CAR Options History — March 2012

In March 2012, CAR traded between $12.79 and $14.46. ATM implied volatility averaged 40.3%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded below realized volatility by 8.4% (HV 20d: 48.7%). Max pain ranged from $13.00 to $14.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.59.

Notable Days

  • 2012-03-16: Highest Volume — 34,526 contracts
  • 2012-03-12: Largest IV spike — 24.2% change
  • 2012-03-12: Highest IV Rank — 30.0%
  • 2012-03-27: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.81$12.79$14.46$13.05$14.15
Max Pain$13.09$13.00$14.00$14.00$13.00
ATM IV40.3%36.4%46.9%37.7%40.5%
Expected Move11.6%10.4%12.7%10.8%11.6%
HV 20d48.7%33.0%65.9%61.4%33.8%
HV 60d48.3%45.2%51.7%51.1%45.2%
IV Rank20.2%14.4%30.0%16.4%20.4%
IV Percentile23.1%4.4%51.2%8.3%25.8%
Term Structure5.8%2.4%8.7%2.9%8.7%
VWIV39.8%30.9%44.7%37.7%42.2%
Skew 25d5.9%1.1%13.7%5.0%3.5%
Skew 10d13.7%-8.2%27.3%8.9%11.6%
Call IV 25d37.9%29.4%42.0%38.8%39.7%
Put IV 25d43.8%39.1%48.8%43.8%43.2%
Bid-Ask Spread %17.1611.4032.8614.8914.01
Gamma HHI0.540.280.950.660.28
Net GEX1.8M437.1K9.1M1.5M457.7K
Net DEX-22.1M-63.7M-7.1M-14.7M-17.9M
Net VEX-116.6K-144.5K-101.4K-143.2K-107.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.590.0515.750.340.40
Total Volume2,626.36428234,526282315
Total OI65,83137,48987,07686,03244,799

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-03-01$13.05$14.0037.7%10.8%61.4%16.4%37.7%5.0%2.9%1.5M-14.7M-143.2K0.3414.892107265,56420,468
2012-03-02$12.79$14.0037.5%10.7%61.4%16.0%34.5%13.7%2.9%1.1M-7.1M-126.5K0.4414.8525911365,64420,416
2012-03-05$13.12$13.0036.7%11.5%60.1%14.8%40.7%7.0%7.8%1.5M-11.6M-127.9K1.2220.4418122165,80220,332
2012-03-06$12.79$13.0042.5%12.5%60.0%23.5%30.9%7.9%5.4%1.1M-7.1M-123.3K0.1317.021,73322565,92520,437
2012-03-07$13.50$13.0045.7%12.5%63.5%28.3%41.1%8.1%3.8%2.3M-23.8M-144.5K0.1821.632,01236766,36020,514
2012-03-08$13.59$13.0040.7%11.8%63.7%20.8%41.6%6.9%5.4%2.6M-25.8M-138.5K0.4718.8329613965,48220,508
2012-03-09$13.61$13.0037.8%11.7%63.7%16.4%41.9%8.0%6.2%2.8M-24.1M-133.3K0.1820.1668512265,19220,555
2012-03-12$13.29$13.0046.9%11.8%64.0%30.0%38.5%7.0%6.0%1.9M-13.2M-118.0K1.8920.1215228865,55920,607
2012-03-13$13.79$13.0037.6%11.0%65.7%16.1%39.7%7.7%7.7%3.9M-29.0M-124.0K0.1332.863254365,21220,837
2012-03-14$13.75$13.0039.5%11.1%65.0%19.0%39.8%6.3%6.5%4.1M-27.0M-118.8K1.3624.0315420965,33920,829
2012-03-15$14.14$13.0040.4%11.6%65.9%20.4%42.2%5.8%4.9%9.1M-49.4M-116.1K1.4316.529461,35465,30220,782
2012-03-16$14.29$13.0038.3%11.0%36.6%17.1%37.4%7.1%6.6%4.0M-63.7M-106.4K0.0521.3432,8581,66865,28921,787
2012-03-19$14.23$13.0036.4%10.4%34.6%14.4%37.6%6.1%8.2%470.2K-19.2M-101.4K2.7216.7829780928,3779,112
2012-03-20$14.24$13.0037.0%10.6%33.7%15.2%35.9%5.5%7.4%466.6K-19.4M-101.8K0.2213.431,08824228,5839,624
2012-03-21$14.36$13.0041.3%11.8%33.3%21.7%39.5%4.6%4.8%465.3K-20.2M-101.5K0.3214.962,14068428,6639,718
2012-03-22$14.46$13.0039.9%11.5%33.0%19.7%40.2%5.4%6.6%539.1K-21.5M-105.1K1.0315.4846047230,26510,065
2012-03-23$14.15$13.0040.9%11.7%33.8%21.1%43.8%3.1%4.9%535.5K-19.4M-103.8K3.3111.7627891930,54610,096
2012-03-26$14.45$13.0042.2%12.1%34.2%23.1%40.8%5.0%6.0%518.6K-21.5M-103.4K1.8711.409321,74430,53711,013
2012-03-27$14.08$13.0044.2%12.7%34.5%26.0%42.7%4.1%2.4%475.6K-18.3M-104.5K15.7512.241251,96930,62912,225
2012-03-28$13.98$13.0041.9%12.0%34.7%22.6%42.5%2.3%5.0%447.0K-16.6M-108.1K0.7512.3320815630,65413,961
2012-03-29$13.93$13.0041.0%11.8%34.7%21.3%44.7%1.1%8.4%437.1K-16.2M-107.6K0.8812.4016514530,66714,006
2012-03-30$14.15$13.0040.5%11.6%33.8%20.4%42.2%3.5%8.7%457.7K-17.9M-107.4K0.4014.012259030,70114,098