CAR Options History — February 2015

In February 2015, CAR traded between $58.37 and $64.83. ATM implied volatility averaged 37.4%, placing in the 38.9% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 9.0% (HV 20d: 28.4%). Max pain ranged from $60.00 to $62.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 1.06.

Notable Days

2015-02-19: Highest Volume — 25,915 contracts
2015-02-11: Largest IV drop — 23.6% change
2015-02-10: Highest IV Rank — 73.6%
2015-02-02: Largest Expected Move — 12.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$61.50	$58.37	$64.83	$58.37	$60.65
Max Pain	$62.11	$60.00	$62.50	$60.00	$62.50
ATM IV	37.4%	28.9%	49.0%	44.3%	28.9%
Expected Move	10.1%	8.3%	12.7%	12.7%	8.3%
HV 20d	28.4%	26.3%	30.4%	30.1%	26.6%
HV 60d	37.0%	36.5%	38.1%	36.5%	36.8%
IV Rank	38.9%	13.6%	73.6%	59.5%	13.6%
IV Percentile	59.8%	17.9%	93.7%	85.7%	17.9%
Term Structure	-0.8%	-5.8%	3.4%	-5.2%	1.0%
VWIV	35.3%	28.6%	44.8%	44.8%	28.6%
Skew 25d	3.7%	2.0%	6.1%	5.4%	2.0%
Skew 10d	7.3%	3.3%	12.3%	10.8%	3.3%
Call IV 25d	34.0%	27.9%	42.6%	41.6%	27.9%
Put IV 25d	37.7%	29.9%	47.0%	47.0%	29.9%
Bid-Ask Spread %	21.62	16.33	27.67	20.28	23.32
Gamma HHI	0.31	0.23	0.83	0.23	0.33
Net GEX	14.4M	7.7M	76.4M	7.7M	11.6M
Net DEX	-197.6M	-379.9M	-107.9M	-107.9M	-139.2M
Net VEX	-1.6M	-1.7M	-1.6M	-1.6M	-1.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.06	0.23	2.53	0.40	0.66
Total Volume	10,583.053	1,100	25,915	1,100	11,019
Total OI	156,859.368	146,235	185,538	152,687	164,463

Daily Data (19 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
2015-02-02	$58.37	$60.00	44.3%	12.7%	30.1%	59.5%	44.8%	5.4%	-5.2%	7.7M	-107.9M	-1.6M	0.40	20.28	788	312	101,129	51,558
2015-02-03	$59.95	$60.00	42.6%	12.2%	30.1%	54.3%	42.3%	4.3%	-4.8%	9.2M	-157.2M	-1.7M	2.53	19.12	1,989	5,033	101,178	51,471
2015-02-04	$60.51	$60.00	43.8%	12.5%	30.4%	57.8%	43.7%	3.3%	-5.8%	9.7M	-175.8M	-1.7M	1.52	17.26	2,008	3,051	101,279	51,517
2015-02-05	$61.01	$62.50	43.5%	10.6%	27.9%	57.2%	37.1%	4.0%	0.3%	10.2M	-196.5M	-1.7M	0.83	22.85	3,667	3,048	101,506	51,618
2015-02-06	$61.77	$62.50	43.8%	10.4%	28.1%	57.9%	37.1%	3.4%	-1.1%	10.7M	-216.6M	-1.7M	1.86	23.00	1,646	3,067	101,144	51,718
2015-02-09	$62.58	$62.50	48.7%	10.6%	28.4%	72.7%	36.4%	4.0%	-1.0%	11.2M	-241.6M	-1.6M	2.10	19.32	1,459	3,059	101,179	51,811
2015-02-10	$62.38	$62.50	49.0%	10.5%	28.0%	73.6%	35.7%	5.5%	-0.9%	11.2M	-234.9M	-1.6M	2.30	23.63	1,280	2,939	101,220	51,855
2015-02-11	$61.24	$62.50	37.5%	10.7%	28.4%	39.2%	41.1%	3.1%	-1.1%	10.7M	-200.5M	-1.6M	2.53	27.67	1,230	3,114	101,241	52,002
2015-02-12	$61.24	$62.50	37.3%	10.7%	27.8%	38.5%	34.7%	5.4%	-1.5%	11.1M	-196.1M	-1.6M	0.49	23.66	6,448	3,149	101,197	51,837
2015-02-13	$62.33	$62.50	35.0%	10.0%	26.3%	31.7%	33.0%	6.1%	-0.2%	12.2M	-237.8M	-1.6M	1.01	25.21	2,895	2,925	102,631	51,872
2015-02-17	$62.98	$62.50	37.4%	10.7%	26.4%	38.9%	35.9%	6.0%	-1.9%	12.8M	-257.9M	-1.6M	0.89	24.87	3,904	3,464	102,910	51,914
2015-02-18	$62.72	$62.50	36.8%	10.5%	26.5%	37.0%	37.7%	2.5%	-0.8%	13.3M	-258.7M	-1.6M	0.54	21.27	15,663	8,380	105,014	52,432
2015-02-19	$64.83	$62.50	29.4%	8.4%	28.7%	15.1%	30.2%	3.0%	3.2%	18.1M	-379.9M	-1.6M	0.75	25.90	14,838	11,077	113,874	56,421
2015-02-20	$62.45	$62.50	30.4%	8.7%	30.3%	18.1%	30.6%	2.5%	3.4%	76.4M	-220.8M	-1.7M	0.23	17.44	10,551	2,421	119,830	65,708
2015-02-23	$61.55	$62.50	30.5%	8.7%	28.7%	18.3%	30.5%	3.1%	0.5%	8.4M	-146.4M	-1.6M	0.23	16.33	16,401	3,782	92,993	53,242
2015-02-24	$60.47	$62.50	31.1%	8.9%	29.4%	20.2%	30.8%	2.3%	0.3%	8.7M	-121.5M	-1.6M	0.43	21.25	10,569	4,565	98,266	53,488
2015-02-25	$60.57	$62.50	30.4%	8.7%	29.4%	18.0%	29.8%	2.1%	0.8%	9.2M	-125.2M	-1.7M	0.24	20.34	16,623	3,970	100,120	55,049
2015-02-26	$60.82	$62.50	29.9%	8.6%	27.9%	16.7%	30.1%	2.3%	0.2%	11.3M	-139.6M	-1.7M	0.62	18.16	6,623	4,121	107,973	55,668
2015-02-27	$60.65	$62.50	28.9%	8.3%	26.6%	13.6%	28.6%	2.0%	1.0%	11.6M	-139.2M	-1.7M	0.66	23.32	6,641	4,378	108,301	56,162