CAR Options History — April 2013

In April 2013, CAR traded between $26.93 and $29.13. ATM implied volatility averaged 43.8%, placing in the 44.0% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 8.0% (HV 20d: 35.8%). Max pain ranged from $20.00 to $24.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.50.

Notable Days

  • 2013-04-26: Highest Volume — 10,486 contracts
  • 2013-04-11: Largest IV spike — 16.4% change
  • 2013-04-29: Highest IV Rank — 81.1%
  • 2013-04-29: Largest Expected Move — 16.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.05$26.93$29.13$27.58$28.84
Max Pain$21.18$20.00$24.00$22.00$23.00
ATM IV43.8%35.0%57.4%37.9%55.5%
Expected Move12.7%10.5%16.4%10.9%15.9%
HV 20d35.8%30.7%40.9%33.0%40.2%
HV 60d36.5%33.5%39.1%33.6%38.0%
IV Rank44.0%20.0%81.1%27.9%76.1%
IV Percentile59.6%23.4%95.2%38.1%92.5%
Term Structure-3.1%-12.1%5.5%0.4%-11.8%
VWIV44.5%36.3%57.7%37.4%55.6%
Skew 25d6.4%1.3%9.0%1.3%7.0%
Skew 10d13.9%3.3%28.0%3.3%28.0%
Call IV 25d41.3%35.2%56.2%36.8%51.7%
Put IV 25d47.7%38.1%60.2%38.1%58.7%
Bid-Ask Spread %12.969.6816.5814.3911.34
Gamma HHI0.190.130.680.130.26
Net GEX612.8K24.9K3.3M159.1K1.2M
Net DEX-47.0M-60.3M-34.7M-49.7M-56.6M
Net VEX-172.4K-235.2K-151.7K-151.7K-235.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.071.560.070.18
Total Volume3,146.27335910,4866,4182,542
Total OI48,149.95540,32959,73244,27959,732

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-04-01$27.58$22.0037.9%10.9%33.0%27.9%37.4%1.3%0.4%159.1K-49.7M-151.7K0.0714.395,99542327,20617,073
2013-04-02$28.19$22.0037.5%10.8%33.2%26.8%37.4%3.1%3.2%471.9K-54.1M-154.2K0.5110.454,6732,36128,60017,395
2013-04-03$27.16$24.0037.4%10.7%30.8%26.5%37.2%2.9%4.1%369.7K-41.4M-167.3K0.3416.5867823128,43018,593
2013-04-04$27.23$24.0036.8%10.5%30.7%24.7%36.3%2.9%5.5%389.1K-42.3M-167.6K1.1912.4216419528,71718,614
2013-04-05$27.28$20.0040.1%12.3%30.7%33.8%41.9%7.0%-2.7%400.1K-42.5M-169.1K0.2412.0645310728,71518,687
2013-04-08$27.93$20.0038.8%12.0%31.3%30.5%42.7%5.9%-2.3%457.3K-48.9M-161.0K1.4113.1647967728,80818,719
2013-04-09$27.75$20.0038.5%12.0%31.4%29.4%43.1%6.4%-2.7%439.9K-47.2M-165.0K0.0813.985964929,04919,298
2013-04-10$29.13$20.0035.0%11.6%35.2%20.0%41.5%6.9%-2.3%573.8K-60.3M-157.2K0.4814.081,20957729,32619,323
2013-04-11$29.01$20.0040.7%11.7%31.3%35.6%42.3%6.3%-1.7%615.1K-58.9M-156.0K0.1112.674,15445929,09619,402
2013-04-12$29.03$20.0040.6%11.6%31.3%35.2%41.1%7.1%-2.2%634.5K-59.4M-155.8K0.2814.6865418129,35619,439
2013-04-15$27.48$20.0046.3%13.3%37.2%50.9%42.5%7.5%-4.3%439.1K-43.7M-161.4K1.5612.147661,19829,50619,468
2013-04-16$28.03$20.0045.3%13.0%37.9%48.2%45.1%7.4%-4.3%590.5K-49.4M-162.7K0.6512.1247230929,77420,182
2013-04-17$27.56$20.0045.3%13.0%37.1%48.2%45.2%9.0%-2.9%358.6K-43.2M-163.5K0.8914.452,9712,65529,69420,265
2013-04-18$26.93$21.0048.2%13.8%37.9%56.1%50.8%8.2%-4.6%24.9K-35.4M-176.4K0.3410.7488230231,44922,062
2013-04-19$28.00$21.0044.1%12.6%39.7%44.8%43.3%8.1%-2.7%3.3M-49.4M-174.6K0.4412.672,03190331,66821,903
2013-04-22$27.95$22.0044.5%12.7%39.5%45.8%43.5%8.1%-3.5%283.0K-34.7M-170.8K0.4211.8083435423,15417,175
2013-04-23$28.34$22.0044.8%12.9%38.9%46.9%43.5%9.0%-4.0%326.3K-37.5M-171.1K0.6413.572,1191,34823,60017,458
2013-04-24$27.70$21.0043.7%12.5%39.6%43.7%46.7%8.9%-3.6%377.4K-34.9M-177.0K0.2113.881,10923024,49417,425
2013-04-25$28.13$21.0049.8%14.3%39.3%60.3%49.2%5.6%-6.8%397.5K-39.0M-177.0K0.109.686,54662624,94617,542
2013-04-26$29.08$21.0054.9%15.7%40.9%74.4%55.4%7.1%-7.9%831.5K-53.1M-196.2K0.6316.236,4284,05830,33117,990
2013-04-29$28.87$22.0057.4%16.4%40.9%81.1%57.7%4.0%-12.1%908.1K-53.3M-221.9K0.3311.934,6811,53934,17221,463
2013-04-30$28.84$23.0055.5%15.9%40.2%76.1%55.6%7.0%-11.8%1.2M-56.6M-235.2K0.1811.342,15338937,27922,453