CAR Options History — June 2014

In June 2014, CAR traded between $56.75 and $60.05. ATM implied volatility averaged 29.8%, placing in the 7.6% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 7.2% (HV 20d: 22.6%). Max pain ranged from $52.50 to $55.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.15.

Notable Days

  • 2014-06-05: Highest Volume — 7,474 contracts
  • 2014-06-27: Largest IV drop — 8.6% change
  • 2014-06-17: Highest IV Rank — 14.1%
  • 2014-06-16: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.24$56.75$60.05$57.96$59.69
Max Pain$54.38$52.50$55.00$55.00$52.50
ATM IV29.8%26.9%31.6%30.0%27.6%
Expected Move10.2%9.7%10.5%10.4%9.7%
HV 20d22.6%18.7%25.5%24.8%23.9%
HV 60d32.2%30.7%32.9%32.8%30.8%
IV Rank7.6%0.0%14.1%6.6%2.6%
IV Percentile13.3%0.0%34.9%10.7%0.8%
Term Structure3.6%1.7%6.1%1.7%5.4%
VWIV38.5%34.5%58.5%35.1%36.0%
Skew 25d3.5%1.7%4.9%3.1%2.1%
Skew 10d6.8%2.7%9.1%6.6%4.6%
Call IV 25d29.0%25.7%31.0%29.2%27.2%
Put IV 25d32.5%29.3%34.8%32.4%29.4%
Bid-Ask Spread %12.0310.4213.8411.0012.31
Gamma HHI0.210.160.300.220.17
Net GEX3.9M3.2M5.4M4.0M3.6M
Net DEX-217.0M-263.9M-176.6M-208.4M-216.4M
Net VEX-497.0K-550.3K-454.0K-519.5K-462.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.150.1514.550.770.44
Total Volume2,290.4294547,4741,2792,116
Total OI92,241.38179,379105,57687,49784,231

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-06-02$57.96$55.0030.0%10.4%24.8%6.6%35.1%3.1%1.7%4.0M-208.4M-519.5K0.7711.0072355652,88734,610
2014-06-03$57.28$55.0030.1%10.4%25.3%7.1%35.6%3.3%2.2%3.9M-198.0M-524.2K1.2210.9951362653,09834,830
2014-06-04$57.80$55.0029.9%10.3%25.1%6.1%35.0%2.2%1.8%4.1M-206.7M-515.2K1.3411.7820627753,12134,929
2014-06-05$58.71$55.0028.6%10.3%25.5%1.8%37.9%1.7%2.1%4.2M-227.5M-482.3K1.3613.253,1624,31253,12134,911
2014-06-06$60.05$55.0027.5%10.2%19.5%0.0%37.8%3.7%3.6%4.3M-253.9M-461.7K0.7712.102,2631,75054,88935,102
2014-06-09$59.33$55.0029.1%10.2%20.6%5.4%34.5%3.6%3.0%4.9M-250.3M-477.2K3.0812.811,3154,05056,43736,505
2014-06-10$59.92$55.0029.6%10.3%18.7%7.1%48.3%4.9%2.8%4.3M-259.4M-482.8K14.5513.071612,34357,10739,043
2014-06-11$58.35$55.0029.8%10.4%19.9%8.0%58.5%2.1%2.7%3.9M-227.9M-517.4K3.7313.383091,15357,14641,184
2014-06-12$56.79$55.0030.7%10.4%22.5%10.8%34.7%4.6%3.4%3.5M-186.0M-550.3K1.8012.8931556857,19042,085
2014-06-13$56.79$55.0031.0%10.4%22.3%11.9%40.2%3.5%3.7%3.6M-187.7M-540.9K5.3913.8418499257,32542,257
2014-06-16$57.18$55.0031.5%10.5%22.4%13.7%35.0%4.5%3.5%3.6M-196.9M-523.2K0.5710.9128916557,41043,151
2014-06-17$57.40$55.0031.6%10.5%21.7%14.1%38.3%3.0%3.6%3.9M-208.1M-512.9K0.3610.421,42551957,55143,240
2014-06-18$58.54$55.0031.6%10.5%22.2%14.1%36.1%4.2%3.2%4.5M-242.5M-488.4K0.3612.052,40186057,96943,450
2014-06-19$58.81$55.0029.7%10.3%21.9%7.4%36.3%3.6%4.5%5.4M-263.0M-460.7K0.8811.901,2461,09559,95543,764
2014-06-20$58.40$55.0030.3%10.4%22.1%9.6%45.6%3.4%4.4%4.6M-263.9M-454.0K0.1511.331,61124160,79844,778
2014-06-23$57.71$0.0030.5%10.1%22.6%10.1%35.2%4.3%4.1%3.2M-185.6M-476.0K0.6812.382,6001,78046,65032,729
2014-06-24$56.75$52.5029.9%10.0%22.4%8.2%35.7%3.5%4.6%3.2M-176.6M-508.3K5.3711.632111,13348,10834,153
2014-06-25$57.96$52.5029.9%9.9%23.6%8.1%41.5%4.4%4.1%3.3M-189.9M-503.9K0.2611.5996525048,12535,045
2014-06-26$58.68$52.5029.4%9.9%24.0%6.3%35.3%4.1%4.4%3.4M-201.6M-489.3K0.6711.4830720648,76235,213
2014-06-27$59.04$52.5026.9%9.7%24.0%0.0%35.2%3.5%6.1%3.6M-206.6M-485.1K1.3711.411,2241,67748,92835,282
2014-06-30$59.69$52.5027.6%9.7%23.9%2.6%36.0%2.1%5.4%3.6M-216.4M-462.8K0.4412.311,47264448,94935,282