CAR Options History — January 2013

In January 2013, CAR traded between $20.77 and $22.01. ATM implied volatility averaged 33.8%, placing in the 13.5% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 6.3% (HV 20d: 27.6%). Max pain ranged from $16.00 to $19.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.32.

Notable Days

  • 2013-01-02: Highest Volume — 14,720 contracts
  • 2013-01-10: Largest IV spike — 18.0% change
  • 2013-01-30: Highest IV Rank — 24.9%
  • 2013-01-30: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.41$20.77$22.01$20.77$21.53
Max Pain$18.10$16.00$19.00$16.00$19.00
ATM IV33.8%27.7%38.5%31.5%37.0%
Expected Move10.1%8.8%11.0%9.0%10.6%
HV 20d27.6%20.3%30.4%28.2%20.3%
HV 60d30.7%27.7%31.8%31.8%27.7%
IV Rank13.5%0.0%24.9%2.8%21.4%
IV Percentile10.7%0.0%30.6%0.8%21.8%
Term Structure-0.4%-4.4%3.4%3.4%-2.8%
VWIV35.9%31.1%38.8%32.4%38.0%
Skew 25d5.9%3.6%9.2%4.8%4.2%
Skew 10d12.6%-5.3%23.2%13.4%4.5%
Call IV 25d32.3%24.8%37.8%30.8%36.0%
Put IV 25d38.1%33.1%41.4%35.6%40.2%
Bid-Ask Spread %17.7611.7323.6723.4919.27
Gamma HHI0.470.250.560.250.36
Net GEX1.1M451.9K1.3M451.9K1.3M
Net DEX-59.0M-72.4M-41.7M-43.6M-46.5M
Net VEX-108.9K-129.1K-83.6K-83.6K-129.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.320.019.380.039.38
Total Volume1,72113414,72014,7202,055
Total OI56,806.04840,04867,58248,83348,050

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-01-02$20.77$16.0031.5%9.0%28.2%2.8%32.4%4.8%3.4%451.9K-43.6M-83.6K0.0323.4914,33738328,02220,811
2013-01-03$21.34$16.0030.7%8.8%29.2%1.0%31.1%8.3%3.3%1.2M-67.9M-114.2K0.3520.3829310441,55621,074
2013-01-04$21.75$18.0027.7%9.8%29.5%0.0%35.6%7.9%1.2%1.0M-72.4M-108.2K2.5323.671,1132,82041,69721,098
2013-01-07$21.59$18.0027.7%10.1%29.6%0.0%37.4%5.6%0.7%984.1K-69.7M-113.5K0.5919.9731718742,18623,634
2013-01-08$21.64$18.0028.2%10.1%28.0%1.2%38.5%6.1%0.5%956.7K-70.1M-113.5K3.4918.737325542,36423,725
2013-01-09$21.37$18.0031.2%10.5%28.8%8.0%37.9%6.4%-0.1%1.0M-67.5M-115.0K0.2317.461092542,38223,917
2013-01-10$21.14$18.0036.8%10.6%29.2%20.9%38.7%5.8%-1.0%1.1M-65.0M-116.5K0.2315.6486019842,44923,929
2013-01-11$20.91$18.0036.1%10.4%29.6%19.3%36.2%6.4%-0.0%1.2M-63.4M-118.9K1.2414.6822127443,16524,055
2013-01-14$21.24$18.0036.3%10.4%29.7%19.8%37.4%5.9%-0.2%1.1M-68.5M-112.1K0.6814.571288743,27324,182
2013-01-15$21.00$18.0036.3%10.4%30.2%19.7%36.9%5.9%-0.4%1.2M-65.4M-113.0K0.7014.6915510843,32624,207
2013-01-16$20.92$18.0035.9%10.3%30.4%18.7%38.8%5.8%0.5%1.3M-64.7M-111.9K0.9211.7314113043,36024,222
2013-01-17$21.25$18.0034.9%10.0%27.0%16.6%36.6%4.9%0.4%1.1M-69.1M-107.3K2.8715.1110429843,18324,160
2013-01-18$21.31$18.0035.3%10.1%26.8%17.5%34.6%5.2%0.5%1.0M-69.7M-105.2K0.8219.7239832843,07124,352
2013-01-22$21.30$18.0035.2%10.1%26.8%17.2%35.5%5.8%-1.4%979.3K-41.7M-101.2K0.0614.992,21013529,32810,720
2013-01-23$21.20$18.0034.5%9.9%26.8%15.7%35.4%6.2%-1.6%1.2M-42.6M-107.5K0.4313.5999743331,40410,850
2013-01-24$21.53$19.0032.0%9.2%27.1%9.9%33.4%5.1%-0.3%1.1M-47.1M-102.5K0.5518.6341122831,64610,877
2013-01-25$21.99$19.0032.5%9.3%26.0%11.0%32.5%9.2%-1.5%927.3K-52.1M-96.1K0.1817.8176113631,82311,075
2013-01-28$22.01$19.0034.9%10.0%25.5%16.6%34.1%4.4%-2.2%931.5K-52.5M-94.3K0.0719.636824732,03011,178
2013-01-29$22.01$19.0037.2%10.7%25.2%21.8%34.9%5.6%-3.5%962.7K-52.4M-96.0K2.4421.601,0282,50532,32611,206
2013-01-30$21.71$19.0038.5%11.0%25.4%24.9%37.8%3.6%-4.4%1.2M-47.7M-126.8K0.0117.621,0541333,31913,695
2013-01-31$21.53$19.0037.0%10.6%20.3%21.4%38.0%4.2%-2.8%1.3M-46.5M-129.1K9.3819.271981,85734,34313,707