CAR Options History — August 2013

In August 2013, CAR traded between $26.77 and $32.18. ATM implied volatility averaged 37.1%, placing in the 31.0% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 7.1% (HV 20d: 30.0%). Max pain ranged from $30.00 to $31.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.76.

Notable Days

  • 2013-08-06: Highest Volume — 12,623 contracts
  • 2013-08-07: Largest IV drop — 21.7% change
  • 2013-08-06: Highest IV Rank — 69.5%
  • 2013-08-01: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.93$26.77$32.18$32.18$26.77
Max Pain$30.50$30.00$31.00$30.00$30.00
ATM IV37.1%30.7%48.3%44.2%35.9%
Expected Move10.6%9.5%12.7%12.7%10.3%
HV 20d30.0%27.4%34.3%34.3%29.6%
HV 60d38.7%37.4%39.8%38.8%38.1%
IV Rank31.0%10.5%69.5%48.5%28.0%
IV Percentile47.1%6.0%96.8%85.3%45.6%
Term Structure0.8%-6.0%2.7%-6.0%1.7%
VWIV36.4%32.9%44.1%44.1%38.1%
Skew 25d4.5%3.1%6.6%6.6%4.5%
Skew 10d10.2%5.0%17.4%13.2%6.8%
Call IV 25d34.9%32.3%40.8%40.8%34.7%
Put IV 25d39.4%36.0%47.4%47.4%39.2%
Bid-Ask Spread %16.5213.3222.6017.8014.21
Gamma HHI0.150.130.190.180.13
Net GEX890.5K429.0K1.8M1.8M429.0K
Net DEX-17.4M-57.7M742.4K-57.7M742.4K
Net VEX-323.8K-356.7K-292.2K-355.9K-292.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.055.470.750.13
Total Volume2,638.90933212,6231,7941,689
Total OI68,317.18254,44080,42669,20360,595

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-08-01$32.18$30.0044.2%12.7%34.3%48.5%44.1%6.6%-6.0%1.8M-57.7M-355.9K0.7517.801,02477041,50227,701
2013-08-02$31.85$30.0042.0%12.0%27.4%42.1%43.0%5.9%-5.1%1.8M-53.5M-356.7K0.6414.7954334942,23728,209
2013-08-05$31.42$31.0046.9%11.2%27.8%56.6%38.1%5.2%0.1%1.6M-47.6M-344.3K0.1422.602,16730342,26528,479
2013-08-06$30.78$31.0048.3%11.1%28.6%69.5%37.7%5.2%-0.2%1.5M-39.6M-350.2K0.2214.3610,3482,27543,84728,679
2013-08-07$29.30$31.0037.8%10.8%32.1%34.3%35.6%5.2%1.2%801.8K-14.2M-328.8K0.3916.974,2861,66045,73130,255
2013-08-08$29.26$31.0035.8%10.8%31.8%27.5%35.9%4.3%1.4%754.0K-14.3M-330.2K0.0515.293,19117546,02130,766
2013-08-09$28.64$31.0034.0%10.8%32.0%21.4%36.3%3.8%0.9%679.8K-7.7M-321.4K0.0518.902,95815747,96530,629
2013-08-12$28.62$31.0034.3%10.5%31.8%22.5%35.2%4.6%2.1%681.6K-6.4M-316.5K0.4815.521,42969148,62630,537
2013-08-13$28.72$31.0035.0%10.3%30.4%24.8%36.0%4.6%1.9%833.7K-9.5M-318.6K1.6118.057061,14049,45330,003
2013-08-14$28.90$31.0030.7%10.3%28.1%10.5%35.6%3.5%2.0%926.8K-11.9M-322.6K2.2416.356661,48949,69630,730
2013-08-15$28.67$31.0035.7%10.2%27.5%27.2%37.3%5.2%2.7%547.7K-10.4M-313.5K5.4715.8110859149,44729,715
2013-08-16$28.50$31.0036.3%10.4%27.5%29.2%35.3%4.6%2.0%518.4K-6.9M-308.0K1.3013.791,5962,06849,48029,924
2013-08-19$27.93$31.0035.7%10.2%27.7%27.4%36.0%3.8%1.3%588.2K-7.8M-306.7K0.6913.801,9231,33332,40722,033
2013-08-20$28.67$30.0035.4%10.1%29.7%26.2%34.4%3.9%0.7%814.0K-14.9M-324.4K0.1521.371,13616834,04023,261
2013-08-21$28.18$30.0035.4%10.2%29.1%26.3%32.9%4.6%1.7%742.9K-11.4M-318.7K0.0816.921,65613234,79423,394
2013-08-22$28.77$30.0034.7%9.9%30.4%23.9%35.9%4.5%0.8%994.6K-19.7M-338.7K0.0819.082,98422736,59823,468
2013-08-23$28.81$30.0033.0%9.5%30.4%18.0%32.9%3.7%2.1%975.0K-18.8M-335.6K0.1113.327638336,23023,647
2013-08-26$28.57$30.0034.6%9.9%30.2%23.6%33.8%3.1%1.4%937.4K-16.7M-329.4K0.3914.412399336,47423,693
2013-08-27$27.27$30.0037.8%10.8%33.7%34.2%36.2%3.3%0.7%587.4K-4.8M-307.3K0.0816.963,42927136,89223,732
2013-08-28$27.36$30.0036.4%10.4%30.6%29.7%35.7%3.9%2.7%582.5K-5.4M-302.6K0.6915.6224917236,02623,829
2013-08-29$27.30$30.0036.9%10.6%29.3%31.2%35.0%4.8%0.9%569.7K-4.7M-300.9K1.0217.6140541436,15223,816
2013-08-30$26.77$30.0035.9%10.3%29.6%28.0%38.1%4.5%1.7%429.0K742.4K-292.2K0.1314.211,49619336,41224,183