CAR Options History — September 2014

In September 2014, CAR traded between $54.89 and $67.50. ATM implied volatility averaged 28.3%, placing in the 12.3% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 8.2% (HV 20d: 20.1%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.15.

Notable Days

  • 2014-09-30: Highest Volume — 8,515 contracts
  • 2014-09-30: Largest IV spike — 22.4% change
  • 2014-09-30: Highest IV Rank — 34.9%
  • 2014-09-30: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.84$54.89$67.50$67.50$54.89
Max Pain$62.74$60.00$65.00$60.00$62.50
ATM IV28.3%26.5%35.6%28.6%35.6%
Expected Move9.2%9.0%9.9%9.2%9.9%
HV 20d20.1%13.1%32.8%21.3%32.8%
HV 60d23.6%22.6%28.5%23.4%28.5%
IV Rank12.3%6.5%34.9%13.1%34.9%
IV Percentile11.8%0.8%73.4%10.3%73.4%
Term Structure3.5%0.2%5.8%0.2%1.3%
VWIV32.5%30.5%34.5%31.0%33.8%
Skew 25d2.8%1.4%4.3%2.7%3.0%
Skew 10d5.1%2.3%8.6%4.3%4.6%
Call IV 25d27.7%25.8%36.0%27.4%36.0%
Put IV 25d30.5%28.6%39.0%30.1%39.0%
Bid-Ask Spread %18.8316.5027.5717.2127.57
Gamma HHI0.230.150.350.200.30
Net GEX2.9M934.2K4.8M934.2K3.0M
Net DEX-146.9M-185.1M-74.5M-185.1M-74.5M
Net VEX-553.3K-592.8K-493.6K-555.9K-493.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.085.210.450.73
Total Volume2,562.4293848,5153,8228,515
Total OI83,360.90577,86088,25881,40183,312

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-09-02$67.50$60.0028.6%9.2%21.3%13.1%31.0%2.7%0.2%934.2K-185.1M-555.9K0.4517.212,6381,18444,75336,648
2014-09-03$66.82$62.5028.2%9.1%21.0%12.0%32.2%1.4%0.5%1.1M-180.2M-592.8K1.8918.0320438547,15237,100
2014-09-04$65.68$62.5028.3%9.3%22.3%12.1%31.3%1.4%0.9%1.1M-161.0M-592.3K1.3218.5756474547,19037,308
2014-09-05$66.28$62.5026.9%9.1%22.1%7.9%0.0%3.1%3.5%1.0M-167.8M-588.9K0.7018.6222615847,36637,542
2014-09-08$64.89$62.5028.7%9.2%22.1%13.4%33.6%2.3%4.4%1.1M-144.5M-567.7K5.2117.573862,01047,37337,604
2014-09-09$63.88$62.5027.6%9.1%22.3%10.1%31.4%2.4%4.0%1.5M-122.7M-553.4K0.9117.6336032647,39137,693
2014-09-10$63.37$62.5027.5%9.1%19.3%9.7%32.4%3.6%3.8%2.1M-121.7M-542.4K1.4217.812,2503,18447,51236,170
2014-09-11$63.30$65.0028.2%9.2%18.2%11.8%33.7%2.8%3.6%2.6M-138.4M-538.8K3.1117.2820563849,07134,325
2014-09-12$63.56$65.0028.2%9.2%16.6%11.9%33.8%2.4%3.5%2.7M-145.9M-541.5K1.3717.5626536249,06133,948
2014-09-15$63.32$65.0028.5%9.2%15.7%12.8%31.7%4.3%3.7%2.7M-137.0M-532.3K2.6317.804341,14349,17333,937
2014-09-16$62.66$62.5028.2%9.3%13.1%11.9%33.5%2.3%4.4%2.6M-128.1M-523.9K0.1218.306,88583449,22334,612
2014-09-17$64.30$62.5027.5%9.1%16.9%9.8%30.5%3.4%4.1%3.3M-176.7M-563.1K0.7620.542,1861,65653,52834,222
2014-09-18$64.00$62.5026.5%9.0%16.7%6.5%0.0%2.8%4.7%4.0M-172.9M-554.1K0.1519.6665210153,87934,279
2014-09-19$63.35$62.5026.8%9.3%16.8%7.6%33.0%1.8%5.8%3.9M-162.0M-538.0K0.2220.173,49077454,04534,213
2014-09-22$61.63$62.5027.9%9.3%18.2%11.0%31.8%3.4%4.3%4.4M-161.5M-549.9K0.5816.5066038048,96628,894
2014-09-23$61.00$62.5028.3%9.3%18.1%12.1%32.4%2.9%4.2%4.5M-151.7M-557.0K0.3619.012,35185848,87729,139
2014-09-24$61.63$62.5027.4%9.1%19.0%9.5%31.9%2.6%4.5%4.5M-162.3M-559.5K0.1519.972,40635149,84129,538
2014-09-25$59.11$62.5028.8%9.4%22.8%13.7%31.5%2.9%3.9%4.7M-130.3M-556.1K0.5618.5988249751,78129,771
2014-09-26$59.55$62.5028.2%9.3%23.4%12.0%33.1%3.1%4.2%4.8M-135.1M-566.2K1.3618.2540755351,91929,975
2014-09-29$59.00$62.5029.1%9.4%23.4%14.7%34.5%4.1%3.9%4.7M-125.7M-551.4K0.0818.711,57513151,91330,335
2014-09-30$54.89$62.5035.6%9.9%32.8%34.9%33.8%3.0%1.3%3.0M-74.5M-493.6K0.7327.574,9083,60752,95330,359