CAR Options History — June 2012

In June 2012, CAR traded between $12.99 and $15.20. ATM implied volatility averaged 50.6%, placing in the 35.5% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded below realized volatility by 4.6% (HV 20d: 55.1%). Max pain ranged from $13.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.10.

Notable Days

  • 2012-06-26: Highest Volume — 3,304 contracts
  • 2012-06-29: Largest IV drop — 14.0% change
  • 2012-06-01: Highest IV Rank — 55.2%
  • 2012-06-01: Largest Expected Move — 18.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.95$12.99$15.20$13.38$15.20
Max Pain$13.90$13.00$15.00$15.00$14.00
ATM IV50.6%39.4%63.8%63.8%39.4%
Expected Move14.6%11.3%18.3%18.3%11.3%
HV 20d55.1%36.9%60.3%60.2%36.9%
HV 60d60.6%59.6%61.6%60.1%61.6%
IV Rank35.5%18.8%55.2%55.2%18.8%
IV Percentile48.4%12.7%83.7%83.7%12.7%
Term Structure4.6%-1.6%12.2%-1.6%12.2%
VWIV51.1%39.1%61.4%61.4%39.1%
Skew 25d8.8%5.3%13.7%5.3%5.8%
Skew 10d21.7%7.4%36.8%8.1%11.9%
Call IV 25d47.1%37.0%60.5%60.5%37.0%
Put IV 25d55.8%42.8%65.8%65.8%42.8%
Bid-Ask Spread %25.8314.1071.7416.7714.22
Gamma HHI0.240.170.420.240.40
Net GEX177.5K30.9K430.8K259.4K358.1K
Net DEX-4.8M-13.3M-757.0K-3.4M-13.3M
Net VEX-70.2K-81.8K-63.9K-72.4K-81.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.0310.630.920.13
Total Volume1,0001883,3047701,134
Total OI33,078.90525,06139,40336,32832,658

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-06-01$13.38$15.0063.8%18.3%60.2%55.2%61.4%5.3%-1.6%259.4K-3.4M-72.4K0.9216.7740136926,3539,975
2012-06-04$13.14$14.0063.2%17.2%60.3%54.4%60.9%12.1%2.0%181.0K-1.6M-67.6K0.5122.8197349726,64610,199
2012-06-05$13.52$14.0055.4%16.0%58.8%42.8%55.8%11.0%2.7%234.5K-2.8M-71.5K0.2821.831474127,14910,555
2012-06-06$13.60$14.0051.9%15.6%59.0%37.5%58.1%12.0%1.5%217.2K-3.1M-71.0K0.4221.692339927,06110,557
2012-06-07$13.37$14.0058.8%16.7%58.4%47.7%55.9%13.7%1.9%160.9K-2.3M-69.3K0.5822.5822713127,15310,556
2012-06-08$13.45$14.0053.3%16.0%58.5%39.5%53.9%11.5%4.2%130.0K-2.0M-67.0K0.4722.2034015927,22310,493
2012-06-11$13.35$14.0058.9%16.7%58.2%47.8%58.7%12.3%4.8%99.3K-2.1M-66.2K0.5222.751558027,46410,502
2012-06-12$13.21$14.0052.4%15.9%57.1%38.2%59.5%9.7%4.2%61.1K-1.3M-64.5K10.6320.715659527,58610,562
2012-06-13$12.99$14.0053.1%16.3%57.2%39.3%53.5%10.8%3.2%30.9K-757.0K-63.9K1.6050.9010617027,62510,854
2012-06-14$13.39$14.0056.1%16.1%57.2%43.7%55.0%12.2%3.6%44.1K-1.7M-63.9K0.1621.2394615627,63410,931
2012-06-15$14.03$13.0051.3%14.7%55.0%36.6%53.3%7.6%2.7%430.8K-4.6M-68.3K0.6918.7151335228,35011,053
2012-06-18$14.30$13.0046.7%13.4%55.2%29.7%46.9%9.3%4.5%142.1K-5.6M-68.7K0.2316.901,66938815,9139,148
2012-06-19$14.95$13.0040.9%11.7%53.2%21.2%41.6%5.5%4.5%181.1K-8.4M-72.5K0.3414.1070023916,4139,366
2012-06-20$14.87$14.0040.9%11.7%53.2%21.1%40.5%7.9%4.6%176.1K-8.0M-71.7K1.8717.3212924116,5529,480
2012-06-21$14.60$14.0043.3%12.4%53.7%24.7%44.3%6.8%7.3%159.2K-7.2M-70.8K1.5718.2143167516,5469,582
2012-06-22$14.50$14.0045.1%12.9%53.8%27.3%47.8%5.5%7.9%140.4K-6.4M-71.0K1.1769.4946954916,46610,060
2012-06-25$14.07$14.0048.5%13.9%54.1%32.4%47.0%6.1%5.5%109.5K-4.8M-70.1K0.2115.581,00821516,72910,539
2012-06-26$14.07$14.0046.9%13.4%53.7%30.0%46.1%6.0%7.7%133.4K-4.9M-69.4K0.1617.052,83846617,22210,503
2012-06-27$14.40$14.0047.0%13.5%52.6%30.2%47.4%6.9%5.8%235.2K-7.6M-76.2K0.7071.7428520019,83610,559
2012-06-28$14.60$14.0045.8%13.1%51.9%28.4%46.2%6.0%7.5%243.1K-8.7M-77.1K0.0325.652,5487019,88810,716
2012-06-29$15.20$14.0039.4%11.3%36.9%18.8%39.1%5.8%12.2%358.1K-13.3M-81.8K0.1314.221,00712721,92710,731