CAR Options History — November 2013

In November 2013, CAR traded between $30.93 and $36.86. ATM implied volatility averaged 30.8%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded below realized volatility by 9.1% (HV 20d: 39.9%). Max pain ranged from $25.00 to $40.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.84.

Notable Days

  • 2013-11-18: Highest Volume — 12,662 contracts
  • 2013-11-13: Largest IV drop — 12.4% change
  • 2013-11-05: Highest IV Rank — 26.3%
  • 2013-11-07: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.01$30.93$36.86$31.13$36.86
Max Pain$31.60$25.00$40.00$25.00$40.00
ATM IV30.8%28.3%35.4%31.3%28.6%
Expected Move11.1%10.8%11.5%11.2%10.8%
HV 20d39.9%26.3%42.4%42.4%26.3%
HV 60d37.1%36.0%38.1%36.5%36.0%
IV Rank10.8%2.3%26.3%12.3%3.4%
IV Percentile13.0%2.4%48.8%11.9%2.8%
Term Structure1.0%-0.1%1.7%0.8%1.0%
VWIV40.3%37.2%46.3%40.5%39.1%
Skew 25d3.3%2.0%4.8%2.0%2.1%
Skew 10d7.8%3.4%15.7%15.7%8.0%
Call IV 25d29.4%27.0%31.9%30.4%27.7%
Put IV 25d32.7%29.6%36.5%32.4%29.8%
Bid-Ask Spread %7.736.5010.6310.1610.63
Gamma HHI0.120.110.140.110.14
Net GEX679.3K-175.7K1.1M941.5K1.1M
Net DEX-90.6M-132.8M-46.4M-50.1M-119.5M
Net VEX-544.5K-599.5K-491.2K-599.5K-491.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.092.541.410.15
Total Volume2,32817412,6621,9821,444
Total OI109,006.793,942115,946110,053107,864

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-11-01$31.13$25.0031.3%11.2%42.4%12.3%40.5%2.0%0.8%941.5K-50.1M-599.5K1.4110.168211,16155,15854,895
2013-11-04$32.05$27.0032.3%11.2%41.8%15.8%0.0%4.4%0.3%960.1K-71.5M-589.9K0.427.541,31055255,63155,213
2013-11-05$31.06$27.0035.4%11.3%40.2%26.3%0.0%4.5%0.5%1.0M-48.2M-598.4K1.346.741,2871,72456,24655,448
2013-11-06$31.24$27.0034.3%11.3%40.1%22.7%0.0%4.8%0.1%1.1M-51.7M-598.8K2.167.6511023856,71356,215
2013-11-07$30.93$27.0034.1%11.5%39.5%21.7%44.1%4.5%-0.1%1.1M-46.4M-594.2K0.506.661165856,74656,177
2013-11-08$32.19$27.0031.3%11.4%41.2%12.5%0.0%3.5%0.8%991.4K-75.0M-583.7K0.947.5220919656,72956,213
2013-11-11$32.71$27.0032.5%11.3%41.1%16.4%0.0%4.5%1.1%828.9K-87.6M-557.2K0.778.0320215556,80456,234
2013-11-12$33.17$27.0033.0%11.2%40.5%18.2%0.0%3.8%0.7%755.8K-97.9M-549.1K0.177.102,48742456,90156,340
2013-11-13$33.82$27.0028.9%10.9%40.6%4.5%40.9%3.5%0.8%564.9K-111.9M-538.1K0.287.203,55998257,30256,364
2013-11-14$34.70$27.0030.1%11.1%41.1%8.4%40.2%3.3%1.3%334.0K-128.8M-521.1K0.307.102,58277558,22956,791
2013-11-15$34.97$27.0029.6%11.0%41.1%6.9%37.2%3.0%1.4%-175.7K-132.8M-515.5K1.087.099771,05158,64657,300
2013-11-18$34.83$27.0030.4%11.0%41.2%9.3%40.1%2.9%1.4%517.9K-88.7M-510.2K1.426.635,2417,42146,23447,708
2013-11-19$34.68$30.0029.9%11.0%41.2%7.8%37.3%2.4%1.7%69.3K-80.9M-558.3K2.546.5015840149,98354,172
2013-11-20$34.61$40.0030.0%11.1%40.9%8.1%38.3%3.1%1.2%54.0K-79.4M-547.8K0.929.6917215949,85454,349
2013-11-21$35.57$40.0029.0%11.0%41.1%4.8%0.0%3.0%1.5%358.3K-96.8M-532.2K1.118.3331134649,91954,428
2013-11-22$36.11$40.0028.9%10.9%40.6%4.4%39.6%2.8%1.7%547.7K-106.8M-505.3K0.146.622,59035750,07054,486
2013-11-25$36.59$40.0029.0%10.8%39.8%4.8%46.3%2.7%0.8%848.1K-115.4M-491.2K0.578.902,5371,43750,64454,491
2013-11-26$36.29$40.0029.3%10.8%39.4%5.8%39.1%2.3%1.2%746.6K-107.2M-508.9K0.427.431,16549150,77055,662
2013-11-27$36.67$40.0028.3%10.8%38.5%2.3%0.0%2.6%1.6%953.9K-115.1M-498.7K0.097.061,24211251,19856,007
2013-11-29$36.86$40.0028.6%10.8%26.3%3.4%0.0%2.1%1.0%1.1M-119.5M-491.3K0.1510.631,25319151,83956,025