CAR Options History — February 2012

In February 2012, CAR traded between $12.58 and $15.27. ATM implied volatility averaged 53.1%, placing in the 39.3% IV rank vs the trailing year. The 30-day expected move averaged 14.7%. IV traded above realized volatility by 8.0% (HV 20d: 45.2%). Max pain ranged from $14.00 to $14.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.74.

Notable Days

  • 2012-02-01: Highest Volume — 26,569 contracts
  • 2012-02-02: Largest IV spike — 16.0% change
  • 2012-02-06: Highest IV Rank — 66.3%
  • 2012-02-02: Largest Expected Move — 17.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.00$12.58$15.27$14.57$12.90
Max Pain$14.00$14.00$14.00$14.00$14.00
ATM IV53.1%37.9%71.3%52.3%37.9%
Expected Move14.7%10.9%17.4%15.0%10.9%
HV 20d45.2%29.4%63.9%31.6%61.5%
HV 60d49.0%43.7%54.0%48.1%51.5%
IV Rank39.3%16.6%66.3%38.1%16.6%
IV Percentile55.5%9.5%93.3%63.5%9.5%
Term Structure-2.5%-7.2%2.6%-3.9%2.4%
VWIV53.5%37.5%66.7%57.4%37.5%
Skew 25d13.5%6.9%19.6%11.9%6.9%
Skew 10d30.5%2.8%50.0%40.3%3.2%
Call IV 25d46.8%34.0%55.1%50.2%37.0%
Put IV 25d60.2%41.9%74.3%62.1%43.9%
Bid-Ask Spread %27.3410.1567.3810.1521.46
Gamma HHI0.440.320.640.340.64
Net GEX1.3M594.6K1.9M594.6K1.3M
Net DEX-32.3M-61.9M-7.2M-22.4M-10.6M
Net VEX-161.4K-203.7K-104.7K-104.7K-136.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.052.190.290.29
Total Volume5,900.757426,56926,569641
Total OI86,476.646,446103,61146,44685,673

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-02-01$14.57$14.0052.3%15.0%31.6%38.1%57.4%11.9%-3.9%594.6K-22.4M-104.7K0.2910.1520,5965,97336,27510,171
2012-02-02$14.27$14.0060.7%17.4%30.6%50.6%60.1%13.4%-5.6%740.2K-27.1M-143.1K0.3512.3810,7913,73049,37815,451
2012-02-03$14.86$14.0064.0%16.5%32.0%55.5%61.5%16.1%-4.5%1.1M-43.4M-172.8K0.5347.4314,4077,61959,82618,337
2012-02-06$15.05$14.0071.3%17.0%32.0%66.3%66.7%18.5%-7.2%1.3M-57.3M-203.7K0.9061.651,08697873,01223,489
2012-02-07$15.27$14.0069.5%17.0%31.8%63.7%59.7%18.2%-6.9%1.4M-61.9M-203.1K1.4041.242,0662,89173,72823,672
2012-02-08$15.17$14.0067.5%16.6%29.9%60.7%58.2%17.3%-6.2%1.5M-60.5M-201.0K1.7127.0952389674,47522,681
2012-02-09$14.99$14.0057.8%16.6%30.9%46.3%59.0%16.7%-6.1%1.5M-57.6M-197.7K1.1720.2426530974,49223,126
2012-02-10$14.95$14.0058.7%16.8%30.2%47.6%63.9%16.8%-6.0%1.5M-56.8M-195.4K1.2227.781,4121,72274,51123,050
2012-02-13$15.08$14.0058.2%16.7%29.4%46.8%63.7%18.2%-5.3%1.6M-58.9M-188.5K2.1932.5345499374,58423,317
2012-02-14$14.64$14.0058.6%16.8%32.4%47.5%64.1%19.6%-6.2%1.5M-49.1M-184.3K0.4038.453,2351,29274,74123,116
2012-02-15$14.59$14.0058.0%16.6%32.0%46.6%60.7%19.2%-4.7%1.6M-49.5M-182.5K0.3928.972,08681376,31122,663
2012-02-16$12.58$14.0055.0%15.8%62.1%42.2%56.4%14.4%-1.6%949.1K-7.2M-141.1K0.9467.386,0935,72577,37722,840
2012-02-17$13.09$14.0048.5%13.9%63.9%32.4%49.0%11.3%2.6%1.9M-15.5M-154.1K1.7116.581,6652,83978,12325,488
2012-02-21$12.86$14.0044.2%12.7%63.9%26.1%45.2%10.2%1.2%1.0M-9.3M-136.5K0.6014.251,35381457,25718,996
2012-02-22$12.76$14.0042.2%12.1%62.0%23.0%45.8%8.2%2.5%1.0M-7.6M-133.6K0.1515.572,52337857,86319,464
2012-02-23$13.00$14.0039.4%11.3%61.8%18.8%39.7%8.4%1.5%1.2M-10.1M-133.3K0.1319.411,28716957,31619,697
2012-02-24$13.28$14.0038.8%11.1%62.4%18.0%38.3%7.9%2.4%1.5M-16.5M-142.6K0.0512.081,4887857,85519,721
2012-02-27$13.22$14.0041.3%11.8%61.2%21.7%42.4%9.2%0.1%1.5M-14.7M-137.1K0.2114.074,7441,01858,75319,698
2012-02-28$12.92$14.0039.0%11.2%61.5%18.3%39.6%7.2%1.5%1.2M-10.3M-135.1K0.1318.072,71135162,80620,199
2012-02-29$12.90$14.0037.9%10.9%61.5%16.6%37.5%6.9%2.4%1.3M-10.6M-136.9K0.2921.4649714465,22020,453