CAR Options History — June 2013

In June 2013, CAR traded between $27.89 and $33.70. ATM implied volatility averaged 37.7%, placing in the 27.6% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded below realized volatility by 2.0% (HV 20d: 39.7%). Max pain ranged from $30.00 to $33.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.87.

Notable Days

  • 2013-06-12: Highest Volume — 4,586 contracts
  • 2013-06-20: Largest IV spike — 16.0% change
  • 2013-06-24: Highest IV Rank — 43.7%
  • 2013-06-24: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.93$27.89$33.70$33.17$28.75
Max Pain$31.90$30.00$33.00$30.00$31.00
ATM IV37.7%32.4%43.6%34.7%37.9%
Expected Move10.9%10.0%12.5%10.0%10.9%
HV 20d39.7%32.3%47.6%32.4%42.7%
HV 60d36.5%33.8%39.3%33.9%38.9%
IV Rank27.6%13.1%43.7%19.5%28.0%
IV Percentile48.7%15.1%77.8%29.0%51.2%
Term Structure2.9%0.8%5.4%1.1%4.3%
VWIV38.3%34.7%45.2%35.4%38.4%
Skew 25d5.9%3.8%8.2%3.8%6.0%
Skew 10d12.5%7.5%20.6%20.6%11.6%
Call IV 25d35.9%32.7%40.7%33.4%36.3%
Put IV 25d41.7%37.2%47.6%37.2%42.3%
Bid-Ask Spread %15.6312.1419.3713.1715.71
Gamma HHI0.150.130.230.130.14
Net GEX459.2K237.0K858.5K534.3K379.0K
Net DEX-32.1M-60.0M-2.7M-53.9M-13.6M
Net VEX-333.6K-359.7K-295.2K-295.2K-328.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.870.186.210.750.55
Total Volume1,914.452184,5861,020218
Total OI57,899.550,40463,44450,40455,436

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-06-03$33.17$30.0034.7%10.0%32.4%19.5%35.4%3.8%1.1%534.3K-53.9M-295.2K0.7513.1758443627,61422,790
2013-06-04$33.03$30.0035.0%10.0%32.3%20.3%34.7%4.7%1.9%529.5K-52.8M-298.9K1.2114.701,7342,09327,85623,030
2013-06-05$31.91$30.0037.2%10.7%34.3%26.2%38.2%4.7%0.8%526.9K-42.8M-330.4K6.2112.144502,79629,10724,736
2013-06-06$31.99$30.0035.5%10.2%34.3%21.7%36.3%4.9%1.0%435.1K-41.9M-336.5K0.1816.032,26740929,13926,636
2013-06-07$33.58$32.0032.4%10.2%36.6%13.1%36.1%4.7%3.1%573.3K-59.8M-331.3K2.3814.739142,17931,23926,825
2013-06-10$33.70$32.0034.3%10.2%35.9%18.3%35.8%4.9%2.9%524.2K-60.0M-333.8K0.7313.4125318531,49027,832
2013-06-11$33.04$32.0036.0%10.5%36.5%23.0%37.0%5.5%2.9%524.8K-53.9M-339.3K0.4714.4368132131,67827,846
2013-06-12$31.56$32.0038.3%11.4%39.8%29.3%39.1%6.4%3.0%524.5K-39.1M-349.1K4.4117.048473,73932,07227,914
2013-06-13$31.70$33.0037.9%10.9%39.8%28.1%38.0%5.5%2.0%237.0K-35.4M-359.7K2.3618.629882,33032,09331,008
2013-06-14$30.61$33.0039.6%11.4%41.7%32.9%38.6%5.7%1.8%373.5K-24.9M-351.7K0.9819.3766564932,18430,270
2013-06-17$30.54$33.0038.6%11.1%40.5%30.0%37.0%6.4%3.4%390.2K-24.4M-346.8K4.4816.4419386432,46330,278
2013-06-18$30.95$33.0037.2%10.7%40.9%26.3%36.7%6.0%4.0%316.7K-28.7M-347.0K4.9717.404432,20132,52130,561
2013-06-19$31.15$33.0035.2%10.1%41.0%20.8%35.2%5.8%5.4%262.1K-31.3M-344.2K0.5515.2749127032,74130,703
2013-06-20$29.65$33.0040.9%11.7%44.2%36.2%42.7%7.3%3.2%669.0K-19.1M-335.4K0.9715.821,2061,17332,88728,672
2013-06-21$28.09$33.0042.8%12.3%47.6%41.4%41.8%7.1%3.6%858.5K-2.7M-326.5K0.6615.731,5741,03133,52428,720
2013-06-24$27.89$32.0043.6%12.5%47.6%43.7%45.2%6.7%1.8%296.2K-7.5M-323.6K1.6512.6555691929,33124,469
2013-06-25$28.60$32.0039.5%11.3%41.3%32.5%41.7%8.2%3.6%371.6K-12.7M-328.2K0.5918.8618911229,42624,409
2013-06-26$29.22$32.0038.1%10.9%42.0%28.5%39.8%5.7%4.8%427.5K-17.8M-332.0K2.3915.3326663729,53224,414
2013-06-27$29.50$32.0039.5%11.3%42.3%32.5%39.0%7.3%2.5%430.4K-19.3M-334.1K0.9615.8472769929,65124,893
2013-06-28$28.75$31.0037.9%10.9%42.7%28.0%38.4%6.0%4.3%379.0K-13.6M-328.1K0.5515.711417730,12225,314