1%22.8%49.0%6.7%5.7%669.2K-13.3M-121.5K0.0113.062,0321865,06110,179
2011-12-02$12.18$11.0042.9%12.3%53.7%20.3%46.3%6.6%5.6%588.7K-16.4M-110.1K0.1117.106,04967651,3539,952
2011-12-05$12.15$12.5045.4%14.0%52.3%24.1%49.5%10.0%5.1%768.2K-21.8M-109.7K0.1318.7677910557,03110,504
2011-12-06$11.94$12.5043.5%14.1%52.4%21.2%49.0%5.3%4.0%814.5K-20.6M-106.7K0.0314.521,9075457,76510,596
2011-12-07$11.97$12.5040.9%13.3%51.4%17.1%52.6%8.9%7.1%880.2K-22.3M-105.7K9.0716.312021,83359,64610,620
2011-12-08$11.21$12.5041.3%15.1%50.3%17.8%53.4%6.4%4.9%1.3M-13.1M-99.6K3.8415.166424659,75711,828
2011-12-09$11.70$12.5039.0%14.1%52.9%14.1%45.5%6.4%3.6%990.4K-19.4M-100.6K1.0315.1715315759,78311,843
2011-12-12$11.39$12.5039.4%14.2%47.9%14.7%49.8%6.8%6.0%1.5M-16.7M-88.1K2.1514.397816859,88110,502
2011-12-13$10.96$12.5026.8%13.5%48.9%0.0%47.3%6.7%7.5%2.6M-7.8M-79.5K1.9910.7544087459,87710,574
2011-12-14$10.58$12.5027.1%14.1%49.4%0.4%50.1%8.6%7.5%793.4K1.0M-69.4K0.1112.503,44338460,01211,215
2011-12-15$10.55$12.5047.6%13.6%48.7%31.1%51.1%7.8%8.4%525.7K304.3K-73.1K0.0613.503,55923161,79710,909
2011-12-16$10.96$12.5045.4%13.0%50.8%27.8%48.9%9.1%8.3%7.4M-8.6M-88.0K3.7411.779736365,38310,834
2011-12-19$10.40$12.5051.5%14.8%53.2%36.9%47.5%16.4%5.1%159.2K-2.7M-77.3K0.7911.7067353346,8198,752
2011-12-20$10.97$12.5044.3%12.7%57.7%26.1%45.2%7.8%7.6%220.7K-4.5M-81.9K0.1214.551,14613847,3628,838
2011-12-21$11.08$12.5042.7%12.2%57.3%23.8%42.1%8.0%9.1%266.8K-5.7M-88.4K0.1615.423996448,1068,896
2011-12-22$11.15$12.5043.2%12.4%54.1%24.6%35.4%8.8%7.7%264.7K-5.6M-85.9K5.3415.2313471648,3688,880
2011-12-23$11.33$12.5040.3%11.6%54.2%20.2%37.9%5.4%9.4%298.9K-6.8M-89.9K0.1128.351471648,3359,371
2011-12-27$11.17$12.5042.6%12.2%53.9%23.7%48.8%6.5%8.4%269.4K-5.9M-86.0K0.1916.651092148,4359,387
2011-12-28$10.69$12.5043.8%12.5%55.4%25.4%46.8%10.3%7.5%194.5K-3.8M-78.3K7.008.952819648,4299,369
2011-12-29$10.73$12.5042.6%12.2%51.7%23.6%46.6%2.9%7.5%192.7K-3.4M-77.7K0.598.721187048,4369,469
2011-12-30$10.72$12.5043.5%12.5%51.7%25.0%47.3%16.4%7.6%195.8K-3.4M-77.7K0.9211.5638835648,4749,518