CAR Options History — April 2012

In April 2012, CAR traded between $12.10 and $14.26. ATM implied volatility averaged 50.6%, placing in the 35.6% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded above realized volatility by 14.0% (HV 20d: 36.6%). Max pain ranged from $13.00 to $13.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.14.

Notable Days

  • 2012-04-19: Highest Volume — 1,498 contracts
  • 2012-04-12: Largest IV spike — 17.2% change
  • 2012-04-23: Highest IV Rank — 44.2%
  • 2012-04-23: Largest Expected Move — 16.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.92$12.10$14.26$14.26$13.16
Max Pain$13.00$13.00$13.00$13.00$13.00
ATM IV50.6%40.6%56.4%43.0%52.3%
Expected Move14.8%11.6%16.2%12.3%15.0%
HV 20d36.6%29.2%41.2%33.0%40.7%
HV 60d46.3%45.1%47.3%45.1%46.5%
IV Rank35.6%20.6%44.2%24.3%38.0%
IV Percentile56.5%27.0%68.7%41.3%57.9%
Term Structure-2.0%-6.6%7.9%7.8%-2.9%
VWIV51.9%40.9%57.6%42.7%52.8%
Skew 25d6.4%-7.8%10.5%0.8%5.7%
Skew 10d17.2%-9.5%35.8%-2.3%19.5%
Call IV 25d50.0%40.0%54.3%42.4%52.3%
Put IV 25d56.4%35.3%64.0%43.2%58.0%
Bid-Ask Spread %16.4011.2927.5713.2821.11
Gamma HHI0.260.220.360.280.36
Net GEX295.8K152.9K471.3K471.3K413.2K
Net DEX-6.7M-18.9M-3.4K-18.9M-8.4M
Net VEX-83.5K-104.8K-66.8K-104.8K-74.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.064.651.430.06
Total Volume602.25801,4981631,157
Total OI43,987.839,50846,25744,74340,301

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-04-02$14.26$13.0043.0%12.3%33.0%24.3%42.7%0.8%7.8%471.3K-18.9M-104.8K1.4313.28679630,63314,110
2012-04-03$13.87$13.0042.2%12.1%33.2%23.1%42.8%3.4%6.7%438.2K-15.3M-103.1K2.4215.4623957930,65514,183
2012-04-04$13.51$13.0043.5%12.5%29.2%24.9%42.4%-7.8%7.9%377.2K-12.0M-100.8K4.6519.7912759130,61814,633
2012-04-05$14.01$13.0040.6%11.6%31.9%20.6%40.9%1.2%7.5%447.4K-16.2M-101.6K0.2617.2353413730,56215,160
2012-04-09$13.51$13.0044.9%14.5%34.6%27.0%52.6%9.6%-4.4%374.0K-11.9M-96.4K2.0416.537214730,46515,112
2012-04-10$12.70$13.0048.7%16.1%40.2%32.8%57.2%9.9%-5.4%236.4K-5.0M-88.4K1.2316.0222728030,45515,163
2012-04-11$12.79$13.0045.9%15.7%37.6%28.5%55.6%9.5%-3.7%240.6K-5.1M-88.8K1.9820.2110220230,53615,240
2012-04-12$13.00$13.0053.8%15.4%38.3%40.3%55.9%8.9%-4.2%275.5K-6.9M-89.8K0.9517.81413930,57315,241
2012-04-13$12.66$13.0055.5%15.9%37.4%42.8%57.6%10.1%-5.8%216.5K-4.0M-83.5K0.6913.761309030,59415,244
2012-04-16$12.57$13.0055.9%16.0%36.9%43.5%55.2%9.2%-5.2%188.4K-2.7M-80.2K0.5615.9718910630,58315,240
2012-04-17$12.67$13.0054.6%15.6%37.2%41.5%54.0%9.7%-5.5%198.3K-3.4M-79.8K0.2316.894249930,52115,221
2012-04-18$12.55$13.0054.3%15.6%37.2%41.1%57.2%10.5%-4.7%187.3K-2.3M-77.5K0.9716.3544743430,74215,254
2012-04-19$12.26$13.0055.4%15.9%37.2%42.7%54.4%5.6%-4.0%152.9K-3.4K-73.1K0.3427.571,12137730,88815,369
2012-04-20$12.29$13.0053.3%15.3%37.0%39.6%53.0%5.2%-0.7%188.9K-59.9K-71.1K0.3211.2950216030,75115,398
2012-04-23$12.10$13.0056.4%16.2%36.8%44.2%55.9%8.6%-5.6%236.9K-2.0M-67.8K0.9511.4017016127,38512,123
2012-04-24$12.14$13.0055.4%15.9%35.5%42.7%52.9%8.3%-5.6%241.8K-2.0M-66.8K0.6813.0836124527,48112,240
2012-04-25$12.34$13.0054.2%15.5%35.9%40.9%53.3%8.2%-3.4%270.4K-2.9M-69.1K1.4814.1622533227,73112,467
2012-04-26$12.93$13.0049.9%14.3%40.6%34.6%50.0%7.3%-3.2%366.0K-6.9M-75.3K0.7017.9375052727,82512,720
2012-04-27$13.14$13.0052.5%15.1%41.2%38.4%52.6%4.4%-6.6%394.8K-8.4M-77.8K0.9412.1128827027,50312,836
2012-04-30$13.16$13.0052.3%15.0%40.7%38.0%52.8%5.7%-2.9%413.2K-8.4M-74.6K0.0621.111,0966127,53012,771