CAR Options History — December 2012

In December 2012, CAR traded between $18.91 and $20.30. ATM implied volatility averaged 35.0%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 7.6% (HV 20d: 27.4%). Max pain ranged from $16.00 to $17.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.08.

Notable Days

  • 2012-12-20: Highest Volume — 3,106 contracts
  • 2012-12-13: Largest IV spike — 13.7% change
  • 2012-12-13: Highest IV Rank — 23.7%
  • 2012-12-28: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.47$18.91$20.30$18.91$19.82
Max Pain$16.20$16.00$17.00$17.00$16.00
ATM IV35.0%31.6%39.0%34.7%37.1%
Expected Move10.3%9.7%11.2%9.9%10.6%
HV 20d27.4%22.3%33.8%33.8%23.4%
HV 60d31.8%30.0%32.8%32.8%30.7%
IV Rank15.4%8.5%23.7%17.8%16.5%
IV Percentile8.6%1.6%23.8%5.6%15.1%
Term Structure1.9%-0.2%4.1%4.1%0.6%
VWIV36.8%33.3%41.0%35.7%39.2%
Skew 25d6.8%5.2%8.6%6.7%8.5%
Skew 10d17.6%3.9%27.7%17.4%23.9%
Call IV 25d32.8%30.5%34.7%33.6%33.0%
Put IV 25d39.6%36.9%41.9%40.2%41.5%
Bid-Ask Spread %22.7211.9030.1422.5114.08
Gamma HHI0.220.190.280.190.24
Net GEX457.6K417.6K533.8K441.7K454.4K
Net DEX-33.0M-42.1M-26.6M-26.6M-34.5M
Net VEX-88.0K-99.2K-75.8K-89.1K-93.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.084.640.370.33
Total Volume1,091.7983,1069451,133
Total OI48,543.7545,47953,34845,47948,480

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-12-03$18.91$17.0034.7%9.9%33.8%17.8%35.7%6.7%4.1%441.7K-26.6M-89.1K0.3722.5169225325,35920,120
2012-12-04$19.14$17.0033.8%9.7%32.9%15.9%33.8%5.2%3.9%458.6K-29.2M-87.0K0.7324.37956925,80520,207
2012-12-05$19.14$17.0034.8%10.0%31.6%18.1%34.2%7.2%3.6%461.6K-29.3M-86.6K0.5925.7182248325,81320,272
2012-12-06$19.47$17.0033.8%9.7%30.2%15.9%33.3%6.0%3.6%453.6K-32.2M-84.7K0.0920.392021926,05220,681
2012-12-07$19.06$16.0031.6%10.6%31.7%10.9%41.0%7.6%0.9%473.2K-28.8M-86.9K1.9830.148917626,04220,684
2012-12-10$19.16$16.0034.1%10.5%31.5%16.5%35.7%7.1%1.9%467.0K-29.9M-82.5K0.2924.4093427326,08720,838
2012-12-11$19.12$16.0033.9%10.8%31.0%16.1%39.5%8.6%-0.2%533.8K-31.9M-86.8K0.2428.522,44659227,92521,108
2012-12-12$19.02$16.0032.8%10.5%31.0%13.6%35.1%7.0%1.2%483.8K-30.0M-89.8K0.6027.67925527,66921,572
2012-12-13$18.97$16.0037.3%10.7%28.2%23.7%40.7%7.5%0.3%481.6K-29.7M-90.0K0.3328.201,08836227,66321,620
2012-12-14$19.13$16.0036.5%10.5%26.0%22.0%35.6%8.0%0.4%473.5K-30.7M-90.7K0.4425.021225427,70421,903
2012-12-17$19.13$16.0036.0%10.3%25.6%20.2%37.9%5.9%1.3%451.8K-31.7M-84.8K0.8422.031038727,73621,918
2012-12-18$19.98$16.0034.4%9.9%24.3%10.0%36.8%6.5%2.0%433.7K-39.6M-75.8K1.7023.941,0531,78727,72321,940
2012-12-19$20.23$16.0035.0%10.0%24.0%11.4%35.8%5.9%2.6%417.9K-41.8M-78.1K1.8321.1622340928,31222,690
2012-12-20$20.30$16.0035.9%10.3%23.9%13.7%34.4%5.7%0.8%417.6K-41.8M-77.8K0.0818.952,87623028,27322,988
2012-12-21$20.17$16.0035.3%10.1%23.6%12.1%33.9%6.9%1.8%516.5K-42.1M-95.1K0.1428.311,23617230,15223,196
2012-12-24$20.12$16.0033.8%9.7%23.5%8.5%34.0%6.2%3.0%430.9K-36.8M-92.8K1.5011.9051577227,57520,619
2012-12-26$19.68$16.0035.0%10.0%25.6%11.4%39.7%5.7%2.1%427.9K-33.0M-93.0K4.6421.195826927,18620,582
2012-12-27$19.51$16.0036.0%10.3%25.0%13.8%41.0%7.5%2.1%431.4K-31.0M-94.6K0.4517.991,31058527,18620,705
2012-12-28$19.38$16.0039.0%11.2%22.3%21.1%38.9%7.1%1.2%442.3K-30.3M-99.2K4.4417.96188027,67720,813
2012-12-31$19.82$16.0037.1%10.6%23.4%16.5%39.2%8.5%0.6%454.4K-34.5M-93.9K0.3314.0885328027,69420,786