CAR Options History — February 2013

In February 2013, CAR traded between $22.18 and $24.53. ATM implied volatility averaged 36.7%, placing in the 22.8% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 3.4% (HV 20d: 33.3%). Max pain ranged from $21.00 to $24.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.76.

Notable Days

2013-02-13: Highest Volume — 7,089 contracts
2013-02-07: Largest IV drop — 24.5% change
2013-02-04: Highest IV Rank — 45.5%
2013-02-25: Largest Expected Move — 11.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.16	$22.18	$24.53	$22.65	$23.37
Max Pain	$22.47	$21.00	$24.00	$21.00	$24.00
ATM IV	36.7%	29.9%	47.5%	38.5%	36.7%
Expected Move	10.0%	8.6%	11.8%	9.7%	10.5%
HV 20d	33.3%	25.3%	44.8%	25.3%	44.4%
HV 60d	29.6%	27.0%	32.7%	29.0%	32.0%
IV Rank	22.8%	6.1%	45.5%	24.8%	24.5%
IV Percentile	24.4%	1.2%	69.4%	30.6%	25.0%
Term Structure	-0.4%	-2.5%	3.1%	-0.3%	-0.5%
VWIV	34.9%	30.1%	38.4%	35.5%	37.5%
Skew 25d	4.8%	2.7%	6.5%	4.7%	5.1%
Skew 10d	12.2%	-8.2%	21.5%	11.7%	17.5%
Call IV 25d	32.9%	28.9%	37.8%	31.7%	33.5%
Put IV 25d	37.7%	31.6%	43.8%	36.4%	38.7%
Bid-Ask Spread %	14.93	10.69	19.99	19.99	16.54
Gamma HHI	0.24	0.12	0.73	0.26	0.12
Net GEX	598.5K	65.0K	1.5M	845.6K	138.4K
Net DEX	-42.7M	-78.6M	-10.3M	-57.8M	-13.5M
Net VEX	-128.8K	-141.6K	-114.6K	-133.9K	-139.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.76	0.07	1.92	0.34	0.17
Total Volume	1,733.684	164	7,089	2,626	418
Total OI	41,856.579	23,977	56,578	49,930	29,589

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
2013-02-01	$22.65	$21.00	38.5%	9.7%	25.3%	24.8%	35.5%	4.7%	-0.3%	845.6K	-57.8M	-133.9K	0.34	19.99	1,962	664	34,399	15,531
2013-02-04	$22.18	$21.00	47.5%	10.5%	25.9%	45.5%	37.7%	6.3%	-0.7%	1.0M	-52.7M	-138.8K	0.07	12.23	1,034	69	35,195	15,864
2013-02-05	$22.77	$21.00	45.3%	10.1%	27.2%	40.4%	36.6%	5.9%	-1.0%	971.6K	-60.0M	-133.2K	0.48	12.72	242	116	36,094	15,894
2013-02-06	$22.83	$21.00	45.9%	9.9%	27.2%	41.8%	34.2%	5.7%	-0.7%	975.6K	-61.2M	-129.7K	0.47	15.49	234	111	36,201	15,975
2013-02-07	$22.84	$21.00	34.7%	9.9%	26.6%	16.0%	33.4%	6.0%	-0.7%	901.5K	-61.9M	-128.9K	1.56	13.14	103	161	36,254	16,077
2013-02-08	$22.86	$21.00	34.3%	9.8%	26.1%	15.8%	34.3%	4.9%	-0.5%	883.8K	-62.4M	-128.0K	0.58	17.97	236	136	36,325	16,159
2013-02-11	$22.84	$22.00	35.4%	10.1%	25.6%	19.3%	35.6%	5.4%	-0.6%	884.9K	-62.0M	-125.6K	1.29	13.77	168	217	36,379	16,237
2013-02-12	$23.24	$22.00	35.5%	10.2%	25.7%	21.3%	34.9%	6.5%	-1.0%	720.2K	-66.8M	-120.1K	0.54	16.74	336	182	36,496	16,367
2013-02-13	$23.06	$22.00	36.9%	10.6%	25.4%	25.0%	36.2%	4.6%	-0.8%	764.7K	-65.1M	-119.6K	0.30	18.34	5,442	1,647	36,419	16,521
2013-02-14	$24.30	$22.00	29.9%	8.6%	30.3%	6.1%	30.1%	2.7%	3.1%	643.6K	-78.6M	-114.6K	0.47	15.42	3,160	1,485	37,467	17,411
2013-02-15	$23.84	$21.00	32.4%	9.3%	31.5%	12.9%	32.7%	5.1%	1.1%	1.5M	-74.3M	-119.5K	0.67	11.89	2,144	1,441	38,512	18,066
2013-02-19	$24.53	$24.00	31.0%	8.9%	32.5%	9.0%	32.9%	3.5%	-1.3%	173.0K	-19.1M	-119.0K	0.71	12.44	617	437	13,692	10,285
2013-02-20	$23.12	$24.00	33.3%	9.5%	40.1%	15.3%	31.8%	3.6%	-0.8%	184.4K	-13.6M	-124.6K	0.45	10.69	535	241	14,078	10,361
2013-02-21	$22.57	$24.00	33.6%	9.6%	41.2%	16.2%	34.4%	4.8%	-0.6%	186.0K	-11.2M	-125.4K	0.48	14.19	404	195	14,256	10,529
2013-02-22	$23.64	$24.00	33.7%	9.7%	43.8%	16.3%	34.3%	3.2%	0.2%	190.9K	-15.8M	-125.3K	1.70	15.28	1,340	2,276	14,488	10,670
2013-02-25	$23.08	$24.00	41.1%	11.8%	44.5%	36.6%	38.4%	6.0%	-2.5%	124.6K	-12.0M	-138.8K	1.92	15.94	1,053	2,025	15,554	12,660
2013-02-26	$22.98	$24.00	36.8%	10.6%	44.6%	24.9%	37.7%	4.5%	-1.0%	65.0K	-10.3M	-141.6K	1.54	16.35	765	1,180	16,152	13,649
2013-02-27	$23.35	$24.00	35.6%	10.2%	44.8%	21.7%	35.7%	3.0%	0.7%	144.5K	-13.4M	-140.8K	0.61	14.59	102	62	16,360	13,109
2013-02-28	$23.37	$24.00	36.7%	10.5%	44.4%	24.5%	37.5%	5.1%	-0.5%	138.4K	-13.5M	-139.7K	0.17	16.54	358	60	16,419	13,170