CAR Options History — January 2012

In January 2012, CAR traded between $10.85 and $14.60. ATM implied volatility averaged 45.4%, placing in the 27.8% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded above realized volatility by 2.4% (HV 20d: 43.0%). Max pain ranged from $12.00 to $14.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.91.

Notable Days

  • 2012-01-19: Highest Volume — 5,219 contracts
  • 2012-01-12: Largest IV spike — 19.5% change
  • 2012-01-31: Highest IV Rank — 38.5%
  • 2012-01-31: Largest Expected Move — 15.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.85$10.85$14.60$11.15$14.35
Max Pain$12.88$12.00$14.00$12.50$14.00
ATM IV45.4%37.7%52.6%42.8%52.6%
Expected Move13.6%12.1%15.1%12.3%15.1%
HV 20d43.0%31.4%53.6%52.3%33.0%
HV 60d55.1%48.8%59.6%59.6%48.8%
IV Rank27.8%16.4%38.5%24.0%38.5%
IV Percentile44.4%9.9%63.9%34.1%63.9%
Term Structure0.6%-7.2%11.3%9.6%-7.2%
VWIV48.7%36.8%56.4%36.8%56.4%
Skew 25d10.1%5.9%16.3%16.3%11.3%
Skew 10d25.6%10.3%38.8%22.4%31.7%
Call IV 25d42.5%30.4%47.4%30.4%45.6%
Put IV 25d52.6%46.1%56.9%46.7%56.9%
Bid-Ask Spread %16.129.4475.6912.5213.57
Gamma HHI0.210.130.330.130.29
Net GEX447.3K206.6K679.0K248.5K515.0K
Net DEX-14.3M-22.4M-4.0M-5.0M-20.1M
Net VEX-93.9K-108.1K-77.3K-81.3K-102.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.085.943.020.16
Total Volume1,093.751935,219346566
Total OI54,296.5544,56262,92858,40646,394

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-01-03$11.15$12.5042.8%12.3%52.3%24.0%36.8%16.3%9.6%248.5K-5.0M-81.3K3.0212.528626048,7459,661
2012-01-04$10.85$12.5044.7%12.8%53.0%26.7%46.5%16.0%6.0%206.6K-4.0M-77.3K0.5110.951286548,7599,656
2012-01-05$10.97$12.5042.2%12.1%53.1%23.0%44.0%14.9%11.3%216.3K-4.2M-77.4K0.1411.156589048,7929,671
2012-01-06$11.17$12.0041.2%14.6%53.6%21.5%53.9%8.4%1.5%233.8K-5.0M-78.6K0.3717.131425248,6519,742
2012-01-09$11.44$12.0042.6%14.6%49.1%23.6%50.9%9.6%1.8%290.8K-6.4M-81.0K1.9111.2613425648,8629,774
2012-01-10$12.01$12.0040.3%14.7%49.8%20.2%50.5%9.2%-0.9%446.2K-10.7M-89.0K0.1515.571,41220548,7629,327
2012-01-11$12.25$12.0037.7%13.4%49.0%16.4%46.2%5.9%3.5%546.7K-12.8M-91.6K0.2814.631,17432749,3599,408
2012-01-12$12.63$12.0045.1%12.9%47.3%27.3%47.9%8.0%2.3%596.0K-15.3M-94.2K0.3023.4137811449,0719,455
2012-01-13$12.50$12.0049.5%14.2%45.1%33.8%48.0%7.6%0.8%600.6K-14.6M-92.1K0.1310.215557149,1159,496
2012-01-17$12.67$12.0046.2%13.3%44.9%29.1%51.2%10.3%1.9%679.0K-15.8M-92.2K0.4914.2439819449,4809,521
2012-01-18$12.98$12.0046.3%13.3%44.0%29.2%46.0%7.2%1.8%661.4K-18.3M-91.4K0.159.645408048,9559,564
2012-01-19$13.42$12.0049.1%14.1%38.4%33.4%47.0%8.2%0.0%509.2K-22.2M-96.8K5.9410.277524,46749,1959,550
2012-01-20$13.34$14.0048.1%13.8%35.8%31.8%50.4%9.6%-0.5%305.2K-17.3M-99.4K1.1511.291,1971,37949,04313,885
2012-01-23$13.54$14.0044.1%12.6%35.8%25.9%47.7%8.9%-0.4%296.9K-13.4M-99.4K0.3814.861,09442035,2939,269
2012-01-24$14.07$14.0046.0%13.2%37.2%28.7%48.5%14.0%-3.3%424.9K-17.8M-106.1K0.269.4487522735,9129,471
2012-01-25$14.40$14.0047.8%13.7%37.4%31.4%49.7%9.2%-3.5%542.2K-21.2M-108.1K1.5575.6919930836,0709,633
2012-01-26$14.19$14.0046.6%13.4%37.4%29.6%51.1%10.2%-3.7%468.0K-18.8M-104.7K0.5914.0666539336,1819,719
2012-01-27$14.60$14.0043.3%12.4%31.4%24.6%50.3%8.4%-3.2%601.5K-22.4M-107.6K0.5910.9246127436,1729,962
2012-01-30$14.44$14.0051.3%14.7%32.6%36.6%51.0%9.3%-5.8%556.7K-21.2M-106.4K0.0811.591,1809936,24010,116
2012-01-31$14.35$14.0052.6%15.1%33.0%38.5%56.4%11.3%-7.2%515.0K-20.1M-102.8K0.1613.574907636,24910,145