CAR Options History — February 2014

In February 2014, CAR traded between $35.92 and $47.89. ATM implied volatility averaged 42.1%, placing in the 48.6% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 1.8% (HV 20d: 40.3%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 2.33.

Notable Days

2014-02-19: Highest Volume — 13,819 contracts
2014-02-13: Largest IV drop — 31.5% change
2014-02-12: Highest IV Rank — 98.0%
2014-02-03: Largest Expected Move — 10.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.34	$35.92	$47.89	$35.92	$46.99
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	42.1%	31.3%	56.8%	47.6%	34.2%
Expected Move	10.4%	10.0%	10.8%	10.8%	10.2%
HV 20d	40.3%	31.1%	48.7%	31.1%	45.0%
HV 60d	30.4%	27.6%	34.2%	27.6%	34.2%
IV Rank	48.6%	12.6%	98.0%	67.3%	22.3%
IV Percentile	70.7%	23.0%	99.6%	97.2%	46.0%
Term Structure	-2.7%	-10.5%	3.1%	-7.4%	-1.3%
VWIV	37.6%	34.6%	44.2%	34.6%	38.7%
Skew 25d	3.4%	1.5%	6.3%	1.5%	3.0%
Skew 10d	9.9%	1.7%	19.4%	1.7%	13.5%
Call IV 25d	38.2%	29.1%	49.3%	48.3%	33.6%
Put IV 25d	41.6%	33.8%	53.4%	49.8%	36.6%
Bid-Ask Spread %	15.58	12.24	25.10	15.96	17.54
Gamma HHI	0.16	0.11	0.21	0.14	0.11
Net GEX	1.4M	835.8K	3.4M	835.8K	1.9M
Net DEX	-91.2M	-169.5M	-35.7M	-35.7M	-123.3M
Net VEX	-449.4K	-481.4K	-394.8K	-435.1K	-449.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.33	0.09	12.78	2.86	0.52
Total Volume	3,754.158	383	13,819	1,050	4,352
Total OI	70,979.368	59,248	86,585	66,369	65,994

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2014-02-03	$35.92	$40.00	47.6%	10.8%	31.1%	67.3%	0.0%	1.5%	-7.4%	835.8K	-35.7M	-435.1K	2.86	15.96	272	778	38,918	27,451
2014-02-04	$37.81	$40.00	48.3%	10.8%	37.0%	69.5%	34.6%	2.4%	-8.8%	976.3K	-57.4M	-455.0K	0.75	14.44	2,125	1,585	38,976	27,684
2014-02-05	$37.63	$40.00	50.5%	10.7%	37.0%	76.8%	36.7%	4.0%	-10.5%	1.0M	-56.1M	-481.4K	2.04	16.81	135	275	40,804	29,188
2014-02-06	$38.82	$40.00	48.8%	10.5%	38.8%	71.1%	0.0%	3.9%	-9.4%	1.1M	-71.6M	-477.7K	1.52	18.09	152	231	40,884	29,399
2014-02-07	$38.95	$40.00	49.1%	10.5%	38.8%	72.4%	39.6%	4.0%	-1.1%	1.1M	-72.1M	-476.1K	11.27	19.31	179	2,018	40,911	29,556
2014-02-10	$39.25	$40.00	54.2%	10.5%	38.8%	89.2%	0.0%	4.3%	-1.7%	989.1K	-74.7M	-472.1K	1.31	13.34	264	345	41,042	31,025
2014-02-11	$39.31	$40.00	54.6%	10.5%	38.2%	90.8%	35.9%	4.6%	-2.1%	990.5K	-75.4M	-469.7K	1.10	17.37	415	457	41,138	31,114
2014-02-12	$38.68	$40.00	56.8%	10.6%	37.5%	98.0%	35.4%	3.3%	-1.8%	910.8K	-68.1M	-468.5K	0.86	12.24	1,630	1,409	41,394	31,277
2014-02-13	$38.67	$40.00	38.9%	10.4%	36.1%	38.0%	38.0%	2.5%	-0.9%	1.0M	-68.2M	-479.4K	5.03	13.32	232	1,167	42,632	32,138
2014-02-14	$38.75	$40.00	38.9%	10.4%	36.2%	38.1%	0.0%	2.9%	-1.9%	962.3K	-68.8M	-478.5K	1.24	14.52	464	574	42,741	32,991
2014-02-18	$38.92	$40.00	41.3%	10.6%	36.0%	45.9%	0.0%	2.7%	-3.4%	985.1K	-71.9M	-470.6K	12.78	12.54	254	3,247	42,903	33,920
2014-02-19	$40.00	$40.00	41.4%	10.4%	37.6%	46.4%	42.6%	1.9%	-2.8%	898.9K	-85.2M	-456.6K	1.65	13.18	5,213	8,606	42,970	35,117
2014-02-20	$43.61	$40.00	32.0%	10.3%	48.7%	15.0%	44.2%	3.7%	3.1%	3.4M	-148.0M	-402.4K	0.25	25.10	9,818	2,423	46,206	36,063
2014-02-21	$44.88	$40.00	31.3%	10.2%	48.2%	12.6%	34.9%	3.9%	2.3%	3.2M	-169.5M	-414.9K	0.16	13.08	3,353	535	49,343	37,242
2014-02-24	$46.05	$40.00	32.6%	10.4%	45.8%	16.9%	36.8%	3.1%	-0.7%	1.6M	-116.4M	-394.8K	0.26	16.06	4,801	1,271	35,011	24,237
2014-02-25	$46.64	$40.00	33.1%	10.4%	45.1%	18.5%	0.0%	3.3%	-1.6%	1.6M	-119.4M	-401.5K	0.09	14.16	3,483	328	35,775	25,370
2014-02-26	$46.75	$40.00	33.0%	10.2%	45.2%	18.1%	36.5%	3.5%	-0.9%	1.7M	-122.7M	-421.5K	0.39	14.95	3,433	1,346	37,222	25,601
2014-02-27	$47.89	$40.00	32.8%	10.0%	43.8%	17.3%	34.7%	6.3%	-1.1%	1.6M	-129.0M	-432.3K	0.12	13.99	3,712	447	37,614	26,757
2014-02-28	$46.99	$40.00	34.2%	10.2%	45.0%	22.3%	38.7%	3.0%	-1.3%	1.9M	-123.3M	-449.3K	0.52	17.54	2,872	1,480	39,023	26,971