CAR Options History — September 2013

In September 2013, CAR traded between $27.58 and $30.63. ATM implied volatility averaged 32.2%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 1.7% (HV 20d: 30.6%). Max pain ranged from $28.00 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.79.

Notable Days

  • 2013-09-26: Highest Volume — 19,315 contracts
  • 2013-09-12: Largest IV spike — 11.6% change
  • 2013-09-03: Highest IV Rank — 26.4%
  • 2013-09-09: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.16$27.58$30.63$27.58$28.83
Max Pain$29.60$28.00$30.00$30.00$30.00
ATM IV32.2%29.4%35.5%35.5%34.6%
Expected Move9.4%8.7%10.2%10.2%9.9%
HV 20d30.6%23.5%36.2%32.5%35.3%
HV 60d34.6%30.4%37.2%37.2%31.5%
IV Rank15.6%6.1%26.4%26.4%23.4%
IV Percentile17.2%2.8%40.1%40.1%37.3%
Term Structure3.3%0.9%4.5%0.9%3.2%
VWIV33.0%29.7%37.2%35.3%35.9%
Skew 25d4.5%2.3%7.1%5.0%3.9%
Skew 10d10.8%4.8%23.8%8.5%20.1%
Call IV 25d30.9%28.2%34.6%34.6%33.2%
Put IV 25d35.4%32.3%39.5%39.5%37.2%
Bid-Ask Spread %18.0412.4622.5016.3215.00
Gamma HHI0.140.120.190.130.12
Net GEX1.2M591.3K1.8M591.9K838.0K
Net DEX-25.4M-43.4M-6.0M-6.0M-19.9M
Net VEX-348.4K-465.4K-294.8K-294.8K-465.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.025.350.275.35
Total Volume3,526.4516519,3153,4986,030
Total OI66,501.159,95179,34759,95179,347

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-09-03$27.58$30.0035.5%10.2%32.5%26.4%35.3%5.0%0.9%591.9K-6.0M-294.8K0.2716.322,75774135,64424,307
2013-09-04$27.69$30.0034.6%9.9%32.3%23.4%34.7%2.3%2.1%601.6K-7.3M-299.2K0.7312.4796169836,14124,835
2013-09-05$28.00$30.0033.7%9.6%28.2%20.3%33.3%3.8%2.6%665.9K-10.2M-308.9K0.2016.471533137,36325,333
2013-09-06$27.76$28.0033.0%10.1%28.3%18.1%37.2%5.0%2.2%591.3K-7.8M-300.3K1.1720.53768937,41225,350
2013-09-09$28.23$28.0034.1%10.2%28.2%21.9%36.2%5.1%2.0%709.6K-12.2M-304.2K0.5622.4119511037,40325,374
2013-09-10$29.14$28.0030.9%9.8%30.4%11.0%33.1%4.7%2.0%1.1M-23.6M-312.6K0.3719.4481230037,45025,451
2013-09-11$29.63$28.0029.4%9.6%30.9%6.1%33.4%5.5%2.7%1.3M-30.2M-314.2K0.8817.361,8351,61737,76225,537
2013-09-12$29.68$30.0032.8%9.4%30.9%17.6%34.0%4.9%2.9%1.4M-29.5M-317.9K0.4717.6025512138,38126,158
2013-09-13$30.01$30.0031.9%9.2%30.9%14.6%31.7%3.9%3.8%1.5M-34.2M-317.1K0.3122.1141012638,20426,210
2013-09-16$30.54$30.0031.3%9.0%31.2%12.5%32.0%4.2%3.9%1.8M-41.9M-310.6K0.1517.174256238,25326,229
2013-09-17$30.63$30.0030.6%8.8%29.9%10.2%32.1%4.9%4.2%1.8M-43.4M-308.5K0.7317.8715010938,23226,253
2013-09-18$30.07$30.0031.1%8.9%29.8%11.8%31.9%4.8%4.2%1.7M-34.8M-300.9K0.9219.612,1351,96938,32526,267
2013-09-19$29.87$30.0030.6%8.8%29.1%10.1%30.8%3.8%3.8%1.4M-28.9M-297.2K0.0216.9111,25426037,83727,695
2013-09-20$29.42$30.0031.1%8.9%29.0%11.8%30.5%3.5%4.3%1.5M-30.8M-415.3K0.9812.461,1301,10248,76727,853
2013-09-23$29.35$30.0031.0%8.9%29.0%11.5%30.5%4.0%4.5%1.3M-32.6M-416.7K0.4818.0689842943,48023,339
2013-09-24$30.02$30.0030.7%8.8%29.8%10.4%30.5%4.7%4.0%1.5M-41.7M-420.5K0.8120.321,8011,45343,82823,631
2013-09-25$30.10$30.0030.4%8.7%23.5%9.6%29.7%3.6%4.5%1.5M-42.8M-434.1K0.0718.542,37617245,08724,800
2013-09-26$28.04$30.0033.4%9.6%35.7%19.5%32.6%4.4%4.5%1.0M-14.9M-387.6K0.6417.5411,8137,50245,53724,890
2013-09-27$28.53$30.0033.9%9.7%36.2%21.3%35.6%7.1%3.2%815.1K-15.5M-442.4K0.6822.504,8603,31245,99830,059
2013-09-30$28.83$30.0034.6%9.9%35.3%23.4%35.9%3.9%3.2%838.0K-19.9M-465.4K5.3515.009505,08047,02632,321