CAR Options History — March 2013

In March 2013, CAR traded between $23.54 and $28.10. ATM implied volatility averaged 32.9%, placing in the 14.2% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 7.5% (HV 20d: 40.4%). Max pain ranged from $22.00 to $24.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.92.

Notable Days

  • 2013-03-05: Highest Volume — 11,906 contracts
  • 2013-03-08: Largest IV drop — 13.8% change
  • 2013-03-05: Highest IV Rank — 32.1%
  • 2013-03-05: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.63$23.54$28.10$23.54$27.83
Max Pain$22.30$22.00$24.00$24.00$22.00
ATM IV32.9%30.4%39.4%34.8%31.2%
Expected Move9.4%8.6%10.5%10.0%8.9%
HV 20d40.4%32.2%46.6%44.2%32.4%
HV 60d34.1%32.0%34.8%32.0%34.5%
IV Rank14.2%7.3%32.1%19.5%9.5%
IV Percentile10.3%2.0%40.5%15.5%4.4%
Term Structure3.1%-0.9%4.9%-0.9%4.4%
VWIV33.2%30.1%39.0%35.4%31.9%
Skew 25d4.4%3.2%6.1%3.3%3.7%
Skew 10d13.1%6.4%22.3%16.1%15.2%
Call IV 25d30.8%28.7%34.4%33.1%29.9%
Put IV 25d35.2%33.2%39.9%36.3%33.6%
Bid-Ask Spread %15.069.3821.5616.179.38
Gamma HHI0.140.090.220.120.13
Net GEX339.2K158.4K658.4K158.4K218.9K
Net DEX-46.1M-67.3M-14.6M-14.6M-52.3M
Net VEX-147.8K-160.4K-139.1K-140.1K-145.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.052.590.052.59
Total Volume1,999.832911,9069522,077
Total OI40,387.1529,85647,38229,85642,990

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-03-01$23.54$24.0034.8%10.0%44.2%19.5%35.4%3.3%-0.9%158.4K-14.6M-140.1K0.0516.179034916,70713,149
2013-03-04$23.95$24.0036.0%10.0%41.0%22.6%34.5%5.7%2.2%191.1K-17.3M-141.3K0.3516.1697034017,29113,131
2013-03-05$25.45$24.0039.4%10.5%44.8%32.1%39.0%5.6%1.3%279.1K-26.6M-140.5K0.2818.229,2842,62217,90413,283
2013-03-06$25.46$22.0035.7%10.1%44.3%21.8%35.8%5.1%2.0%359.7K-41.1M-160.4K1.7018.4836361825,59315,114
2013-03-07$25.44$22.0035.5%9.9%44.3%21.2%34.4%5.1%2.8%370.9K-41.0M-158.5K0.1311.9195412025,60415,144
2013-03-08$25.81$22.0030.6%9.7%44.4%7.8%36.8%4.7%2.5%411.1K-45.6M-155.8K1.0119.7363063826,33415,202
2013-03-11$26.11$22.0032.7%9.4%44.4%13.6%32.0%6.1%2.3%442.9K-48.8M-151.9K0.1616.885709426,77415,636
2013-03-12$26.47$22.0032.2%9.1%44.4%12.4%30.8%5.7%2.7%477.3K-51.8M-146.7K0.0615.671,93911726,63515,706
2013-03-13$27.77$22.0032.1%8.6%46.6%12.1%31.8%4.5%3.8%440.0K-61.1M-139.1K0.7521.562,0881,56827,46315,776
2013-03-14$27.89$22.0032.0%9.2%46.2%11.7%30.1%3.9%2.4%518.7K-62.3M-142.7K0.3814.153,3661,26828,52916,349
2013-03-15$28.10$22.0031.3%9.0%43.3%9.7%31.5%4.4%3.2%658.4K-67.3M-142.0K0.3712.681,74264730,23017,152
2013-03-18$28.03$22.0032.7%9.4%42.4%13.7%32.9%3.8%2.4%344.0K-53.8M-140.4K2.1316.0340285525,93013,669
2013-03-19$27.29$22.0033.0%9.4%43.4%14.4%33.5%3.9%3.6%310.0K-48.3M-151.2K2.5614.184851,24326,10414,403
2013-03-20$27.52$22.0030.4%8.7%36.0%7.3%32.1%4.0%4.8%244.0K-49.6M-150.9K0.9315.2132730426,33515,060
2013-03-21$26.97$22.0031.6%9.1%35.6%10.6%31.7%3.2%4.9%275.2K-46.3M-151.8K2.2113.9513529826,38314,928
2013-03-22$27.32$22.0032.1%9.2%32.8%11.9%32.8%3.9%3.7%278.8K-48.3M-152.0K0.3213.3337912126,45315,066
2013-03-25$26.76$22.0032.1%9.2%32.4%12.0%32.6%3.9%4.1%283.7K-45.1M-149.0K0.6111.2255033326,54615,001
2013-03-26$27.20$22.0031.7%9.1%32.2%10.9%31.5%3.9%4.6%258.3K-48.0M-149.9K0.1213.462933626,71715,269
2013-03-27$27.77$22.0030.9%8.9%32.4%8.9%32.2%3.3%4.9%263.7K-52.3M-146.2K1.6112.7648678226,88615,297
2013-03-28$27.83$22.0031.2%8.9%32.4%9.5%31.9%3.7%4.4%218.9K-52.3M-145.5K2.599.385781,49927,05215,938