CAR Options History — October 2012

In October 2012, CAR traded between $15.46 and $17.78. ATM implied volatility averaged 41.4%, placing in the 32.0% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 10.5% (HV 20d: 30.9%). Max pain ranged from $16.00 to $17.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 3.37.

Notable Days

  • 2012-10-31: Highest Volume — 4,477 contracts
  • 2012-10-11: Largest IV spike — 28.8% change
  • 2012-10-31: Highest IV Rank — 48.2%
  • 2012-10-31: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.75$15.46$17.78$15.46$16.53
Max Pain$16.81$16.00$17.00$16.00$17.00
ATM IV41.4%33.3%48.2%42.1%48.2%
Expected Move12.3%10.4%13.8%12.1%13.8%
HV 20d30.9%26.7%34.0%29.9%26.9%
HV 60d39.2%28.7%42.8%42.8%28.7%
IV Rank32.0%14.7%48.2%25.9%48.2%
IV Percentile29.0%1.2%60.7%27.0%60.7%
Term Structure1.3%-2.7%6.9%5.2%-1.4%
VWIV43.3%34.8%51.3%37.4%51.3%
Skew 25d8.9%4.0%14.0%7.0%14.0%
Skew 10d18.6%-2.1%34.3%6.5%34.3%
Call IV 25d38.9%27.8%44.3%35.8%44.3%
Put IV 25d47.8%37.4%58.4%42.7%58.4%
Bid-Ask Spread %22.0513.9333.6115.1133.61
Gamma HHI0.250.190.360.190.24
Net GEX281.1K126.4K465.6K126.4K207.1K
Net DEX-9.1M-15.1M-3.2M-3.2M-5.7M
Net VEX-66.6K-71.7K-61.7K-61.7K-62.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.370.1148.730.350.87
Total Volume802.905764,4772584,477
Total OI30,386.09527,58733,58227,58732,233

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-10-01$15.46$16.0042.1%12.1%29.9%25.9%37.4%7.0%5.2%126.4K-3.2M-61.7K0.3515.111916717,26610,321
2012-10-02$15.61$16.0036.4%10.4%30.2%16.4%39.2%6.5%6.9%141.1K-3.9M-61.9K0.2117.7450410517,29610,336
2012-10-03$15.82$16.0037.0%10.6%30.6%18.1%37.0%4.0%6.9%178.2K-5.3M-63.3K0.2613.93882317,59010,336
2012-10-04$16.48$16.0037.9%10.9%32.6%25.1%34.8%9.5%5.5%249.2K-8.4M-66.0K0.3415.2236812417,55110,336
2012-10-05$16.82$17.0034.3%12.2%33.4%17.0%39.6%8.5%-0.4%288.1K-10.5M-66.6K0.3518.1644815717,71810,365
2012-10-08$16.93$17.0035.5%12.5%33.5%19.8%41.0%8.5%-0.8%313.1K-11.2M-66.1K0.7021.451248717,86110,406
2012-10-09$16.75$17.0035.3%12.3%33.3%19.2%43.1%9.2%2.5%296.8K-10.1M-64.8K0.2017.541172317,93210,413
2012-10-10$16.74$17.0033.3%12.1%33.1%14.7%46.8%7.6%2.9%301.9K-10.1M-64.5K2.8022.03205618,01510,414
2012-10-11$17.01$17.0042.8%12.3%33.1%36.2%41.4%8.6%-0.9%347.2K-11.8M-64.0K0.2722.4054514518,02310,460
2012-10-12$16.98$17.0045.2%13.0%31.3%41.5%45.2%10.8%-0.5%356.4K-11.5M-65.0K48.7326.71894,33718,47010,551
2012-10-15$17.51$17.0041.9%12.0%32.4%33.9%45.0%10.1%2.3%390.7K-13.3M-71.7K0.8423.2831526418,47314,071
2012-10-16$17.63$17.0041.5%11.9%32.1%33.2%41.9%7.2%1.4%414.3K-14.1M-71.5K1.6922.9630150818,62114,246
2012-10-17$17.78$17.0041.2%11.8%31.7%32.5%45.5%8.3%2.4%465.6K-15.1M-71.4K2.8315.54236518,84714,556
2012-10-18$17.40$17.0045.1%12.9%32.9%41.1%43.6%10.2%-1.6%325.3K-12.4M-71.4K0.9624.6038937518,78014,572
2012-10-19$17.02$17.0045.7%13.1%34.0%42.7%45.1%9.0%-1.4%375.9K-10.2M-70.2K0.7422.2230222318,89514,687
2012-10-22$17.06$17.0045.5%13.0%30.2%42.0%45.7%9.5%-1.5%258.4K-9.6M-69.1K1.3121.5814318717,72613,337
2012-10-23$16.66$17.0043.4%12.4%27.0%37.3%48.6%9.9%1.5%233.5K-7.1M-67.2K2.2324.4231169217,81613,436
2012-10-24$16.69$17.0044.3%12.7%26.7%39.4%0.0%8.8%0.7%232.0K-7.2M-67.8K0.1133.241701918,04613,940
2012-10-25$16.56$17.0044.5%12.8%26.7%40.0%47.9%10.8%-0.2%212.2K-6.4M-66.5K2.9325.404212318,09613,950
2012-10-26$16.36$17.0048.1%13.8%26.8%48.0%46.8%8.3%-2.7%189.4K-5.1M-65.5K2.0826.0010221218,12313,997
2012-10-31$16.53$17.0048.2%13.8%26.9%48.2%51.3%14.0%-1.4%207.1K-5.7M-62.1K0.8733.612,3962,08118,13514,098