CAR Options History — August 2014

In August 2014, CAR traded between $56.99 and $69.52. ATM implied volatility averaged 30.7%, placing in the 19.7% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 5.4% (HV 20d: 25.3%). Max pain ranged from $57.50 to $60.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.47.

Notable Days

  • 2014-08-12: Highest Volume — 14,090 contracts
  • 2014-08-05: Largest IV drop — 34.9% change
  • 2014-08-04: Highest IV Rank — 78.4%
  • 2014-08-06: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$65.35$56.99$69.52$56.99$67.51
Max Pain$58.69$57.50$60.00$57.50$60.00
ATM IV30.7%27.0%49.8%46.5%27.2%
Expected Move9.5%9.1%10.2%10.0%9.2%
HV 20d25.3%20.9%29.0%23.1%21.5%
HV 60d23.6%22.1%24.3%24.3%23.8%
IV Rank19.7%8.2%78.4%68.4%8.9%
IV Percentile21.5%1.6%98.4%94.8%2.4%
Term Structure1.4%-10.6%4.2%-10.6%1.5%
VWIV33.6%30.1%37.6%32.1%34.0%
Skew 25d2.8%0.8%5.1%3.3%1.4%
Skew 10d6.0%3.2%9.3%9.3%3.8%
Call IV 25d29.3%25.8%46.1%46.1%26.7%
Put IV 25d32.1%28.1%49.4%49.4%28.1%
Bid-Ask Spread %16.2112.3820.3616.5118.17
Gamma HHI0.260.150.530.300.20
Net GEX3.7M976.7K8.3M4.6M976.7K
Net DEX-256.9M-385.3M-188.1M-197.8M-188.1M
Net VEX-539.6K-565.6K-480.3K-542.9K-559.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.470.095.480.972.70
Total Volume3,789.38121614,0903,624895
Total OI93,443.1974,682116,61695,60480,881

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-08-01$56.99$57.5046.5%10.0%23.1%68.4%32.1%3.3%-10.6%4.6M-197.8M-542.9K0.9716.511,8381,78659,47636,128
2014-08-04$58.12$57.5049.8%10.1%23.8%78.4%32.3%3.9%-1.5%5.0M-220.6M-530.8K1.2414.292,7493,41161,06537,750
2014-08-05$59.62$57.5032.4%9.5%24.2%24.8%30.7%3.8%2.1%6.4M-249.5M-512.6K0.1515.378,0671,18462,08938,761
2014-08-06$59.36$57.5032.7%10.2%24.0%25.8%0.0%2.5%3.4%7.3M-247.1M-532.1K0.0914.753,86235965,21738,766
2014-08-07$60.26$57.5032.7%10.1%24.6%25.8%35.0%4.9%3.2%8.0M-270.6M-558.6K0.8313.4952643967,87838,848
2014-08-08$61.96$57.5027.4%9.8%26.4%9.4%36.7%5.1%4.2%8.3M-308.1M-538.2K0.3715.711,26546767,81838,916
2014-08-11$63.03$57.5028.5%9.8%26.9%12.7%31.7%3.9%3.4%7.4M-332.2M-506.2K0.4412.851,20953068,02439,161
2014-08-12$65.03$57.5031.3%9.6%28.7%21.3%34.0%2.1%3.2%4.8M-365.9M-480.3K0.7718.497,9586,13268,26239,444
2014-08-13$66.06$57.5028.4%9.7%29.0%12.6%33.3%3.3%3.4%3.6M-369.2M-534.7K0.1716.773,25355071,40245,214
2014-08-14$67.33$57.5029.7%9.5%26.3%16.6%33.7%2.9%3.1%4.1M-382.5M-523.4K5.4812.381,93910,62570,34444,608
2014-08-15$68.14$57.5030.3%9.6%25.9%18.4%33.6%2.7%3.4%3.2M-385.3M-531.7K0.1014.847,77275169,95246,341
2014-08-18$69.52$60.0028.4%9.3%26.2%12.6%33.3%2.6%1.1%1.8M-218.6M-534.3K1.3315.011,1401,51443,62331,059
2014-08-19$68.76$60.0027.4%9.2%27.0%9.5%35.4%0.8%1.2%1.7M-211.8M-538.5K3.1816.245771,83644,03232,048
2014-08-20$68.97$60.0027.1%9.1%27.0%8.5%35.7%3.9%1.4%1.4M-209.7M-556.1K0.8416.9158749644,12533,578
2014-08-21$68.38$60.0028.3%9.3%27.3%12.4%34.2%1.6%0.6%1.5M-205.3M-547.9K1.6716.4728647844,47833,762
2014-08-22$68.89$60.0027.0%9.2%26.2%8.2%30.1%2.3%1.3%1.5M-209.6M-563.6K1.2416.6416120044,59234,146
2014-08-25$68.96$60.0027.7%9.2%24.3%10.3%37.6%2.8%1.6%1.4M-211.7M-548.7K2.6418.2636596344,64334,255
2014-08-26$68.80$60.0027.3%9.2%23.8%9.1%31.1%2.2%1.8%1.4M-208.6M-563.0K5.4420.362541,38144,86935,031
2014-08-27$68.74$60.0027.4%9.2%24.0%9.5%34.0%1.6%1.0%1.2M-208.2M-562.4K0.3616.641,14241445,01835,897
2014-08-28$67.94$60.0027.5%9.1%20.9%9.8%0.0%1.9%0.9%1.1M-194.3M-565.6K0.7620.161239344,73536,071
2014-08-29$67.51$60.0027.2%9.2%21.5%8.9%0.0%1.4%1.5%976.7K-188.1M-559.1K2.7018.1724265344,74836,133