CAR Options History — September 2012

In September 2012, CAR traded between $15.34 and $17.40. ATM implied volatility averaged 39.1%, placing in the 20.6% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 9.5% (HV 20d: 29.6%). Max pain ranged from $16.00 to $17.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.53.

Notable Days

2012-09-06: Highest Volume — 5,016 contracts
2012-09-10: Largest IV spike — 11.8% change
2012-09-25: Highest IV Rank — 26.6%
2012-09-05: Largest Expected Move — 12.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.42	$15.34	$17.40	$16.33	$15.38
Max Pain	$16.63	$16.00	$17.00	$16.00	$16.00
ATM IV	39.1%	35.6%	42.8%	42.5%	40.6%
Expected Move	11.3%	10.3%	12.3%	12.2%	11.7%
HV 20d	29.6%	27.2%	32.6%	29.6%	30.0%
HV 60d	44.1%	42.9%	45.5%	45.4%	42.9%
IV Rank	20.6%	14.3%	26.6%	25.4%	23.5%
IV Percentile	11.6%	1.2%	29.0%	23.0%	20.2%
Term Structure	5.4%	1.6%	7.9%	2.1%	5.8%
VWIV	39.9%	34.8%	44.1%	42.8%	38.3%
Skew 25d	6.4%	2.1%	8.2%	4.5%	6.2%
Skew 10d	14.1%	-0.8%	28.7%	3.1%	4.0%
Call IV 25d	36.8%	33.7%	41.7%	40.2%	37.0%
Put IV 25d	43.2%	40.4%	45.9%	44.7%	43.1%
Bid-Ask Spread %	20.02	13.73	29.07	17.05	17.26
Gamma HHI	0.25	0.18	0.32	0.24	0.18
Net GEX	272.1K	123.0K	395.3K	345.2K	123.0K
Net DEX	-10.5M	-17.2M	-3.1M	-12.1M	-3.2M
Net VEX	-75.3K	-87.1K	-62.9K	-76.5K	-62.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.53	0.03	7.53	4.94	0.59
Total Volume	803.263	63	5,016	214	149
Total OI	32,366.474	26,541	36,074	30,714	27,523

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2012-09-04	$16.33	$16.00	42.5%	12.2%	29.6%	25.4%	42.8%	4.5%	2.1%	345.2K	-12.1M	-76.5K	4.94	17.05	36	178	20,505	10,209
2012-09-05	$16.20	$16.00	42.8%	12.3%	29.6%	26.0%	42.9%	2.1%	2.1%	334.6K	-11.4M	-74.7K	2.23	13.73	56	125	20,508	10,274
2012-09-06	$16.65	$16.00	39.6%	11.4%	30.7%	20.8%	39.8%	5.6%	1.6%	372.3K	-13.9M	-76.1K	7.53	20.80	588	4,428	20,516	10,352
2012-09-07	$16.70	$16.00	35.6%	11.6%	29.9%	14.3%	41.0%	6.9%	5.5%	273.5K	-12.0M	-86.5K	0.23	26.33	1,224	287	20,584	14,347
2012-09-10	$16.72	$17.00	39.8%	11.5%	28.9%	21.1%	44.1%	7.4%	6.5%	313.4K	-12.7M	-87.1K	0.12	18.85	327	40	21,695	14,379
2012-09-11	$16.47	$17.00	40.5%	12.3%	29.4%	22.3%	42.5%	7.3%	5.6%	263.9K	-10.4M	-82.7K	1.21	22.67	111	134	20,709	14,409
2012-09-12	$16.63	$17.00	39.0%	11.6%	28.9%	20.7%	40.8%	7.0%	4.8%	287.5K	-11.4M	-82.9K	0.28	29.07	184	51	20,796	14,368
2012-09-13	$16.89	$17.00	37.1%	10.6%	27.2%	17.5%	38.9%	8.2%	5.5%	340.0K	-13.5M	-81.5K	0.04	23.57	3,132	126	20,875	14,372
2012-09-14	$17.40	$17.00	38.2%	11.0%	28.4%	19.4%	38.4%	6.9%	5.3%	395.3K	-17.2M	-79.9K	0.11	20.58	986	106	20,943	14,379
2012-09-17	$17.05	$17.00	37.9%	10.9%	29.6%	18.9%	42.8%	7.7%	5.5%	322.9K	-14.6M	-78.0K	0.36	19.73	100	36	20,620	14,422
2012-09-18	$16.86	$17.00	38.0%	10.9%	29.2%	19.0%	36.9%	7.3%	5.8%	303.5K	-13.1M	-76.9K	0.66	22.90	100	66	20,607	14,438
2012-09-19	$16.67	$17.00	37.1%	10.6%	29.4%	17.5%	35.0%	5.8%	5.9%	284.6K	-12.0M	-75.8K	0.03	17.99	61	2	20,640	14,478
2012-09-20	$16.73	$17.00	37.2%	10.7%	28.5%	17.6%	38.2%	6.3%	6.6%	305.8K	-12.2M	-74.7K	1.00	19.07	133	133	20,658	14,449
2012-09-21	$16.80	$17.00	35.9%	10.3%	27.8%	15.5%	34.8%	7.0%	6.7%	315.3K	-12.2M	-72.3K	1.09	16.76	314	341	20,223	14,324
2012-09-24	$16.12	$17.00	38.6%	11.1%	31.5%	20.0%	40.9%	4.6%	7.9%	192.2K	-6.9M	-68.0K	4.35	21.98	119	518	16,944	9,597
2012-09-25	$15.45	$17.00	42.5%	12.2%	32.6%	26.6%	38.9%	5.9%	5.6%	130.7K	-3.6M	-64.5K	0.68	16.38	310	211	17,027	10,081
2012-09-26	$15.34	$16.00	42.5%	12.2%	30.4%	26.6%	39.0%	7.1%	5.9%	125.0K	-3.1M	-63.9K	0.97	21.50	125	121	17,169	10,168
2012-09-27	$15.56	$16.00	37.8%	10.8%	30.5%	18.7%	41.9%	7.8%	7.0%	140.6K	-3.9M	-65.2K	2.66	14.24	83	221	17,160	10,215
2012-09-28	$15.38	$16.00	40.6%	11.7%	30.0%	23.5%	38.3%	6.2%	5.8%	123.0K	-3.2M	-62.9K	0.59	17.26	94	55	17,195	10,328