CAR Options History — October 2014

In October 2014, CAR traded between $46.56 and $55.94. ATM implied volatility averaged 47.8%, placing in the 70.7% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded below realized volatility by 0.6% (HV 20d: 48.4%). Max pain ranged from $57.50 to $62.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 0.56.

Notable Days

  • 2014-10-15: Highest Volume — 33,790 contracts
  • 2014-10-13: Largest IV spike — 22.7% change
  • 2014-10-15: Highest IV Rank — 100.0%
  • 2014-10-15: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.21$46.56$55.94$53.28$55.72
Max Pain$59.46$57.50$62.50$62.50$57.50
ATM IV47.8%34.1%57.9%38.3%40.6%
Expected Move11.9%9.9%13.3%10.3%11.3%
HV 20d48.4%33.5%59.7%33.5%55.4%
HV 60d35.5%28.6%40.7%28.7%40.3%
IV Rank70.7%30.0%100.0%43.1%48.5%
IV Percentile91.1%66.3%100.0%78.6%79.8%
Term Structure-4.4%-8.7%2.0%0.1%-0.6%
VWIV40.4%33.6%48.1%38.0%40.2%
Skew 25d6.5%2.7%9.6%2.7%6.2%
Skew 10d13.4%0.5%20.9%0.5%13.2%
Call IV 25d44.7%34.2%52.3%38.3%38.3%
Put IV 25d51.3%37.9%60.7%41.0%44.4%
Bid-Ask Spread %20.2914.8829.2122.4225.55
Gamma HHI0.170.090.210.210.21
Net GEX5.9M1.0M12.0M2.3M12.0M
Net DEX-165.0M-389.4M7.3M-54.9M-379.6M
Net VEX-1.0M-1.4M-497.4K-497.4K-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.081.140.650.71
Total Volume17,769.2615,57733,7908,08815,865
Total OI153,583.08788,011195,05288,011195,052

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-10-01$53.28$62.5038.3%10.3%33.5%43.1%38.0%2.7%0.1%2.3M-54.9M-497.4K0.6522.424,8883,20055,79532,216
2014-10-02$53.19$62.5037.1%10.4%33.6%39.3%33.7%2.9%1.7%2.1M-52.1M-505.6K0.5116.358,5764,41056,65933,572
2014-10-03$54.00$62.5034.1%9.9%34.1%30.0%33.6%3.7%2.0%2.6M-63.2M-592.5K0.1317.5512,0991,61062,29737,747
2014-10-06$52.40$62.5036.8%10.4%34.6%38.6%35.1%3.5%-4.2%2.1M-44.1M-577.5K0.6316.0210,4656,56066,14338,757
2014-10-07$49.99$62.5042.6%11.2%37.0%56.2%38.1%5.2%-4.6%1.0M-7.7M-602.0K0.4318.058,1283,46971,66844,797
2014-10-08$51.20$62.5045.9%11.3%39.1%66.6%37.7%4.4%-5.2%1.4M-36.8M-697.2K0.3120.3817,1275,25175,16446,970
2014-10-09$50.05$60.0046.2%11.5%39.2%67.3%38.3%5.0%-5.6%2.1M-34.1M-709.5K1.0319.783,8253,92482,82947,603
2014-10-10$50.30$60.0045.7%11.8%39.2%66.0%38.4%5.8%-4.8%2.1M-37.7M-729.1K0.7524.2613,98610,45682,85648,008
2014-10-13$46.56$60.0056.1%12.6%45.4%98.0%41.1%4.7%-7.4%1.7M7.3M-889.5K0.7625.0114,85311,22693,16354,565
2014-10-14$48.35$60.0053.7%12.5%49.2%90.5%40.6%6.9%-7.1%1.9M-23.4M-954.0K0.2224.4524,1105,22194,39253,870
2014-10-15$50.08$60.0057.9%13.3%50.3%100.0%45.0%8.8%-7.9%5.2M-107.1M-1.1M0.4029.2124,1809,610117,30854,691
2014-10-16$51.32$60.0055.0%13.0%51.9%91.2%48.1%8.4%-8.7%6.6M-170.2M-1.2M0.0820.7613,6671,110125,43855,993
2014-10-17$49.83$57.5054.4%12.9%52.3%89.5%0.0%8.2%-8.5%1.3M-114.9M-1.2M1.0215.552,7572,820131,70856,358
2014-10-20$51.92$57.5051.3%12.2%55.2%80.4%43.4%8.4%-5.6%8.2M-199.7M-1.3M0.5316.928,6874,640117,41047,181
2014-10-21$54.28$57.5048.3%11.8%58.3%71.4%42.3%8.8%-4.0%9.5M-277.4M-1.3M0.4716.9912,1935,714120,06147,320
2014-10-22$51.81$57.5051.8%12.5%59.7%81.9%43.5%7.1%-3.3%8.8M-221.5M-1.3M0.3516.7315,0805,231124,50248,444
2014-10-23$52.36$57.5051.1%12.5%58.7%79.6%43.4%7.3%-4.4%9.7M-251.9M-1.3M0.4914.8810,1455,005129,43648,554
2014-10-24$53.71$57.5053.4%12.7%59.6%86.4%43.8%8.9%-5.8%10.2M-297.4M-1.4M0.7015.6810,5347,385131,16848,844
2014-10-27$53.51$57.5055.3%12.7%59.6%92.3%43.9%8.6%-5.5%10.3M-299.6M-1.4M0.6318.068,3165,237134,40751,294
2014-10-28$55.93$57.5051.6%12.2%56.4%81.3%41.2%9.6%-4.6%11.0M-384.1M-1.4M0.4418.6214,1146,196134,77052,274
2014-10-29$55.94$57.5050.2%11.9%55.2%76.9%40.5%9.0%-5.2%11.4M-389.4M-1.4M0.5325.3517,1089,105135,94053,702
2014-10-30$55.15$57.5041.2%11.5%55.5%50.2%40.1%6.7%-1.0%11.8M-355.9M-1.4M1.1428.059,65310,957135,09056,395
2014-10-31$55.72$57.5040.6%11.3%55.4%48.5%40.2%6.2%-0.6%12.0M-379.6M-1.4M0.7125.559,2796,586135,65059,402