CAR Options History — May 2012

In May 2012, CAR traded between $13.59 and $16.85. ATM implied volatility averaged 50.5%, placing in the 35.3% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded below realized volatility by 26.8% (HV 20d: 77.2%). Max pain ranged from $13.00 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.59.

Notable Days

  • 2012-05-01: Highest Volume — 28,582 contracts
  • 2012-05-14: Largest IV spike — 11.1% change
  • 2012-05-17: Highest IV Rank — 42.9%
  • 2012-05-17: Largest Expected Move — 15.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.25$13.59$16.85$15.67$14.85
Max Pain$14.73$13.00$15.00$13.00$15.00
ATM IV50.5%45.7%55.5%48.0%50.8%
Expected Move14.3%12.3%15.9%13.8%14.6%
HV 20d77.2%50.7%84.6%75.2%50.7%
HV 60d57.9%53.3%61.8%58.3%57.0%
IV Rank35.3%28.2%42.9%31.7%35.8%
IV Percentile54.6%46.8%65.5%52.8%52.0%
Term Structure-0.3%-5.3%1.8%-1.2%1.1%
VWIV49.7%41.9%55.0%54.0%51.1%
Skew 25d6.6%0.1%8.6%0.1%7.4%
Skew 10d18.4%-10.0%37.6%30.1%37.6%
Call IV 25d47.2%39.9%53.5%52.6%48.3%
Put IV 25d53.8%46.6%61.7%52.7%55.7%
Bid-Ask Spread %15.259.1418.819.1418.81
Gamma HHI0.320.250.370.300.35
Net GEX526.4K247.2K682.1K457.4K551.2K
Net DEX-20.0M-38.2M-6.1M-29.9M-9.7M
Net VEX-88.8K-101.5K-73.8K-77.5K-82.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.103.480.100.17
Total Volume3,088.40919528,58228,5824,738
Total OI44,242.27332,16052,46841,18535,268

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-05-01$15.67$13.0048.0%13.8%75.2%31.7%54.0%0.1%-1.2%457.4K-29.9M-77.5K0.109.1425,9952,58728,33912,846
2012-05-02$16.85$13.0047.9%13.7%77.9%31.5%50.2%7.3%-2.5%638.1K-38.2M-95.0K0.499.496,2433,03932,76114,336
2012-05-03$16.11$13.0052.1%14.9%79.3%37.7%52.4%4.6%-5.3%621.0K-30.9M-99.7K0.8013.6370856432,69415,196
2012-05-04$15.90$15.0050.2%13.4%79.0%35.0%48.6%7.7%-2.6%607.7K-29.0M-100.6K0.6818.1797466032,99615,565
2012-05-07$16.60$15.0046.2%12.3%78.3%29.1%44.0%6.7%0.2%669.8K-35.1M-97.7K0.4515.144,2821,92733,56015,592
2012-05-08$16.52$15.0045.7%12.7%73.8%28.2%41.9%5.7%-0.8%682.1K-35.3M-100.3K0.9918.5898797634,45517,060
2012-05-09$15.96$15.0048.5%13.4%75.7%32.4%47.3%4.5%-0.2%650.0K-29.9M-101.5K0.2118.121,55533234,42217,358
2012-05-10$16.01$15.0046.8%13.4%75.8%29.8%47.3%5.6%0.1%664.4K-30.2M-99.0K0.3913.9629211334,31317,453
2012-05-11$16.09$15.0047.2%13.5%74.5%30.5%46.2%5.8%-0.7%681.5K-31.4M-98.3K0.4314.2737316034,44017,484
2012-05-14$15.45$15.0052.4%15.0%76.6%38.3%50.7%7.6%-1.2%632.6K-25.5M-94.8K0.2617.2292123534,58217,565
2012-05-15$15.30$15.0051.2%14.7%76.9%36.5%46.0%7.0%-0.4%621.5K-24.1M-93.6K0.2116.0649110234,79317,668
2012-05-16$14.67$15.0050.8%14.6%78.8%35.9%52.2%6.9%0.5%501.5K-17.7M-88.3K0.5417.7334118434,78317,680
2012-05-17$13.72$15.0055.5%15.9%82.5%42.9%55.0%7.4%-0.9%267.5K-8.4M-79.2K0.8317.3699682834,74117,660
2012-05-18$13.59$15.0055.4%15.9%82.7%42.6%52.9%8.6%-0.1%247.2K-6.1M-73.8K0.4916.401,02950134,85817,610
2012-05-21$14.44$15.0050.7%14.5%84.6%35.7%51.3%8.2%1.8%384.3K-7.3M-79.0K0.7315.4487464023,5628,598
2012-05-22$14.45$15.0051.7%14.8%84.6%37.2%48.8%8.1%1.3%395.9K-7.6M-81.2K0.3712.6030111124,0768,847
2012-05-23$14.50$15.0053.1%15.2%84.6%39.3%53.9%8.6%1.3%409.0K-7.6M-81.3K3.4816.9422779024,2158,937
2012-05-24$14.50$15.0051.7%14.8%83.4%37.2%47.5%7.2%1.5%400.4K-7.6M-82.1K0.2113.601613424,2319,321
2012-05-25$14.83$15.0049.4%14.1%83.5%33.7%49.2%6.9%1.5%462.8K-9.4M-84.3K0.1612.481,24720324,3649,349
2012-05-29$15.05$15.0049.7%14.3%83.6%34.2%49.2%5.7%0.3%578.1K-11.4M-85.1K0.3314.572939725,3479,390
2012-05-30$14.45$15.0055.0%15.8%56.9%42.1%54.5%7.6%-0.3%457.2K-8.1M-79.7K0.6715.7549833625,5889,427
2012-05-31$14.85$15.0050.8%14.6%50.7%35.8%51.1%7.4%1.1%551.2K-9.7M-82.6K0.1718.814,05268625,7229,546