CAR Options History — December 2013

In December 2013, CAR traded between $35.88 and $40.42. ATM implied volatility averaged 30.8%, placing in the 10.7% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 6.9% (HV 20d: 23.9%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.28.

Notable Days

  • 2013-12-20: Highest Volume — 3,689 contracts
  • 2013-12-11: Largest IV spike — 5.6% change
  • 2013-12-11: Highest IV Rank — 16.3%
  • 2013-12-12: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.47$35.88$40.42$37.10$40.42
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV30.8%29.3%32.4%29.9%31.2%
Expected Move10.8%10.5%11.1%10.9%10.5%
HV 20d23.9%20.5%27.4%25.8%26.0%
HV 60d35.0%32.2%36.5%35.9%32.2%
IV Rank10.7%5.9%16.3%7.9%12.1%
IV Percentile14.5%5.6%26.6%7.1%21.4%
Term Structure3.9%-0.1%5.6%1.1%5.6%
VWIV38.1%35.6%43.7%41.9%37.5%
Skew 25d2.9%1.5%4.3%2.0%3.2%
Skew 10d6.9%3.0%12.3%10.6%7.3%
Call IV 25d29.6%28.1%31.1%29.5%29.6%
Put IV 25d32.5%31.1%33.8%31.5%32.8%
Bid-Ask Spread %14.017.0321.327.0312.91
Gamma HHI0.170.130.320.150.15
Net GEX1.6M858.6K3.9M1.3M1.5M
Net DEX-125.0M-154.6M-101.7M-123.9M-154.6M
Net VEX-452.8K-513.7K-402.4K-479.6K-402.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.280.055.330.430.50
Total Volume1,014.238563,6892,0121,000
Total OI107,233.14397,633112,885108,168100,433

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-12-02$37.10$40.0029.9%10.9%25.8%7.9%41.9%2.0%1.1%1.3M-123.9M-479.6K0.437.031,40660652,05356,115
2013-12-03$36.15$40.0030.4%10.8%27.4%9.5%38.5%3.7%1.2%911.9K-106.0M-506.3K0.2312.301,43933652,21456,597
2013-12-04$36.07$40.0030.9%10.8%23.8%11.2%0.0%4.3%-0.1%909.0K-103.7M-513.7K0.1414.501,21917452,58056,720
2013-12-05$35.98$40.0031.2%11.0%24.1%12.0%36.9%2.3%0.3%904.1K-102.5M-505.5K0.7411.3319214252,54156,826
2013-12-06$36.63$40.0030.0%10.8%23.5%8.2%0.0%2.4%5.0%1.3M-115.3M-479.4K1.3112.1216922252,64656,854
2013-12-09$37.16$40.0030.6%10.8%20.5%10.2%35.9%3.6%4.2%1.5M-122.9M-469.8K2.4311.2123055852,72956,850
2013-12-10$36.98$40.0030.7%10.9%20.6%10.4%35.9%2.6%4.1%1.7M-123.8M-456.7K1.2010.8925430652,89157,070
2013-12-11$36.13$40.0032.4%10.8%22.9%16.3%0.0%3.2%3.8%1.1M-107.0M-481.5K3.6510.4224991052,99957,207
2013-12-12$35.88$40.0032.3%11.1%22.5%15.7%37.0%2.5%4.5%858.6K-101.7M-486.6K5.3310.92158053,21358,083
2013-12-13$36.13$40.0031.5%10.9%20.9%13.1%0.0%4.0%4.5%1.1M-105.2M-484.6K2.1110.66183853,21658,102
2013-12-16$37.25$40.0031.6%10.9%23.1%13.6%0.0%2.6%4.4%2.1M-126.7M-452.7K0.1011.927156853,21658,120
2013-12-17$36.69$40.0031.8%10.8%23.9%14.0%0.0%3.0%4.3%2.1M-119.8M-446.4K0.3812.0255521253,77558,138
2013-12-18$37.52$40.0031.0%10.8%24.8%11.5%0.0%2.8%4.3%2.8M-135.7M-439.4K0.4417.921245454,30058,305
2013-12-19$37.35$40.0030.9%10.8%24.9%11.1%43.7%1.5%4.7%3.9M-136.0M-420.0K0.0516.881,6328553,94458,148
2013-12-20$38.11$40.0029.7%10.8%24.1%7.1%0.0%2.3%5.0%2.6M-149.9M-415.1K0.1018.963,36132854,66958,216
2013-12-23$38.54$40.0029.3%10.6%23.9%5.9%0.0%2.3%5.2%1.6M-132.6M-416.5K2.9321.3223669248,59549,038
2013-12-24$38.39$40.0030.1%10.6%23.7%8.4%0.0%2.4%5.1%1.6M-130.3M-417.1K3.3618.29227448,76649,620
2013-12-26$39.50$40.0030.7%10.6%25.1%10.5%35.6%3.2%4.1%1.5M-141.8M-411.4K1.1519.3928332648,76349,686
2013-12-27$39.40$40.0030.0%10.6%25.0%8.0%37.5%3.5%4.9%1.5M-140.8M-412.3K0.1216.701,31016148,94749,972
2013-12-30$39.51$40.0029.9%10.5%25.0%7.7%0.0%4.0%5.4%1.6M-143.9M-412.9K0.0716.491,39410449,64850,091
2013-12-31$40.42$40.0031.2%10.5%26.0%12.1%0.0%3.2%5.6%1.5M-154.6M-402.4K0.5012.9166833250,27950,154