CAR Options History — July 2014

In July 2014, CAR traded between $56.19 and $61.73. ATM implied volatility averaged 33.4%, placing in the 27.3% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 11.2% (HV 20d: 22.2%). Max pain ranged from $52.50 to $57.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.52.

Notable Days

2014-07-31: Highest Volume — 7,543 contracts
2014-07-10: Largest IV spike — 21.7% change
2014-07-31: Highest IV Rank — 64.9%
2014-07-31: Largest Expected Move — 10.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$59.50	$56.19	$61.73	$60.51	$56.19
Max Pain	$56.82	$52.50	$57.50	$52.50	$57.50
ATM IV	33.4%	24.3%	45.4%	26.6%	45.4%
Expected Move	9.7%	9.4%	10.1%	9.7%	10.1%
HV 20d	22.2%	20.1%	24.7%	23.7%	23.0%
HV 60d	24.2%	22.4%	30.6%	30.6%	24.2%
IV Rank	27.3%	0.0%	64.9%	0.0%	64.9%
IV Percentile	46.9%	0.0%	94.0%	0.0%	94.0%
Term Structure	-1.4%	-10.1%	7.8%	6.4%	-10.1%
VWIV	34.1%	31.5%	38.4%	33.1%	35.2%
Skew 25d	3.3%	1.7%	5.1%	2.0%	3.5%
Skew 10d	7.7%	4.5%	11.0%	10.3%	8.1%
Call IV 25d	33.3%	24.3%	44.6%	26.4%	44.6%
Put IV 25d	36.6%	27.8%	48.1%	28.4%	48.1%
Bid-Ask Spread %	14.25	10.67	19.28	10.67	13.38
Gamma HHI	0.18	0.15	0.25	0.15	0.18
Net GEX	3.6M	2.9M	5.0M	3.4M	3.6M
Net DEX	-219.4M	-246.8M	-177.1M	-231.2M	-177.1M
Net VEX	-456.9K	-528.2K	-409.8K	-457.8K	-528.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.52	0.10	1.91	0.26	0.18
Total Volume	1,688.455	309	7,543	2,097	7,543
Total OI	87,051.864	78,361	90,370	87,058	89,485

Daily Data (22 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
2014-07-01	$60.51	$52.50	26.6%	9.7%	23.7%	0.0%	33.1%	2.0%	6.4%	3.4M	-231.2M	-457.8K	0.26	10.67	1,661	436	50,153	36,905
2014-07-02	$60.95	$52.50	26.4%	9.7%	23.7%	0.0%	0.0%	3.3%	6.0%	3.4M	-235.8M	-455.6K	0.20	10.92	1,199	241	50,576	37,043
2014-07-03	$61.73	$52.50	24.3%	9.5%	23.5%	0.0%	32.7%	3.5%	7.8%	3.4M	-246.8M	-435.5K	0.12	11.76	2,315	277	50,949	37,117
2014-07-07	$60.50	$57.50	28.2%	9.7%	23.5%	11.9%	35.2%	3.3%	-1.1%	3.7M	-233.9M	-461.4K	0.16	12.87	1,784	280	51,631	37,191
2014-07-08	$59.10	$57.50	28.2%	9.7%	24.7%	11.9%	35.1%	1.7%	-0.2%	3.8M	-218.2M	-468.2K	1.09	12.29	291	318	52,042	37,324
2014-07-09	$59.74	$57.50	27.6%	9.7%	24.7%	10.2%	33.2%	3.6%	-0.5%	3.8M	-223.4M	-475.6K	0.46	14.91	212	97	52,168	37,549
2014-07-10	$59.83	$57.50	33.6%	9.7%	22.7%	28.7%	32.6%	3.8%	0.5%	3.9M	-226.1M	-472.1K	0.24	12.74	529	129	52,247	37,564
2014-07-11	$60.26	$57.50	33.6%	9.7%	20.1%	28.6%	33.9%	5.1%	-0.1%	3.9M	-232.7M	-465.2K	0.67	12.16	302	202	52,511	37,601
2014-07-14	$60.19	$57.50	33.9%	9.7%	20.1%	29.5%	34.4%	2.2%	0.1%	4.0M	-237.0M	-437.7K	0.94	11.59	293	274	52,630	37,691
2014-07-15	$59.95	$57.50	33.9%	9.7%	20.2%	29.4%	38.4%	2.7%	-0.4%	4.1M	-233.9M	-434.8K	0.23	12.79	445	104	52,683	37,687
2014-07-16	$60.12	$57.50	33.8%	9.7%	20.2%	29.2%	0.0%	3.2%	-0.6%	4.0M	-236.1M	-435.6K	0.42	13.36	275	116	52,673	37,693
2014-07-17	$58.34	$57.50	35.1%	9.8%	22.1%	33.1%	34.4%	1.8%	-1.2%	5.0M	-209.7M	-435.2K	0.24	15.95	662	160	52,340	37,597
2014-07-18	$59.49	$57.50	33.4%	9.5%	23.2%	27.8%	31.5%	4.4%	-0.6%	3.5M	-226.9M	-429.6K	0.65	15.62	814	529	52,742	37,622
2014-07-21	$59.43	$57.50	34.4%	9.5%	23.0%	31.1%	34.7%	4.3%	-3.1%	2.9M	-204.7M	-424.6K	0.31	19.28	1,002	313	46,987	31,374
2014-07-22	$59.99	$57.50	33.9%	9.5%	22.7%	29.6%	33.7%	2.7%	-2.1%	2.9M	-216.5M	-409.8K	1.91	15.57	556	1,060	47,771	31,602
2014-07-23	$60.19	$57.50	34.3%	9.5%	21.6%	30.8%	32.3%	3.7%	-3.4%	2.9M	-217.0M	-422.1K	0.75	14.59	487	364	48,089	32,503
2014-07-24	$60.00	$57.50	34.3%	9.5%	20.6%	30.8%	34.5%	3.4%	-3.2%	2.9M	-216.1M	-428.8K	0.10	15.72	2,651	278	48,492	32,758
2014-07-25	$59.14	$57.50	35.5%	9.4%	20.9%	34.4%	0.0%	3.0%	-4.4%	3.1M	-211.9M	-474.7K	0.17	14.72	2,220	373	50,640	32,804
2014-07-28	$57.97	$57.50	38.3%	9.7%	22.0%	43.1%	32.5%	3.5%	-6.0%	3.5M	-198.9M	-488.7K	1.21	18.36	1,350	1,630	51,903	33,105
2014-07-29	$57.47	$57.50	38.8%	9.7%	21.7%	44.4%	35.0%	3.3%	-6.1%	3.5M	-195.4M	-499.1K	0.88	17.05	1,118	982	52,720	34,388
2014-07-30	$57.88	$57.50	41.1%	9.7%	21.2%	51.8%	35.2%	4.3%	-7.6%	3.5M	-197.8M	-511.1K	0.15	17.18	1,110	164	53,323	35,268
2014-07-31	$56.19	$57.50	45.4%	10.1%	23.0%	64.9%	35.2%	3.5%	-10.1%	3.6M	-177.1M	-528.2K	0.18	13.38	6,377	1,166	54,141	35,344