CAR Options History — July 2012

In July 2012, CAR traded between $13.01 and $16.25. ATM implied volatility averaged 53.3%, placing in the 39.5% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded above realized volatility by 10.6% (HV 20d: 42.7%). Max pain ranged from $14.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.88.

Notable Days

  • 2012-07-30: Highest Volume — 3,237 contracts
  • 2012-07-12: Largest IV spike — 29.8% change
  • 2012-07-24: Highest IV Rank — 55.9%
  • 2012-07-24: Largest Expected Move — 18.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.86$13.01$16.25$15.37$14.37
Max Pain$14.86$14.00$15.00$14.00$15.00
ATM IV53.3%40.3%64.3%40.3%61.5%
Expected Move15.7%11.5%18.4%11.5%17.6%
HV 20d42.7%35.7%56.0%35.7%54.7%
HV 60d59.2%50.8%62.3%61.2%51.7%
IV Rank39.5%20.2%55.9%20.2%51.8%
IV Percentile54.8%14.7%86.1%14.7%79.0%
Term Structure-2.7%-12.1%11.5%11.5%-10.7%
VWIV54.5%40.0%68.7%40.0%61.9%
Skew 25d8.4%5.0%10.7%10.3%5.0%
Skew 10d22.3%-0.6%34.3%12.2%14.3%
Call IV 25d50.1%32.6%60.8%32.6%60.8%
Put IV 25d58.5%42.9%66.1%42.9%65.9%
Bid-Ask Spread %21.9612.0763.0615.5523.03
Gamma HHI0.400.280.540.410.37
Net GEX340.3K107.2K523.0K385.1K268.3K
Net DEX-11.2M-19.6M-1.0M-14.6M-7.3M
Net VEX-71.1K-80.5K-55.3K-80.5K-68.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.073.610.620.07
Total Volume745.6671883,237229188
Total OI32,326.71427,86234,24532,89533,063

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-07-02$15.37$14.0040.3%11.5%35.7%20.2%40.0%10.3%11.5%385.1K-14.6M-80.5K0.6215.551418822,12910,766
2012-07-03$16.20$14.0042.6%12.2%38.5%23.6%42.0%9.1%5.6%375.5K-18.8M-79.9K0.2819.1361717521,97810,840
2012-07-05$16.25$14.0042.0%12.0%38.5%22.7%41.6%8.0%6.9%374.6K-19.6M-79.5K0.8663.0668859122,12110,974
2012-07-06$15.92$15.0041.5%13.9%38.9%22.0%50.3%6.9%0.0%385.6K-17.9M-80.3K1.2419.7211814622,26311,213
2012-07-09$15.54$15.0044.9%14.6%40.6%27.0%51.3%8.3%-0.9%387.1K-15.5M-79.1K1.4012.0717424422,30811,222
2012-07-10$14.98$15.0046.9%15.8%43.2%30.1%51.8%10.7%-2.4%376.7K-12.6M-77.1K1.2653.3030238122,40611,169
2012-07-11$15.13$15.0043.5%15.3%42.8%25.0%50.9%9.0%-0.6%396.5K-13.3M-76.9K0.1316.922463222,51711,369
2012-07-12$14.95$15.0056.5%16.2%42.5%44.4%58.4%10.3%-4.4%392.4K-12.3M-75.6K3.6127.087226022,49011,382
2012-07-13$15.25$15.0054.5%15.6%41.9%41.4%53.8%10.3%-2.6%433.6K-14.0M-75.5K0.5714.8936020722,49011,529
2012-07-16$15.00$15.0055.6%16.0%39.8%43.1%68.7%10.0%-2.9%456.8K-12.3M-73.1K0.6821.981268622,53911,552
2012-07-17$15.39$15.0057.2%16.4%40.2%45.3%55.4%10.2%-4.3%477.6K-14.9M-73.5K0.8418.0426222022,56911,555
2012-07-18$15.28$15.0054.3%15.6%37.3%41.1%53.9%8.4%-2.3%523.0K-14.3M-71.9K1.7718.8710718922,56311,682
2012-07-19$14.75$15.0054.1%15.5%39.5%40.8%52.5%10.5%-2.3%480.2K-10.0M-68.5K0.3720.981405221,94611,795
2012-07-20$14.46$15.0059.1%16.9%39.6%48.2%54.6%10.1%-5.9%254.6K-8.3M-66.5K0.4916.7048323521,99611,821
2012-07-23$14.18$15.0059.8%17.1%40.1%49.2%57.9%10.5%-5.3%219.9K-5.7M-63.0K0.1319.094706318,6369,226
2012-07-24$13.41$15.0064.3%18.4%43.5%55.9%62.5%6.8%-6.5%155.3K-3.0M-57.7K1.5617.0060494318,8229,248
2012-07-25$13.01$15.0063.0%18.1%44.6%54.0%62.3%6.6%-6.0%107.2K-1.0M-55.3K0.2614.1566016918,8939,974
2012-07-26$13.33$15.0059.9%17.2%44.7%49.5%59.1%5.1%-4.8%138.1K-2.0M-56.9K0.6214.5664740319,22510,062
2012-07-27$14.62$15.0055.8%16.0%56.0%43.3%55.0%5.2%-7.0%273.3K-8.0M-66.7K0.3416.881,14538819,71410,236
2012-07-30$14.77$15.0061.5%17.6%54.2%51.8%61.7%6.0%-12.1%284.6K-8.9M-66.6K1.3018.191,4071,83020,02710,551
2012-07-31$14.37$15.0061.5%17.6%54.7%51.8%61.9%5.0%-10.7%268.3K-7.3M-68.1K0.0723.031751320,96312,100