CAR Options History — January 2015

In January 2015, CAR traded between $57.33 and $66.99. ATM implied volatility averaged 38.9%, placing in the 43.3% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded below realized volatility by 3.2% (HV 20d: 42.1%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 1.11.

Notable Days

  • 2015-01-05: Highest Volume — 54,042 contracts
  • 2015-01-05: Largest IV spike — 21.6% change
  • 2015-01-15: Highest IV Rank — 60.3%
  • 2015-01-15: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.60$57.33$66.99$66.77$57.33
Max Pain$60.00$60.00$60.00$60.00$60.00
ATM IV38.9%30.9%44.6%30.9%42.3%
Expected Move11.4%10.0%12.8%10.0%12.1%
HV 20d42.1%29.1%50.2%48.1%29.1%
HV 60d38.5%35.9%43.3%42.6%36.4%
IV Rank43.3%19.4%60.3%19.4%53.4%
IV Percentile71.7%32.5%86.9%32.5%82.9%
Term Structure-2.3%-5.4%4.1%4.1%-3.7%
VWIV40.3%36.5%46.1%36.5%42.4%
Skew 25d5.1%2.4%8.4%7.3%2.4%
Skew 10d10.4%4.4%17.4%17.4%4.4%
Call IV 25d37.6%29.4%42.2%29.4%41.9%
Put IV 25d42.7%36.7%47.5%36.7%44.3%
Bid-Ask Spread %24.8017.5729.6520.9022.14
Gamma HHI0.230.130.290.130.22
Net GEX7.9M6.3M9.9M6.5M6.8M
Net DEX-311.7M-499.4M-90.0M-462.1M-93.1M
Net VEX-1.6M-1.8M-1.3M-1.3M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.042.811.182.74
Total Volume12,138.557054,0427,9556,743
Total OI162,289.25136,249192,804162,407152,344

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-01-02$66.77$60.0030.9%10.0%48.1%19.4%36.5%7.3%4.1%6.5M-462.1M-1.3M1.1820.903,6534,302100,89261,515
2015-01-05$64.34$60.0037.5%10.8%50.1%39.2%36.6%6.1%-1.6%6.6M-412.3M-1.4M0.0617.5750,8733,169101,05861,579
2015-01-06$64.29$60.0037.1%10.9%49.0%37.9%37.3%5.2%-1.1%9.9M-499.4M-1.8M0.3023.083,058921129,04462,918
2015-01-07$66.36$60.0033.6%10.4%49.7%27.5%38.3%6.2%-0.7%8.2M-472.8M-1.6M0.5424.853,1001,673112,61763,436
2015-01-08$66.99$60.0031.6%10.4%49.8%21.7%36.8%3.8%-1.3%8.0M-490.9M-1.6M2.3226.903,0036,970113,42464,450
2015-01-09$66.03$60.0033.4%10.5%49.9%26.9%38.7%4.2%-0.3%8.0M-470.8M-1.6M1.4823.725,0797,509113,53664,400
2015-01-12$64.96$60.0037.0%10.7%50.2%37.8%38.3%5.6%-1.1%8.1M-440.8M-1.6M0.9723.255,8635,675114,90865,049
2015-01-13$64.21$60.0037.3%10.5%45.4%38.6%40.3%5.9%-0.5%8.3M-426.8M-1.6M1.5026.604,0716,116116,36865,229
2015-01-14$63.08$60.0043.0%12.3%45.3%55.5%43.5%8.4%-5.4%8.2M-394.2M-1.6M0.5629.6512,1216,751116,39365,641
2015-01-15$61.15$60.0044.6%12.8%45.4%60.3%46.1%5.3%-5.0%9.9M-370.7M-1.6M1.1018.945,8956,511124,08666,416
2015-01-16$61.07$60.0039.7%11.4%44.4%45.6%40.3%4.9%-1.7%8.4M-365.0M-1.6M0.2028.5522,3874,464125,76667,038
2015-01-20$61.41$60.0038.6%11.1%44.2%42.4%39.0%5.0%-1.9%7.9M-189.1M-1.7M0.4928.3569534289,91546,334
2015-01-21$61.17$60.0043.4%12.5%44.3%56.9%43.5%4.7%-4.6%7.5M-185.7M-1.7M1.6227.321,3502,18690,15146,564
2015-01-22$63.01$60.0039.9%11.4%45.3%46.2%40.3%5.1%-2.9%8.5M-228.7M-1.7M1.4723.403,9495,79690,64946,630
2015-01-23$61.16$60.0041.1%11.8%31.2%50.0%41.9%4.8%-3.4%8.2M-184.9M-1.7M2.8127.701,8675,24793,07948,781
2015-01-26$60.91$60.0042.0%12.0%31.2%52.6%42.1%4.2%-4.3%8.2M-170.2M-1.7M0.0426.492,48611193,14248,849
2015-01-27$60.65$60.0041.5%11.9%30.7%51.2%40.9%5.1%-4.0%7.9M-160.7M-1.7M0.5525.7836820292,33648,863
2015-01-28$59.15$60.0041.5%11.9%29.4%51.1%42.0%4.0%-3.5%7.1M-125.7M-1.6M1.9625.182,7305,34592,39448,828
2015-01-29$57.88$60.0041.9%12.0%29.3%52.3%42.0%3.9%-3.4%6.3M-90.0M-1.5M0.3525.6122,4237,76692,06549,098
2015-01-30$57.33$60.0042.3%12.1%29.1%53.4%42.4%2.4%-3.7%6.8M-93.1M-1.6M2.7422.141,8014,942100,89251,452