CAR Options History — March 2015

In March 2015, CAR traded between $56.52 and $61.90. ATM implied volatility averaged 27.9%, placing in the 10.6% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 2.8% (HV 20d: 25.0%). Max pain ranged from $60.00 to $62.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 2.02.

Notable Days

  • 2015-03-04: Highest Volume — 24,988 contracts
  • 2015-03-31: Largest IV drop — 8.0% change
  • 2015-03-10: Highest IV Rank — 16.0%
  • 2015-03-16: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.19$56.52$61.90$61.90$59.07
Max Pain$60.34$60.00$62.50$62.50$60.00
ATM IV27.9%25.1%29.7%28.4%25.1%
Expected Move8.0%7.2%8.5%8.1%7.2%
HV 20d25.0%22.2%28.7%26.9%24.5%
HV 60d32.6%26.7%37.0%37.0%27.4%
IV Rank10.6%2.3%16.0%12.2%2.3%
IV Percentile11.3%0.4%25.4%13.9%0.4%
Term Structure3.3%-0.2%5.1%0.7%5.1%
VWIV28.2%25.2%33.7%28.2%25.2%
Skew 25d2.8%1.8%3.7%2.4%3.1%
Skew 10d5.7%4.3%8.1%6.2%5.7%
Call IV 25d26.9%25.0%28.4%28.4%25.0%
Put IV 25d29.7%27.9%31.2%30.8%28.0%
Bid-Ask Spread %22.5518.1525.9022.5021.02
Gamma HHI0.310.260.340.340.33
Net GEX9.0M4.9M13.4M13.4M8.3M
Net DEX-75.0M-182.3M-13.2M-182.3M-84.2M
Net VEX-1.4M-1.7M-1.2M-1.7M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.020.0923.002.041.80
Total Volume7,551.04534024,9887,97213,513
Total OI163,090.682136,439179,902165,174138,327

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-03-02$61.90$62.5028.4%8.1%26.9%12.2%28.2%2.4%0.7%13.4M-182.3M-1.7M2.0422.502,6225,350108,52656,648
2015-03-03$61.70$62.5028.7%8.2%26.5%12.9%28.8%2.5%-0.1%13.0M-174.4M-1.7M2.6518.152,0025,312108,94357,744
2015-03-04$60.98$62.5029.3%8.4%25.4%14.8%28.7%2.4%-0.2%12.4M-136.0M-1.6M0.8022.1813,91111,077108,91257,702
2015-03-05$60.69$60.0028.8%8.3%25.3%13.4%33.7%3.3%3.2%12.3M-135.4M-1.7M0.9120.6211,91910,839113,86659,807
2015-03-06$60.45$60.0027.6%8.1%25.1%9.6%32.4%2.6%3.6%12.0M-117.9M-1.6M0.8920.3712,24810,853114,04760,549
2015-03-09$60.39$60.0029.6%8.2%24.6%15.7%27.9%2.6%3.9%12.0M-118.9M-1.6M0.6621.66526348113,68960,494
2015-03-10$58.96$60.0029.7%8.3%25.3%16.0%29.6%2.9%3.6%8.9M-50.4M-1.5M1.0524.15942986113,91560,631
2015-03-11$60.10$60.0028.3%8.1%26.5%11.8%28.0%2.2%3.8%11.5M-98.0M-1.6M0.2224.762,093455114,07161,074
2015-03-12$60.00$60.0028.1%8.1%25.8%11.2%26.7%3.4%3.7%11.2M-85.7M-1.5M0.1123.441,101120115,73161,255
2015-03-13$58.23$60.0029.2%8.4%27.7%14.6%27.9%3.4%3.5%6.9M-16.5M-1.4M0.8923.732,4442,173116,71161,286
2015-03-16$58.32$60.0029.6%8.5%26.8%15.5%28.8%3.7%3.2%6.5M-13.2M-1.4M0.9124.07257235117,21962,411
2015-03-17$58.33$60.0029.2%8.4%26.3%14.4%28.5%3.1%2.6%6.2M-15.6M-1.4M1.6621.38128212117,30862,311
2015-03-18$60.02$60.0027.0%7.7%28.7%7.8%29.9%2.9%4.8%10.3M-70.6M-1.5M0.0925.218,161712117,26462,401
2015-03-19$58.93$60.0026.8%7.7%26.0%7.2%26.6%3.3%4.4%7.2M-28.0M-1.4M23.0024.962706,209117,18362,034
2015-03-20$58.88$60.0026.0%7.5%23.0%4.9%25.9%2.7%4.7%7.8M-22.0M-1.4M1.4820.98573848117,86062,042
2015-03-23$58.51$60.0027.5%7.9%22.6%9.4%25.9%2.3%3.6%7.4M-78.3M-1.3M0.0925.902,57723487,07749,362
2015-03-24$57.80$60.0026.4%7.6%22.2%6.0%27.4%2.5%4.2%6.7M-56.2M-1.3M1.4322.6623733887,94649,470
2015-03-25$57.01$60.0027.2%7.8%22.5%8.4%26.9%2.5%3.4%5.5M-36.8M-1.2M0.1223.962,42529088,05349,641
2015-03-26$56.52$60.0027.1%7.8%22.4%8.1%27.4%2.9%3.7%4.9M-27.8M-1.2M1.7318.365,2549,08088,07449,676
2015-03-27$56.81$60.0026.8%7.7%22.6%7.2%27.1%3.0%4.2%5.2M-29.1M-1.2M0.1023.862,84829688,15050,537
2015-03-30$58.54$60.0027.3%7.8%24.2%8.8%28.1%1.8%3.9%7.4M-72.4M-1.3M1.8122.095,0269,07987,48050,568
2015-03-31$59.07$60.0025.1%7.2%24.5%2.3%25.2%3.1%5.1%8.3M-84.2M-1.3M1.8021.024,8298,68487,58050,747