CAR Options History — January 2014

In January 2014, CAR traded between $37.49 and $41.71. ATM implied volatility averaged 35.3%, placing in the 26.0% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 11.5% (HV 20d: 23.8%). 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 4 of 21 days. Put/call ratio averaged 3.36.

Notable Days

  • 2014-01-30: Highest Volume — 6,418 contracts
  • 2014-01-16: Largest IV spike — 23.2% change
  • 2014-01-31: Highest IV Rank — 56.4%
  • 2014-01-09: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.85$37.49$41.71$40.45$37.71
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV35.3%28.5%44.4%31.9%44.4%
Expected Move10.6%10.4%10.8%10.7%10.6%
HV 20d23.8%20.9%27.3%23.4%26.8%
HV 60d29.6%26.4%31.4%31.3%26.4%
IV Rank26.0%3.2%56.4%14.3%56.4%
IV Percentile49.9%1.6%92.5%27.4%92.5%
Term Structure-1.0%-5.7%4.9%4.0%-5.4%
VWIV40.1%34.6%50.4%37.5%34.6%
Skew 25d3.5%0.8%4.7%4.6%2.8%
Skew 10d7.5%2.7%12.2%9.0%8.3%
Call IV 25d35.9%30.0%43.7%30.0%43.7%
Put IV 25d39.4%33.4%46.5%34.6%46.5%
Bid-Ask Spread %14.6012.0417.6113.9013.44
Gamma HHI0.140.120.160.130.15
Net GEX1.4M980.5K1.5M1.5M980.5K
Net DEX-118.5M-166.3M-57.1M-154.7M-57.1M
Net VEX-418.1K-461.7K-408.0K-408.0K-461.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.360.0547.520.061.02
Total Volume1,584.714956,4182,57295
Total OI84,689.42956,790106,188101,21666,348

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-01-02$40.45$40.0031.9%10.7%23.4%14.3%37.5%4.6%4.0%1.5M-154.7M-408.0K0.0613.902,42414850,75650,460
2014-01-03$40.53$40.0031.3%10.7%23.3%12.3%36.1%2.4%4.9%1.5M-155.1M-411.5K4.9314.713211,58150,93450,508
2014-01-06$40.05$40.0034.1%10.6%24.0%21.8%0.0%4.2%0.2%1.4M-148.3M-411.4K0.3714.3447617750,92151,917
2014-01-07$39.81$40.0032.0%10.7%23.8%14.7%39.7%3.9%-0.2%1.4M-145.3M-408.4K0.6415.4960939050,90452,052
2014-01-08$40.10$40.0032.0%10.6%23.5%14.9%0.0%3.7%-0.4%1.4M-147.8M-411.5K1.7113.43488251,42252,165
2014-01-09$40.30$40.0031.4%10.8%23.3%12.7%0.0%4.3%-0.5%1.4M-150.1M-408.6K0.1315.001,53119851,42352,226
2014-01-10$40.54$40.0028.9%10.6%20.9%4.5%45.5%4.3%0.6%1.4M-153.7M-412.7K0.2114.311,21825851,74952,306
2014-01-13$39.74$40.0033.6%10.5%22.4%20.3%41.4%4.7%-0.1%1.4M-144.3M-412.6K0.0512.042,01710951,81252,485
2014-01-14$40.68$40.0030.8%10.6%23.3%10.9%0.0%4.7%-0.2%1.5M-154.1M-414.0K0.3413.222,07670951,92152,561
2014-01-15$41.71$40.0028.5%10.6%22.6%3.2%0.0%4.4%-0.1%1.3M-166.3M-409.2K0.1914.491,31524952,08853,107
2014-01-16$41.52$40.0035.1%10.5%21.6%25.4%50.4%3.6%-0.1%1.4M-165.8M-412.1K0.0912.636145452,63253,289
2014-01-17$40.96$40.0035.8%10.5%21.8%27.5%0.0%3.0%-0.3%1.4M-160.3M-415.9K0.1615.901,03516752,86053,328
2014-01-21$40.75$40.0036.4%10.4%21.9%29.7%36.6%2.3%-1.9%1.4M-87.8M-421.1K2.4216.7112530235,67321,117
2014-01-22$41.15$40.0036.1%10.5%21.2%28.5%48.9%4.3%-1.6%1.4M-91.0M-416.4K3.5512.7810938735,74421,337
2014-01-23$40.07$40.0036.8%10.6%23.6%31.1%37.0%0.8%-1.8%1.4M-82.6M-413.9K1.6816.7019232335,77021,566
2014-01-24$38.60$40.0038.5%10.5%27.3%36.7%37.3%3.5%-2.5%1.4M-68.3M-420.2K0.2614.772,10754935,78721,866
2014-01-27$38.11$40.0039.4%10.7%25.6%39.5%38.6%3.2%-2.7%1.4M-66.3M-423.5K0.1313.612,25030036,67622,194
2014-01-28$38.35$40.0039.0%10.7%25.7%38.5%37.1%2.3%-3.5%1.4M-66.7M-428.4K3.2115.924313836,77422,305
2014-01-29$37.49$40.0043.0%10.7%26.7%51.6%0.0%2.9%-4.0%1.3M-59.7M-427.7K47.5217.61442,09136,81022,364
2014-01-30$38.27$40.0042.8%10.6%26.5%50.9%0.0%3.6%-5.7%1.2M-64.1M-431.2K1.8315.582,2674,15136,79223,529
2014-01-31$37.71$40.0044.4%10.6%26.8%56.4%34.6%2.8%-5.4%980.5K-57.1M-461.7K1.0213.44474838,90527,443