CAR Options History — December 2014

In December 2014, CAR traded between $55.80 and $67.46. ATM implied volatility averaged 34.6%, placing in the 30.6% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 2.1% (HV 20d: 36.8%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.28.

Notable Days

2014-12-23: Highest Volume — 44,171 contracts
2014-12-12: Largest IV spike — 17.4% change
2014-12-16: Highest IV Rank — 51.6%
2014-12-16: Largest Expected Move — 12.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$61.22	$55.80	$67.46	$58.10	$66.33
Max Pain	$55.80	$55.00	$60.00	$55.00	$60.00
ATM IV	34.6%	29.7%	41.7%	38.0%	30.8%
Expected Move	10.7%	9.6%	12.4%	10.9%	10.0%
HV 20d	36.8%	24.7%	51.4%	24.7%	49.0%
HV 60d	42.7%	40.4%	47.0%	40.5%	43.9%
IV Rank	30.6%	15.9%	51.6%	40.6%	19.2%
IV Percentile	57.4%	21.4%	82.9%	74.2%	31.7%
Term Structure	2.3%	-2.4%	4.3%	-2.4%	3.9%
VWIV	39.5%	33.6%	49.0%	43.0%	33.7%
Skew 25d	5.6%	4.1%	7.2%	6.9%	4.1%
Skew 10d	12.1%	8.2%	17.0%	13.7%	10.9%
Call IV 25d	32.7%	29.0%	38.5%	35.1%	30.6%
Put IV 25d	38.4%	33.8%	45.5%	42.0%	34.7%
Bid-Ask Spread %	23.27	18.11	31.24	22.06	19.78
Gamma HHI	0.14	0.11	0.17	0.15	0.13
Net GEX	5.4M	3.9M	6.8M	5.6M	6.4M
Net DEX	-334.5M	-492.8M	-180.9M	-268.1M	-460.4M
Net VEX	-1.3M	-3.2M	-1.0M	-1.2M	-1.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.28	0.15	4.89	3.89	0.27
Total Volume	14,761.591	2,748	44,171	17,966	3,679
Total OI	150,696	124,102	226,096	143,380	161,551

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
2014-12-01	$58.10	$55.00	38.0%	10.9%	24.7%	40.6%	43.0%	6.9%	-2.4%	5.6M	-268.1M	-1.2M	3.89	22.06	3,677	14,289	86,430	56,950
2014-12-02	$58.08	$55.00	36.7%	10.9%	24.7%	36.9%	42.4%	5.0%	-0.9%	5.6M	-277.0M	-1.2M	4.28	22.46	3,381	14,481	87,127	57,470
2014-12-03	$59.93	$55.00	35.1%	10.4%	26.3%	31.9%	42.0%	6.8%	-0.9%	5.5M	-314.0M	-1.2M	4.89	19.57	2,838	13,877	88,080	58,004
2014-12-04	$61.16	$55.00	34.9%	10.5%	25.9%	31.3%	36.8%	6.0%	-0.6%	5.0M	-346.1M	-1.1M	0.15	19.94	2,391	357	87,966	58,387
2014-12-05	$63.00	$55.00	32.3%	10.3%	27.3%	23.6%	37.8%	5.0%	2.2%	4.7M	-387.6M	-1.1M	1.47	23.60	9,156	13,482	88,811	58,675
2014-12-08	$61.97	$55.00	33.8%	10.4%	28.3%	28.3%	38.7%	4.3%	2.4%	5.4M	-371.3M	-1.1M	1.29	18.11	2,584	3,325	89,762	58,650
2014-12-09	$62.16	$55.00	34.6%	10.5%	28.3%	30.6%	36.0%	4.9%	3.1%	5.3M	-371.8M	-1.1M	1.03	18.97	3,511	3,608	89,658	58,858
2014-12-10	$61.39	$55.00	35.1%	10.7%	28.8%	32.0%	38.7%	5.2%	2.3%	5.3M	-356.4M	-1.1M	1.39	23.34	2,731	3,803	89,627	58,889
2014-12-11	$62.12	$55.00	33.4%	10.5%	29.0%	27.0%	36.3%	5.1%	3.0%	5.2M	-373.9M	-1.1M	0.53	31.24	7,294	3,869	89,479	59,150
2014-12-12	$58.65	$55.00	39.2%	11.6%	36.0%	44.4%	42.1%	5.6%	1.4%	5.2M	-291.6M	-1.1M	1.43	29.72	3,947	5,658	87,873	59,158
2014-12-15	$57.53	$55.00	39.7%	11.9%	36.7%	45.7%	42.4%	6.7%	1.7%	5.1M	-259.2M	-1.1M	0.40	27.90	9,272	3,695	87,632	60,434
2014-12-16	$55.80	$55.00	41.7%	12.4%	37.3%	51.6%	45.9%	7.0%	1.6%	5.3M	-180.9M	-1.1M	0.55	25.39	8,146	4,516	82,095	60,982
2014-12-17	$57.52	$55.00	38.1%	11.9%	38.4%	41.1%	49.0%	6.9%	3.6%	4.8M	-206.7M	-1.1M	0.64	23.78	6,464	4,151	79,218	61,705
2014-12-18	$58.29	$55.00	36.9%	11.5%	38.8%	37.4%	46.9%	7.2%	3.2%	6.3M	-350.0M	-3.2M	0.70	26.89	6,736	4,724	145,777	80,319
2014-12-19	$58.18	$55.00	34.9%	11.2%	38.8%	31.5%	40.6%	5.9%	4.1%	3.9M	-230.0M	-1.1M	0.17	22.95	14,065	2,398	78,885	62,294
2014-12-22	$58.62	$55.00	34.3%	11.0%	38.8%	29.7%	40.7%	5.9%	4.1%	5.0M	-203.2M	-1.1M	2.77	25.13	2,427	6,713	69,395	54,707
2014-12-23	$64.49	$55.00	30.9%	9.9%	51.4%	19.7%	33.6%	5.2%	3.8%	4.0M	-302.2M	-1.0M	0.27	22.10	34,902	9,269	70,123	55,973
2014-12-24	$64.23	$57.50	29.8%	9.8%	50.9%	16.3%	35.6%	5.6%	4.3%	6.8M	-407.1M	-1.4M	0.26	25.33	28,299	7,469	98,900	59,348
2014-12-26	$65.05	$57.50	31.0%	10.1%	50.2%	19.8%	36.8%	5.2%	4.2%	6.7M	-430.8M	-1.4M	0.22	22.87	26,521	5,829	99,094	59,408
2014-12-29	$66.82	$57.50	29.7%	9.6%	50.6%	15.9%	35.9%	4.5%	3.9%	5.9M	-478.3M	-1.3M	1.20	21.87	5,414	6,512	99,147	59,560
2014-12-30	$67.46	$60.00	30.7%	9.9%	48.3%	19.0%	33.7%	4.8%	3.6%	5.6M	-492.8M	-1.3M	0.27	18.87	4,173	1,122	99,427	60,334
2014-12-31	$66.33	$60.00	30.8%	10.0%	49.0%	19.2%	33.7%	4.1%	3.9%	6.4M	-460.4M	-1.3M	0.27	19.78	2,908	771	100,517	61,034