CAR Options History — July 2013

In July 2013, CAR traded between $30.21 and $32.76. ATM implied volatility averaged 39.8%, placing in the 33.6% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded below realized volatility by 4.3% (HV 20d: 44.1%). Max pain ranged from $29.00 to $31.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.50.

Notable Days

  • 2013-07-23: Highest Volume — 5,485 contracts
  • 2013-07-11: Largest IV spike — 15.1% change
  • 2013-07-29: Highest IV Rank — 55.4%
  • 2013-07-29: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.51$30.21$32.76$30.51$31.64
Max Pain$29.41$29.00$31.00$31.00$30.00
ATM IV39.8%33.7%47.2%35.0%44.4%
Expected Move11.7%10.0%13.5%10.0%12.7%
HV 20d44.1%32.1%52.4%48.8%33.9%
HV 60d39.5%38.5%41.1%40.7%38.9%
IV Rank33.6%16.6%55.4%20.3%49.1%
IV Percentile62.9%24.2%92.9%33.3%85.7%
Term Structure-0.5%-7.0%5.7%5.7%-5.4%
VWIV41.3%36.7%46.8%36.7%43.8%
Skew 25d5.5%3.5%7.5%4.8%5.1%
Skew 10d12.2%8.2%27.4%8.9%27.4%
Call IV 25d38.5%33.8%43.7%33.8%43.7%
Put IV 25d44.0%38.6%49.7%38.6%48.8%
Bid-Ask Spread %13.378.2418.6718.678.24
Gamma HHI0.160.140.180.160.17
Net GEX970.2K528.7K1.5M528.7K1.5M
Net DEX-42.4M-55.2M-26.1M-28.8M-49.6M
Net VEX-329.6K-347.9K-314.6K-333.3K-347.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.041.620.750.33
Total Volume1,7561015,4857204,405
Total OI59,253.45555,57165,99455,57165,994

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-07-01$30.51$31.0035.0%10.0%48.8%20.3%36.7%4.8%5.7%528.7K-28.8M-333.3K0.7518.6741230830,22825,343
2013-07-02$30.21$31.0036.9%10.6%48.9%25.3%37.9%5.9%4.8%530.8K-26.1M-331.7K0.7711.7128722030,42325,505
2013-07-03$30.24$31.0035.9%10.3%47.6%22.8%36.9%5.5%5.2%561.6K-27.0M-330.0K0.5116.53673430,53825,521
2013-07-05$32.09$29.0033.7%11.5%52.4%16.6%41.0%5.8%0.6%668.8K-43.6M-326.7K0.3911.9475529730,52825,514
2013-07-08$31.92$29.0035.6%11.7%49.2%21.9%44.6%5.8%1.1%681.5K-42.9M-323.4K0.8813.5932828930,74225,655
2013-07-09$31.69$29.0035.8%11.7%49.2%22.4%40.8%6.2%0.7%679.3K-40.9M-322.4K0.7013.721339330,73925,629
2013-07-10$32.30$29.0034.8%11.6%49.4%19.5%43.4%5.8%0.3%715.0K-46.8M-315.1K0.599.702,1241,25230,77725,657
2013-07-11$32.56$29.0040.0%11.5%46.5%33.9%40.3%5.4%0.2%773.6K-49.2M-321.2K0.2512.191,03725531,19225,975
2013-07-12$32.76$29.0039.0%11.2%46.6%31.2%39.7%5.6%1.6%870.3K-51.9M-321.0K0.2313.0754512631,70325,999
2013-07-15$32.22$29.0041.1%11.8%45.1%36.9%40.0%5.0%-0.8%813.4K-47.1M-317.8K0.2213.7592620831,87926,074
2013-07-16$31.21$29.0042.1%12.1%46.7%39.6%41.8%5.9%-0.6%789.5K-36.0M-319.2K0.0413.214,46117431,83926,133
2013-07-17$32.13$29.0042.2%12.1%47.6%39.8%40.9%4.2%-1.6%1.0M-51.4M-327.4K0.3112.561,47646134,71526,151
2013-07-18$32.47$29.0041.3%11.8%47.6%37.4%41.1%3.5%-1.1%947.8K-55.2M-325.9K0.2214.884179234,81526,209
2013-07-19$32.22$29.0040.1%11.5%43.8%34.0%38.7%5.5%-0.2%1.3M-52.1M-322.9K0.3813.1963824334,83626,219
2013-07-22$31.65$29.0040.4%11.6%39.1%34.9%42.8%4.1%-1.6%1.2M-45.1M-314.6K0.2317.792,98167932,92223,197
2013-07-23$31.81$29.0039.7%11.4%38.8%33.0%42.4%5.4%-1.6%1.3M-47.5M-328.8K0.1110.804,92256334,37223,826
2013-07-24$30.99$29.0040.6%11.6%39.8%35.5%40.2%5.1%-1.8%1.4M-42.4M-344.0K0.2012.362,29845137,19124,122
2013-07-25$30.80$29.0041.1%11.8%39.4%36.8%40.8%4.7%-1.9%1.4M-39.5M-346.9K0.5310.771045538,14024,515
2013-07-26$30.86$29.0042.8%12.3%39.3%41.5%43.6%7.5%-3.3%1.4M-39.6M-347.0K1.6216.708191,33038,19024,561
2013-07-29$30.44$30.0047.2%13.5%38.4%55.4%46.8%6.9%-7.0%1.2M-34.4M-338.8K0.9515.501,01696438,34025,784
2013-07-30$30.59$30.0045.4%13.0%32.1%52.1%43.9%7.3%-4.9%1.2M-36.2M-346.0K0.7513.3422116639,24426,640
2013-07-31$31.64$30.0044.4%12.7%33.9%49.1%43.8%5.1%-5.4%1.5M-49.6M-347.9K0.338.243,3021,10339,28826,706