CAR Options History — March 2014

In March 2014, CAR traded between $45.31 and $49.11. ATM implied volatility averaged 32.8%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded below realized volatility by 2.2% (HV 20d: 35.1%). 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 17 of 21 days. Put/call ratio averaged 1.70.

Notable Days

  • 2014-03-07: Highest Volume — 6,223 contracts
  • 2014-03-13: Largest IV drop — 4.7% change
  • 2014-03-12: Highest IV Rank — 27.6%
  • 2014-03-14: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.57$45.31$49.11$46.84$48.70
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV32.8%29.7%35.8%35.3%29.7%
Expected Move10.3%10.1%10.4%10.4%10.2%
HV 20d35.1%27.2%44.3%44.3%30.7%
HV 60d34.4%33.6%35.5%33.6%35.5%
IV Rank17.6%7.0%27.6%25.9%7.0%
IV Percentile34.2%6.3%59.1%52.8%6.3%
Term Structure3.7%-1.9%6.7%-1.9%6.7%
VWIV37.7%34.0%42.8%38.2%38.9%
Skew 25d3.3%0.2%8.0%3.6%0.2%
Skew 10d7.9%0.7%17.8%15.3%0.7%
Call IV 25d31.3%27.9%34.5%34.5%31.4%
Put IV 25d34.6%31.5%38.2%38.2%31.5%
Bid-Ask Spread %11.938.7417.4914.009.46
Gamma HHI0.130.110.160.110.16
Net GEX2.1M1.7M2.8M1.7M2.8M
Net DEX-130.3M-166.2M-102.9M-117.5M-137.5M
Net VEX-489.8K-528.0K-448.6K-464.7K-480.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.700.087.890.300.36
Total Volume2,174.7143246,2231,1495,452
Total OI74,733.71467,64681,69167,64672,586

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-03-03$46.84$40.0035.3%10.4%44.3%25.9%0.0%3.6%-1.9%1.7M-117.5M-464.7K0.3014.0088626339,50228,144
2014-03-04$48.39$40.0034.0%10.2%38.9%21.5%38.2%6.3%-1.1%1.7M-133.7M-448.6K3.0414.455601,70539,89228,271
2014-03-05$48.77$40.0033.8%10.1%36.5%20.7%0.0%8.0%-1.2%1.7M-137.5M-449.1K0.1413.061,88827340,24029,762
2014-03-06$48.66$40.0033.9%10.2%36.4%21.1%35.5%5.9%-1.7%1.7M-139.7M-454.1K0.0816.562,64519941,26029,918
2014-03-07$48.34$40.0034.2%10.1%36.3%22.1%36.8%2.6%3.8%1.9M-138.3M-471.6K0.5114.684,1332,09042,55730,050
2014-03-10$48.31$40.0035.7%10.1%36.4%27.3%36.3%2.9%3.1%2.1M-143.0M-513.8K1.2513.0914418046,52331,378
2014-03-11$47.07$40.0035.2%10.3%38.7%25.6%37.9%2.6%3.8%2.0M-127.4M-518.6K1.4017.4960484346,58131,496
2014-03-12$46.33$40.0035.8%10.4%39.6%27.6%40.4%2.7%4.4%1.9M-118.3M-527.3K2.9110.2522665846,94131,931
2014-03-13$45.31$40.0034.1%10.4%40.2%22.0%0.0%5.2%2.9%1.9M-102.9M-528.0K0.848.7439833446,92931,889
2014-03-14$46.13$40.0033.9%10.4%40.2%21.3%0.0%3.3%3.5%1.9M-116.6M-522.4K4.0911.2115061447,03531,855
2014-03-17$46.92$40.0032.4%10.4%40.2%16.1%0.0%2.8%4.4%1.8M-124.6M-510.3K0.3611.6595233947,02732,401
2014-03-18$48.34$40.0031.8%10.2%40.8%14.0%34.0%3.2%5.2%2.1M-146.7M-500.5K0.9511.051,5991,51947,58632,604
2014-03-19$48.31$40.0031.3%10.1%40.5%12.5%0.0%2.8%5.1%2.2M-150.5M-493.6K1.5011.5817125748,51233,179
2014-03-20$48.72$40.0030.6%10.1%28.6%9.9%0.0%4.1%5.9%2.5M-155.9M-485.5K1.7110.647561,29148,16532,770
2014-03-21$49.11$40.0031.4%10.1%27.3%12.9%0.0%1.2%5.3%2.8M-166.2M-465.6K0.1010.112,76227048,53232,781
2014-03-24$47.75$40.0031.8%10.1%28.4%14.1%40.1%2.4%5.2%2.5M-124.6M-479.8K3.9011.4121684343,38625,472
2014-03-25$47.10$40.0031.5%10.4%28.6%13.1%34.1%2.5%5.1%2.5M-116.9M-484.4K3.6910.535221,92643,36626,040
2014-03-26$46.89$40.0031.4%10.4%28.6%12.9%37.4%2.5%5.9%2.4M-114.9M-483.3K0.0910.642,17718843,73425,422
2014-03-27$46.22$40.0031.3%10.4%27.6%12.4%42.8%1.9%6.0%2.5M-111.7M-500.4K7.899.845574,39445,57125,534
2014-03-28$46.78$40.0030.4%10.4%27.2%9.3%0.0%2.5%6.6%2.4M-112.9M-504.3K0.5510.0944124444,95427,632
2014-03-31$48.70$40.0029.7%10.2%30.7%7.0%38.9%0.2%6.7%2.8M-137.5M-480.7K0.369.464,0041,44844,95427,632