CAR Options History — April 2014

In April 2014, CAR traded between $47.50 and $54.22. ATM implied volatility averaged 38.1%, placing in the 35.3% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 3.3% (HV 20d: 41.4%). Max pain ranged from $40.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.75.

Notable Days

  • 2014-04-22: Highest Volume — 12,113 contracts
  • 2014-04-10: Largest IV spike — 30.8% change
  • 2014-04-30: Highest IV Rank — 57.8%
  • 2014-04-07: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.27$47.50$54.22$49.76$52.59
Max Pain$43.57$40.00$50.00$40.00$50.00
ATM IV38.1%28.1%44.7%29.6%44.4%
Expected Move10.2%10.0%10.6%10.1%10.1%
HV 20d41.4%29.5%46.4%29.5%42.9%
HV 60d39.3%35.7%41.5%35.7%38.2%
IV Rank35.3%1.8%57.8%6.7%57.8%
IV Percentile62.2%1.2%94.0%6.0%94.0%
Term Structure-3.4%-8.3%7.0%6.5%-7.9%
VWIV37.8%34.4%47.0%34.6%35.3%
Skew 25d3.9%1.6%6.3%2.3%4.0%
Skew 10d8.0%1.5%11.4%4.0%10.2%
Call IV 25d38.4%28.2%43.9%29.5%43.9%
Put IV 25d42.4%30.3%49.2%31.8%47.8%
Bid-Ask Spread %11.579.2024.889.9715.03
Gamma HHI0.160.120.260.180.12
Net GEX2.9M2.4M3.4M3.0M2.8M
Net DEX-167.1M-200.0M-119.7M-151.0M-178.6M
Net VEX-546.0K-619.5K-471.1K-504.4K-603.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.750.079.680.821.22
Total Volume2,571.1921112,1131,414211
Total OI86,203.85775,72797,26275,72797,262

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-04-01$49.76$40.0029.6%10.1%29.5%6.7%34.6%2.3%6.5%3.0M-151.0M-504.4K0.829.9777863646,85428,873
2014-04-02$51.40$40.0030.0%10.1%31.4%8.0%44.8%1.6%6.6%3.0M-172.5M-483.5K0.349.263,9971,35947,38329,223
2014-04-03$51.36$40.0028.1%10.0%31.4%1.8%47.0%2.1%7.0%3.2M-174.1M-503.2K3.749.984331,62148,56230,304
2014-04-04$50.63$40.0029.4%10.2%31.8%6.1%35.7%4.0%-2.9%3.2M-164.2M-515.5K0.3210.052,04964948,64631,388
2014-04-07$47.50$40.0033.4%10.6%39.6%19.6%39.4%3.4%-4.0%2.6M-121.1M-551.4K1.849.207591,39549,19331,827
2014-04-08$49.63$40.0031.2%10.3%41.4%12.2%0.0%4.6%-3.3%3.2M-149.7M-540.8K1.499.767871,17549,31031,902
2014-04-09$50.93$40.0030.6%10.3%41.6%10.3%35.8%4.6%-3.1%3.3M-167.0M-530.8K1.369.2721128849,57732,666
2014-04-10$49.14$40.0040.1%10.4%43.0%42.0%37.1%4.6%-4.2%3.2M-142.0M-541.9K3.019.2321665049,65732,743
2014-04-11$48.04$40.0041.1%10.4%43.7%45.5%0.0%4.0%-4.3%2.8M-126.5M-552.1K9.6810.823603,48349,74132,973
2014-04-14$48.07$40.0042.3%10.4%43.3%49.3%38.8%4.8%-5.2%2.4M-119.7M-559.8K2.569.8914737649,90836,150
2014-04-15$49.63$40.0041.8%10.4%43.5%47.6%36.7%5.0%-4.9%3.4M-147.0M-545.2K0.809.6549639849,97836,314
2014-04-16$51.97$45.0040.6%10.2%46.3%43.7%38.5%3.1%-4.4%2.7M-181.9M-505.9K0.3210.521,43145549,84235,807
2014-04-17$52.53$45.0041.6%10.3%46.3%47.1%37.0%1.6%-5.4%3.1M-192.7M-471.1K0.1224.887,73490250,61736,147
2014-04-21$53.18$45.0041.9%10.2%46.4%48.1%39.8%3.6%-4.1%2.5M-185.8M-513.1K0.3214.142,63085149,45833,217
2014-04-22$54.00$45.0040.5%10.1%45.0%43.2%34.6%5.2%-5.4%2.6M-198.6M-517.7K0.7511.826,9115,20250,79233,771
2014-04-23$53.76$45.0041.1%10.1%44.5%45.3%34.4%3.9%-5.1%2.6M-194.6M-594.7K1.3812.2538653455,88838,919
2014-04-24$54.22$50.0041.0%10.0%44.3%44.9%0.0%4.2%-5.4%2.6M-200.0M-596.5K0.0711.792,33915656,03639,238
2014-04-25$53.18$50.0042.4%10.2%44.7%49.8%0.0%4.3%-5.9%2.8M-187.6M-619.5K2.2511.4216136357,14439,300
2014-04-28$52.44$50.0044.0%10.2%45.3%54.9%0.0%5.6%-6.9%2.8M-176.0M-610.2K0.8111.9937330157,17539,501
2014-04-29$52.72$50.0044.7%10.1%43.4%57.5%35.7%6.3%-8.3%2.8M-179.4M-606.1K3.5812.0317361957,29339,702
2014-04-30$52.59$50.0044.4%10.1%42.9%57.8%35.3%4.0%-7.9%2.8M-178.6M-603.5K1.2215.039511657,29839,964