CAR Options History — May 2014

In May 2014, CAR traded between $51.79 and $57.23. ATM implied volatility averaged 34.5%, placing in the 22.9% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 4.8% (HV 20d: 29.7%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 2.39.

Notable Days

  • 2014-05-07: Highest Volume — 9,509 contracts
  • 2014-05-08: Largest IV drop — 31.8% change
  • 2014-05-06: Highest IV Rank — 69.3%
  • 2014-05-30: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.95$51.79$57.23$53.36$57.23
Max Pain$50.95$50.00$55.00$50.00$55.00
ATM IV34.5%28.6%47.8%45.5%28.6%
Expected Move10.1%10.0%10.2%10.2%10.2%
HV 20d29.7%24.6%41.8%41.8%24.6%
HV 60d35.6%32.8%38.4%37.0%32.8%
IV Rank22.9%1.6%69.3%61.4%1.6%
IV Percentile35.6%1.2%96.8%95.2%1.2%
Term Structure0.4%-10.1%2.9%-9.2%2.5%
VWIV37.7%33.4%50.6%33.9%50.6%
Skew 25d3.5%2.0%5.2%3.9%3.7%
Skew 10d7.4%4.5%12.1%12.1%6.8%
Call IV 25d31.9%27.9%44.7%43.7%27.9%
Put IV 25d35.4%30.9%48.9%47.7%31.7%
Bid-Ask Spread %12.599.3814.7414.749.38
Gamma HHI0.180.120.440.120.22
Net GEX3.0M1.3M5.2M2.8M3.9M
Net DEX-187.7M-225.8M-147.1M-189.3M-195.9M
Net VEX-547.9K-596.5K-506.1K-596.5K-536.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.390.1028.320.2728.32
Total Volume2,309.6674229,5094221,378
Total OI93,080.04872,554107,65097,36586,185

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-05-01$53.36$50.0045.5%10.2%41.8%61.4%33.9%3.9%-9.2%2.8M-189.3M-596.5K0.2714.743329057,35240,013
2014-05-02$53.69$50.0046.7%10.2%41.8%65.6%42.0%4.1%-10.1%2.8M-195.9M-592.2K0.3013.1449414757,53640,035
2014-05-05$54.23$50.0047.8%10.1%41.4%69.2%41.1%3.8%-0.0%2.9M-207.0M-564.2K1.5210.889731,48057,81740,092
2014-05-06$53.88$50.0047.8%10.1%33.2%69.3%39.1%3.7%-0.2%3.0M-201.2M-570.2K1.1611.2866877358,58741,056
2014-05-07$54.03$50.0045.4%10.0%30.1%61.1%0.0%5.2%0.2%2.8M-201.1M-581.6K4.2311.501,8177,69258,80241,715
2014-05-08$51.79$50.0031.0%10.1%33.2%11.6%38.8%4.0%2.6%1.8M-157.9M-574.8K0.7113.563,3632,38259,80046,261
2014-05-09$51.87$50.0030.6%10.1%30.3%10.1%33.4%4.3%2.0%1.3M-154.8M-567.8K1.5911.0551782258,55546,676
2014-05-12$53.46$50.0035.2%10.2%30.2%26.2%34.2%3.5%1.8%2.0M-186.4M-559.2K0.3711.1668825358,93246,794
2014-05-13$55.05$50.0031.5%10.1%31.3%13.3%35.6%3.4%2.3%3.1M-219.6M-538.1K0.7011.8261243159,36446,863
2014-05-14$55.43$50.0030.1%10.1%29.9%8.6%35.4%3.7%2.4%3.4M-225.8M-537.9K0.2613.451,34234959,56947,175
2014-05-15$55.07$50.0031.8%10.1%26.0%13.0%0.0%3.8%2.5%3.7M-219.3M-532.8K0.9612.071,2281,18060,02046,901
2014-05-16$55.16$50.0030.9%10.2%25.8%9.8%35.2%3.3%2.9%5.2M-225.1M-531.3K0.2311.641,67239060,38047,270
2014-05-19$56.10$50.0031.2%10.1%26.1%10.7%37.2%2.0%-0.5%2.3M-159.7M-508.5K1.2114.0274089844,06128,493
2014-05-20$55.57$50.0030.9%10.2%26.0%9.9%36.8%2.5%0.5%2.3M-154.8M-506.1K1.3313.9422429744,53129,199
2014-05-21$55.18$50.0030.8%10.2%26.1%9.3%0.0%3.9%0.8%2.3M-147.1M-529.3K0.5414.702,8291,51444,58229,363
2014-05-22$55.66$50.0030.9%10.2%26.1%9.6%36.5%2.0%1.4%2.6M-159.9M-533.1K0.7414.251,8341,35947,27730,833
2014-05-23$56.10$50.0030.4%10.2%25.0%8.0%33.9%2.6%1.5%2.8M-168.2M-549.4K0.5811.9175943948,64232,021
2014-05-27$57.19$55.0028.7%10.1%24.8%2.0%38.7%3.0%2.5%3.0M-186.8M-518.1K0.1012.844,07938949,04332,245
2014-05-28$56.96$55.0029.7%10.1%25.0%5.4%40.1%3.0%1.4%3.9M-193.9M-541.6K0.7213.6182759452,50432,398
2014-05-29$56.99$55.0029.4%10.1%24.9%4.4%35.8%3.9%1.5%3.9M-192.3M-536.0K4.4513.5511952952,84632,893
2014-05-30$57.23$55.0028.6%10.2%24.6%1.6%50.6%3.7%2.5%3.9M-195.9M-536.6K28.329.38471,33152,87833,307