CAR Options History — August 2012

In August 2012, CAR traded between $14.10 and $16.99. ATM implied volatility averaged 42.5%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded below realized volatility by 10.9% (HV 20d: 53.4%). Max pain ranged from $14.00 to $16.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 1.55.

Notable Days

  • 2012-08-14: Highest Volume — 8,457 contracts
  • 2012-08-15: Largest IV drop — 28.9% change
  • 2012-08-01: Highest IV Rank — 52.2%
  • 2012-08-01: Largest Expected Move — 17.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.84$14.10$16.99$14.10$16.42
Max Pain$14.87$14.00$16.00$15.00$16.00
ATM IV42.5%31.8%61.8%61.8%41.0%
Expected Move12.2%10.8%17.7%17.7%11.7%
HV 20d53.4%29.4%62.0%50.7%29.4%
HV 60d50.6%45.2%54.7%51.0%45.3%
IV Rank24.8%8.2%52.2%52.2%23.0%
IV Percentile19.2%0.8%79.4%79.4%17.1%
Term Structure2.8%-11.0%5.7%-11.0%3.4%
VWIV41.8%36.7%62.2%62.2%41.3%
Skew 25d6.8%2.5%19.9%2.5%6.3%
Skew 10d20.4%2.9%35.9%2.9%19.1%
Call IV 25d39.2%32.2%60.5%60.5%37.4%
Put IV 25d45.9%40.4%63.0%63.0%43.7%
Bid-Ask Spread %18.3311.6423.2319.3514.47
Gamma HHI0.320.190.560.370.23
Net GEX459.7K250.4K825.9K250.4K357.4K
Net DEX-14.4M-28.4M-5.9M-5.9M-12.7M
Net VEX-69.2K-79.0K-59.9K-66.1K-78.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.550.028.930.908.93
Total Volume1,362.2171318,4572,161278
Total OI32,402.52223,42046,23933,16630,509

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-08-01$14.10$15.0061.8%17.7%50.7%52.2%62.2%2.5%-11.0%250.4K-5.9M-66.1K0.9019.351,1371,02421,06112,105
2012-08-02$15.48$15.0049.8%14.3%62.0%34.4%48.3%19.9%-1.3%444.9K-14.1M-70.1K0.2917.612,64677021,69112,921
2012-08-03$15.17$15.0044.6%12.8%62.0%26.6%36.7%10.5%0.3%459.6K-12.0M-68.4K0.1814.191,04419021,49913,246
2012-08-06$15.23$14.0051.7%13.5%61.5%37.2%45.3%8.1%1.9%469.5K-12.4M-67.8K0.5520.8121811922,14213,228
2012-08-07$15.45$14.0046.7%13.1%60.2%29.7%46.2%6.7%3.6%541.6K-14.3M-66.3K0.1121.7999911422,22613,220
2012-08-08$15.36$14.0045.9%12.8%60.2%31.0%44.8%7.9%4.4%607.4K-14.4M-66.2K0.1321.011251622,97213,260
2012-08-09$15.70$14.0040.4%11.9%60.4%22.1%41.7%8.3%5.4%616.0K-16.4M-64.4K0.5220.6320810922,54613,275
2012-08-10$15.42$14.0042.8%12.5%60.5%25.9%41.5%8.3%4.3%668.9K-14.7M-63.7K8.9022.183127622,65713,333
2012-08-13$15.63$14.0042.3%11.8%60.3%25.1%43.2%7.5%4.0%695.4K-16.3M-60.8K0.7323.2323617322,65413,318
2012-08-14$15.43$14.0044.8%12.6%59.8%29.2%44.6%6.7%4.6%825.9K-15.2M-59.9K0.0220.998,27817922,74313,364
2012-08-15$15.95$14.0031.8%11.5%60.9%8.2%40.8%6.3%5.4%730.8K-28.4M-77.9K1.0218.7552453632,78513,454
2012-08-16$16.23$15.0040.7%11.7%59.4%22.6%38.2%5.2%4.8%452.1K-20.5M-67.1K0.3819.6694036124,28313,728
2012-08-17$16.31$15.0039.1%11.2%58.7%19.9%37.5%4.2%5.7%371.9K-21.4M-68.6K0.0622.396873924,57314,029
2012-08-20$16.04$15.0037.7%10.8%58.6%17.7%37.5%5.2%3.6%306.6K-11.2M-66.3K0.3116.0951615817,0356,385
2012-08-21$16.24$15.0039.0%11.2%53.8%19.9%38.9%6.0%4.3%327.6K-12.1M-67.9K1.2118.3518522417,3916,536
2012-08-22$15.96$15.0039.0%11.2%52.7%19.8%39.3%6.2%4.1%307.6K-11.0M-67.8K2.5816.7412532317,4436,715
2012-08-23$15.73$15.0039.5%11.3%53.1%20.7%37.9%5.4%3.0%286.5K-10.0M-67.1K0.3115.6386226717,5406,963
2012-08-24$15.98$15.0037.5%10.8%43.1%17.4%37.6%4.5%4.7%344.8K-11.2M-68.1K1.0518.471,2491,31018,2767,020
2012-08-27$16.51$16.0040.5%11.6%44.2%22.2%40.0%4.7%1.4%372.3K-14.2M-73.0K1.3616.581,1751,59619,4098,214
2012-08-28$16.99$16.0040.1%11.5%43.1%21.7%40.7%4.6%2.1%400.8K-16.5M-77.5K1.5411.6438258720,2418,948
2012-08-29$16.64$16.0038.4%11.0%43.2%18.8%38.6%4.6%3.0%387.6K-14.3M-78.8K1.7015.0236561920,3929,498
2012-08-30$16.30$16.0041.7%12.0%30.6%24.2%39.6%5.6%2.8%347.5K-12.2M-79.0K2.8515.95349720,4949,936
2012-08-31$16.42$16.0041.0%11.7%29.4%23.0%41.3%6.3%3.4%357.4K-12.7M-78.7K8.9314.472825020,49910,010