CAR Options History — May 2013

In May 2013, CAR traded between $28.44 and $33.85. ATM implied volatility averaged 32.7%, placing in the 13.9% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded below realized volatility by 0.2% (HV 20d: 33.0%). Max pain ranged from $23.00 to $30.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.48.

Notable Days

  • 2013-05-03: Highest Volume — 7,770 contracts
  • 2013-05-02: Largest IV drop — 26.3% change
  • 2013-05-01: Highest IV Rank — 67.6%
  • 2013-05-01: Largest Expected Move — 15.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.32$28.44$33.85$28.44$33.16
Max Pain$28.18$23.00$30.00$23.00$29.00
ATM IV32.7%27.6%52.4%52.4%33.1%
Expected Move9.8%9.0%15.0%15.0%9.5%
HV 20d33.0%24.5%39.5%38.1%33.6%
HV 60d35.9%32.9%38.7%37.8%33.9%
IV Rank13.9%0.0%67.6%67.6%15.0%
IV Percentile15.5%0.0%86.9%86.9%19.4%
Term Structure1.8%-8.7%4.4%-8.7%2.7%
VWIV35.0%31.0%53.6%53.6%33.8%
Skew 25d3.6%2.2%7.2%4.1%2.7%
Skew 10d7.0%3.9%13.6%13.0%6.1%
Call IV 25d32.9%30.0%50.9%50.9%32.2%
Put IV 25d36.5%33.9%55.0%55.0%34.9%
Bid-Ask Spread %14.169.4517.1914.0517.19
Gamma HHI0.230.130.360.260.13
Net GEX1.0M480.8K1.7M1.2M543.0K
Net DEX-68.7M-99.3M-44.9M-53.1M-54.1M
Net VEX-267.1K-297.2K-214.3K-239.8K-297.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.031.611.290.31
Total Volume2,962.9559047,7702,1921,587
Total OI58,644.59145,60470,38160,77350,016

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-05-01$28.44$23.0052.4%15.0%38.1%67.6%53.6%4.1%-8.7%1.2M-53.1M-239.8K1.2914.059571,23538,13122,642
2013-05-02$28.78$24.0038.6%11.1%38.2%29.9%39.4%7.2%-0.4%1.5M-57.3M-232.4K0.3114.842,36174338,29423,443
2013-05-03$29.68$24.0033.2%9.5%39.5%15.0%34.2%3.3%1.8%1.6M-70.1M-224.0K0.089.457,16860238,09623,335
2013-05-06$30.18$28.0030.8%9.8%39.1%8.6%35.4%3.3%2.7%1.7M-81.4M-214.3K0.5713.533,6982,11739,18923,549
2013-05-07$30.91$28.0030.2%9.6%39.5%6.9%33.8%3.9%2.5%1.3M-86.3M-214.4K0.4411.614,2431,87538,33424,483
2013-05-08$30.93$28.0030.5%9.6%36.1%7.6%33.9%3.3%2.8%1.3M-85.7M-243.7K0.1814.473,92171938,66126,075
2013-05-09$30.19$29.0028.8%10.0%37.3%3.1%35.1%4.3%2.6%1.5M-76.1M-252.8K0.6917.142,5001,73638,85026,153
2013-05-10$30.93$29.0027.9%9.5%38.1%0.6%34.6%3.0%3.0%1.4M-86.5M-278.5K0.3515.042,60491840,23327,593
2013-05-13$30.57$29.0032.6%9.8%32.0%13.5%34.4%3.0%2.1%1.5M-83.3M-288.0K0.0713.092,15415141,27128,312
2013-05-14$31.29$29.0027.6%9.5%32.2%0.0%33.7%2.4%2.8%1.2M-94.4M-281.0K0.9313.5372868042,01628,365
2013-05-15$31.37$29.0028.1%9.5%31.2%1.4%32.8%2.2%3.0%1.1M-94.8M-275.2K0.7616.1655842541,71428,361
2013-05-16$31.23$29.0033.4%9.6%29.5%15.9%33.7%2.4%3.1%955.2K-92.3M-278.5K1.0414.841,2451,29541,44028,260
2013-05-17$32.03$29.0031.8%9.1%27.9%11.4%33.3%3.3%4.4%1.2M-99.3M-274.8K0.1115.053,08733341,48128,865
2013-05-20$31.95$29.0033.2%9.5%27.9%15.4%34.0%2.8%1.7%499.6K-45.7M-276.0K0.1815.011,86133224,61320,991
2013-05-21$31.81$29.0033.4%9.6%28.0%15.8%34.9%4.4%1.1%549.4K-45.6M-282.5K0.3214.1168422025,23421,087
2013-05-22$32.12$29.0032.8%9.4%25.9%14.2%31.0%3.6%1.6%556.6K-48.4M-280.0K0.3213.3899531825,58021,252
2013-05-23$31.87$29.0031.4%9.0%26.3%10.4%32.1%4.1%2.1%616.6K-47.2M-287.3K0.5115.601,68685726,23721,474
2013-05-24$31.71$29.0031.3%9.0%24.5%10.0%31.2%3.9%2.6%535.4K-44.9M-292.6K0.0313.351,2494026,24422,184
2013-05-28$33.85$29.0032.0%9.2%32.3%12.1%35.0%4.7%2.1%480.8K-59.5M-275.3K1.6114.561,3522,17126,26422,207
2013-05-29$32.97$30.0033.7%9.7%34.4%16.7%34.1%4.1%1.7%494.5K-52.8M-292.7K0.2412.381,50835927,07622,759
2013-05-30$33.03$29.0032.9%9.4%33.6%14.4%36.0%3.2%2.8%558.0K-53.5M-294.4K0.1813.081,61929427,39322,424
2013-05-31$33.16$29.0033.1%9.5%33.6%15.0%33.8%2.7%2.7%543.0K-54.1M-297.2K0.3117.191,21237527,48522,531