CAR Options History — November 2012

In November 2012, CAR traded between $16.11 and $18.94. ATM implied volatility averaged 38.3%, placing in the 26.0% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 2.4% (HV 20d: 36.0%). 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 16 of 21 days. Put/call ratio averaged 1.23.

Notable Days

  • 2012-11-14: Highest Volume — 5,621 contracts
  • 2012-11-14: Largest IV spike — 37.2% change
  • 2012-11-14: Highest IV Rank — 58.7%
  • 2012-11-01: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.15$16.11$18.94$17.20$18.94
Max Pain$16.71$16.00$17.00$17.00$17.00
ATM IV38.3%30.3%52.8%46.9%33.6%
Expected Move10.8%8.7%13.4%13.4%9.6%
HV 20d36.0%29.8%40.3%29.8%38.3%
HV 60d32.1%29.8%33.5%29.8%32.9%
IV Rank26.0%8.0%58.7%45.2%15.3%
IV Percentile20.3%0.8%76.2%56.3%4.4%
Term Structure1.7%-2.8%5.1%-2.8%4.6%
VWIV38.2%31.8%46.1%46.1%34.4%
Skew 25d7.0%4.2%14.1%4.5%7.4%
Skew 10d22.3%7.4%33.3%17.8%28.7%
Call IV 25d34.6%27.0%45.1%45.1%32.3%
Put IV 25d41.6%34.2%49.6%49.6%39.6%
Bid-Ask Spread %27.4819.8240.6539.6521.08
Gamma HHI0.210.140.380.360.17
Net GEX276.7K65.9K479.6K335.1K479.6K
Net DEX-11.7M-27.3M-1.3M-11.8M-27.3M
Net VEX-76.4K-90.6K-66.7K-73.0K-90.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.230.015.140.344.58
Total Volume2,083.4763305,6211,9811,412
Total OI40,329.57135,67450,74636,09244,386

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-11-01$17.20$17.0046.9%13.4%29.8%45.2%46.1%4.5%-2.8%335.1K-11.8M-73.0K0.3439.651,47750420,11915,973
2012-11-02$16.46$17.0043.9%12.6%34.2%38.5%42.1%14.1%-0.9%178.0K-5.1M-69.5K2.6040.655541,44220,61516,260
2012-11-05$16.22$16.0046.6%12.5%31.4%44.6%0.0%7.3%-0.2%119.0K-3.5M-67.2K3.6524.177125920,42016,598
2012-11-06$16.77$16.0039.7%11.5%32.9%29.1%40.4%5.3%1.4%250.1K-7.7M-66.7K1.1023.681,3101,44520,39616,566
2012-11-07$16.44$16.0041.2%12.0%33.5%32.4%41.4%6.2%2.1%142.0K-4.7M-69.8K0.3123.3865020121,41317,625
2012-11-08$16.35$16.0039.5%11.7%33.4%28.7%43.8%6.5%1.8%104.0K-4.2M-69.0K0.8421.4829925021,97817,686
2012-11-09$16.64$16.0040.3%11.4%34.0%30.5%39.3%5.6%3.9%187.4K-7.0M-71.2K0.1626.592,37636922,12817,924
2012-11-12$17.04$16.0040.7%11.6%34.6%31.4%39.4%5.5%-0.1%380.2K-11.5M-71.3K0.7122.261,8191,29623,60818,254
2012-11-13$16.97$17.0038.5%10.8%34.7%26.4%38.5%6.9%0.8%286.8K-11.0M-74.0K0.2219.822,73260525,11918,829
2012-11-14$16.46$17.0052.8%12.8%34.3%58.7%41.3%9.2%-1.6%177.6K-6.3M-78.1K5.1424.789154,70626,89819,036
2012-11-15$16.11$17.0041.6%11.9%34.7%33.4%43.2%8.6%1.0%65.9K-1.3M-78.8K1.9925.677011,39226,76122,362
2012-11-16$16.50$17.0040.6%11.6%35.8%31.0%40.3%8.0%2.8%154.1K-4.9M-82.0K0.6824.9575151427,33423,412
2012-11-19$17.34$17.0034.6%9.9%39.8%17.5%36.3%7.6%1.3%264.8K-12.6M-79.8K0.6028.6743626119,03416,640
2012-11-20$17.28$17.0032.9%9.4%39.0%13.9%32.3%7.2%2.7%293.2K-12.7M-78.5K0.0427.257452919,31116,646
2012-11-21$17.28$17.0033.4%9.6%39.0%15.0%31.8%6.5%1.6%326.1K-13.0M-78.7K0.0129.359971119,80216,660
2012-11-23$17.71$17.0030.4%8.7%38.8%8.3%34.5%5.5%5.1%380.6K-17.2M-77.9K0.5430.432,4341,31420,52816,668
2012-11-26$17.63$17.0032.7%9.4%38.9%13.3%34.3%4.2%2.2%394.4K-17.1M-81.5K0.0330.681,5764121,59717,667
2012-11-27$17.75$17.0030.3%8.7%38.7%8.0%32.3%7.1%3.8%455.1K-19.2M-83.0K0.1129.851,32113922,58717,676
2012-11-28$18.18$17.0032.1%9.2%38.9%12.1%39.4%9.2%2.8%434.8K-22.0M-84.7K1.6831.8838464422,81017,717
2012-11-29$18.83$17.0032.1%9.2%40.3%12.1%32.7%4.8%3.1%400.7K-26.4M-78.1K0.5330.893,5121,85922,43917,439
2012-11-30$18.94$17.0033.6%9.6%38.3%15.3%34.4%7.4%4.6%479.6K-27.3M-90.6K4.5821.082531,15925,37919,007