CAR Options History — October 2013

In October 2013, CAR traded between $28.21 and $31.33. ATM implied volatility averaged 38.3%, placing in the 35.8% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded below realized volatility by 0.8% (HV 20d: 39.0%). Max pain ranged from $25.00 to $29.00. Net GEX was positive for 18 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 1.81.

Notable Days

  • 2013-10-09: Highest Volume — 16,566 contracts
  • 2013-10-31: Largest IV drop — 25.7% change
  • 2013-10-30: Highest IV Rank — 55.3%
  • 2013-10-08: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.41$28.21$31.33$28.32$31.33
Max Pain$26.71$25.00$29.00$29.00$25.00
ATM IV38.3%32.7%44.1%35.7%32.7%
Expected Move11.3%9.7%12.1%10.2%11.2%
HV 20d39.0%30.2%43.7%34.7%43.7%
HV 60d33.7%31.7%36.4%31.7%36.4%
IV Rank35.8%17.2%55.3%27.1%17.2%
IV Percentile63.9%21.8%89.7%50.4%21.8%
Term Structure-1.5%-6.7%4.2%4.2%-0.1%
VWIV39.5%33.7%42.0%35.4%40.5%
Skew 25d4.6%3.6%5.5%3.8%3.8%
Skew 10d10.9%7.2%20.8%10.2%20.3%
Call IV 25d36.7%31.0%41.1%33.7%31.0%
Put IV 25d41.3%34.8%46.4%37.5%34.8%
Bid-Ask Spread %10.025.2626.3720.2710.21
Gamma HHI0.120.110.140.130.11
Net GEX276.4K-240.2K1.0M442.4K1.0M
Net DEX-11.2M-54.9M3.6M-5.6M-54.9M
Net VEX-566.2K-613.4K-481.5K-481.5K-602.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.810.058.591.671.00
Total Volume3,317.95722416,5663,4485,670
Total OI98,732.47883,719109,66183,719109,661

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-10-01$28.32$29.0035.7%10.2%34.7%27.1%35.4%3.8%4.2%442.4K-5.6M-481.5K1.6720.271,2912,15747,01836,701
2013-10-02$29.43$29.0034.1%9.8%37.1%21.8%33.7%3.9%3.7%613.7K-21.7M-515.6K3.4718.557672,66147,24337,930
2013-10-03$29.45$29.0033.9%9.7%37.0%21.1%34.2%3.6%4.1%663.4K-21.8M-527.2K1.9226.3736971048,40339,391
2013-10-04$30.42$29.0033.0%10.9%38.2%18.3%37.5%4.5%-2.8%887.7K-38.9M-537.8K1.1410.309451,07848,51439,563
2013-10-07$29.52$29.0035.5%11.4%39.8%26.7%40.6%4.4%-2.8%734.1K-24.7M-523.0K8.5911.252802,40649,05939,601
2013-10-08$28.27$29.0039.4%12.1%41.3%39.5%41.5%5.4%-3.1%354.2K-2.7M-505.8K2.4111.967631,84249,15841,237
2013-10-09$28.21$29.0038.8%11.9%40.7%37.6%42.0%4.4%-2.5%284.4K509.8K-511.9K5.2912.632,63313,93349,36542,417
2013-10-10$29.02$29.0040.0%11.5%42.2%41.8%41.1%4.7%-1.5%-146.1K2.0M-609.4K1.4611.2924135350,95254,344
2013-10-11$29.63$29.0039.3%11.3%42.7%39.4%40.5%5.4%-2.1%69.4K-10.4M-613.4K2.3912.3413231551,03854,400
2013-10-14$29.40$0.0040.4%11.5%42.2%43.0%0.0%5.5%-2.0%-27.5K-5.3M-600.8K6.5712.7814192651,04854,382
2013-10-15$28.96$0.0040.9%11.5%42.4%44.6%41.1%4.8%-2.2%-240.2K3.6M-597.9K0.296.5841812351,10655,084
2013-10-16$29.46$25.0040.1%11.4%42.6%41.8%0.0%5.3%-1.6%-81.5K-6.2M-601.3K0.985.7611311151,22655,091
2013-10-17$29.61$25.0038.2%11.6%42.6%35.7%40.4%4.7%-1.5%-54.7K-8.9M-590.9K0.735.4029721850,65954,861
2013-10-18$29.67$25.0038.2%11.5%42.2%35.7%0.0%4.0%-2.0%251.7K-11.4M-586.5K0.286.261,22434850,65454,915
2013-10-21$29.75$25.0038.4%11.6%42.2%36.2%0.0%4.7%-1.6%219.1K-10.5M-576.6K0.055.542,30112447,20750,625
2013-10-22$29.60$25.0037.4%11.4%41.4%33.1%0.0%4.4%-1.8%170.0K-7.8M-575.1K0.186.062,29642047,40250,695
2013-10-23$29.35$25.0039.5%11.5%41.5%39.9%0.0%4.0%-2.1%84.7K-3.1M-577.0K0.266.171,32934147,64550,824
2013-10-24$30.06$25.0038.2%11.6%33.2%35.6%41.7%4.2%-1.6%237.8K-16.2M-580.4K0.636.9437823847,87851,070
2013-10-25$29.77$25.0037.5%11.5%33.1%33.1%0.0%4.6%-1.2%168.6K-9.5M-574.1K0.276.371,99153847,86451,119
2013-10-28$29.40$25.0040.9%11.3%33.3%44.6%39.9%4.1%-3.3%103.6K-4.3M-570.1K0.095.589,66690248,49851,425
2013-10-29$29.01$25.0043.8%11.5%33.0%54.4%42.0%5.2%-4.8%350.6K-2.4M-584.7K1.016.693,9874,02953,90452,005
2013-10-30$28.70$25.0044.1%11.5%30.2%55.3%0.0%5.5%-6.7%256.5K3.5M-578.5K0.835.262,8972,41154,86852,797
2013-10-31$31.33$25.0032.7%11.2%43.7%17.2%40.5%3.8%-0.1%1.0M-54.9M-602.4K1.0010.212,8382,83255,39754,264