CAR Options History — November 2014

In November 2014, CAR traded between $55.49 and $62.26. ATM implied volatility averaged 33.7%, placing in the 27.9% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded below realized volatility by 0.7% (HV 20d: 34.4%). Max pain ranged from $55.00 to $57.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 1.90.

Notable Days

  • 2014-11-21: Highest Volume — 32,476 contracts
  • 2014-11-05: Largest IV drop — 12.1% change
  • 2014-11-04: Highest IV Rank — 50.1%
  • 2014-11-03: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.63$55.49$62.26$56.12$60.15
Max Pain$55.13$55.00$57.50$57.50$55.00
ATM IV33.7%29.9%41.2%40.8%32.7%
Expected Move10.5%9.7%11.3%11.3%10.2%
HV 20d34.4%18.4%54.2%54.2%20.7%
HV 60d39.4%38.9%40.1%39.9%40.0%
IV Rank27.9%16.5%50.1%49.0%24.8%
IV Percentile57.8%26.2%81.3%79.8%55.2%
Term Structure0.0%-2.3%2.2%-1.0%-0.1%
VWIV38.0%34.7%45.7%39.6%35.3%
Skew 25d5.9%4.3%7.6%6.6%5.5%
Skew 10d12.4%9.8%16.6%13.7%11.4%
Call IV 25d32.1%28.7%37.9%37.7%30.6%
Put IV 25d38.0%33.0%45.5%44.3%36.1%
Bid-Ask Spread %24.4120.1131.4526.1121.15
Gamma HHI0.220.100.680.210.13
Net GEX11.1M3.6M20.6M12.4M5.3M
Net DEX-449.5M-589.7M-312.0M-397.6M-315.7M
Net VEX-1.1M-1.3M-935.3K-1.3M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.900.4413.490.701.44
Total Volume13,649.57979732,47617,538797
Total OI188,997.316133,463215,173196,075143,413

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-11-03$56.12$57.5040.8%11.3%54.2%49.0%39.6%6.6%-1.0%12.4M-397.6M-1.3M0.7026.1110,3447,194136,32559,750
2014-11-04$55.49$55.0041.2%11.2%51.1%50.1%39.1%7.6%-2.3%11.7M-363.8M-1.3M0.7623.478,9576,813136,15761,433
2014-11-05$56.88$55.0036.2%10.8%51.2%35.3%39.0%7.0%1.1%12.3M-421.1M-1.3M0.6325.1411,3587,154135,96161,923
2014-11-06$57.54$55.0034.8%10.9%50.1%31.3%38.8%7.0%2.2%12.4M-450.8M-1.3M0.6523.809,5456,211135,27163,371
2014-11-07$57.59$55.0034.1%10.8%50.2%28.9%39.1%5.6%-0.7%12.4M-464.5M-1.2M0.5721.159,0715,169135,59163,616
2014-11-10$57.95$55.0035.9%10.8%39.2%34.5%37.5%5.9%-1.4%12.7M-467.1M-1.2M1.1627.739,55911,105135,76564,069
2014-11-11$57.86$55.0032.3%10.5%38.1%23.6%36.7%5.5%-0.5%12.7M-465.0M-977.0K0.9925.389,4429,350130,07661,842
2014-11-12$58.08$55.0032.1%10.5%36.8%23.3%36.5%6.1%-0.0%12.2M-482.7M-1.1M0.5624.588,2674,665136,12067,815
2014-11-13$57.58$55.0033.2%10.4%36.7%26.3%37.6%6.0%0.0%12.4M-461.0M-1.1M1.1227.044,4735,002136,34567,899
2014-11-14$57.52$55.0033.0%10.4%34.4%25.7%37.0%6.5%-0.3%12.4M-459.1M-1.1M2.8031.456161,724136,51868,175
2014-11-17$58.76$55.0032.8%10.2%32.4%25.2%36.5%5.3%-0.3%12.2M-528.5M-1.0M1.3129.373,5624,650135,85968,931
2014-11-18$59.89$55.0032.5%10.3%29.6%24.2%36.4%4.9%0.2%11.7M-589.7M-935.3K1.5728.922,9574,657136,59369,047
2014-11-19$59.56$55.0032.1%10.2%22.9%23.1%45.7%6.0%0.5%12.5M-575.9M-941.2K13.4924.2976910,372135,73069,227
2014-11-20$59.37$55.0031.8%10.2%23.2%22.3%38.6%5.6%0.4%12.4M-552.9M-1.1M3.3221.915,02816,669134,58178,395
2014-11-21$59.70$55.0031.3%10.1%22.0%20.8%39.5%5.6%1.1%20.6M-566.3M-1.1M1.0920.1115,50816,968135,57479,599
2014-11-24$60.92$55.0031.8%10.1%22.4%22.3%35.3%5.7%0.5%4.2M-312.0M-1.1M0.9120.752,5882,34579,44154,022
2014-11-25$62.26$55.0029.9%9.7%18.4%16.5%38.7%4.3%1.1%3.6M-342.6M-1.1M2.5520.526,34216,14880,77655,541
2014-11-26$60.83$55.0031.9%10.1%21.0%22.5%34.7%5.2%0.1%4.8M-323.4M-1.2M0.4420.902,7531,21084,28255,916
2014-11-28$60.15$55.0032.7%10.2%20.7%24.8%35.3%5.5%-0.1%5.3M-315.7M-1.2M1.4421.1532647186,55456,859