CAR Options History — May 2015

In May 2015, CAR traded between $50.40 and $56.31. ATM implied volatility averaged 33.1%, placing in the 26.0% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 1.6% (HV 20d: 34.6%). Max pain ranged from $50.00 to $57.50. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 5.04.

Notable Days

  • 2015-05-15: Highest Volume — 38,200 contracts
  • 2015-05-05: Largest IV drop — 32.1% change
  • 2015-05-04: Highest IV Rank — 73.7%
  • 2015-05-01: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.40$50.40$56.31$55.33$51.06
Max Pain$53.50$50.00$57.50$57.50$52.50
ATM IV33.1%29.1%49.1%39.8%31.9%
Expected Move8.9%8.3%11.4%11.4%9.1%
HV 20d34.6%18.3%47.5%18.5%47.5%
HV 60d27.8%22.9%31.9%22.9%31.9%
IV Rank26.0%14.3%73.7%46.0%22.5%
IV Percentile50.0%26.6%94.8%81.0%48.4%
Term Structure0.9%-8.5%3.7%-8.5%0.3%
VWIV31.3%28.2%39.7%39.7%31.8%
Skew 25d3.5%2.1%5.0%2.4%2.1%
Skew 10d7.4%5.7%10.0%5.7%5.7%
Call IV 25d29.9%26.8%39.4%39.4%31.3%
Put IV 25d33.4%30.4%41.8%41.8%33.5%
Bid-Ask Spread %22.4614.8431.5514.8421.43
Gamma HHI0.180.130.470.150.14
Net GEX193.6K-4.6M4.3M3.0M525.0K
Net DEX-2.6M-73.2M82.9M-13.2M-4.0M
Net VEX-1.3M-1.4M-981.4K-1.1M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.040.4912.960.5012.22
Total Volume12,849.61,30638,2009,34716,147
Total OI139,028101,028181,983149,689105,870

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-05-01$55.33$57.5039.8%11.4%18.5%46.0%39.7%2.4%-8.5%3.0M-13.2M-1.1M0.5014.846,2113,13695,34354,346
2015-05-04$55.76$55.0049.1%9.7%18.3%73.7%33.2%4.4%-0.5%4.3M-28.6M-1.1M1.1021.205,2935,80498,04854,329
2015-05-05$53.75$55.0033.3%8.5%21.5%26.8%29.2%3.8%2.8%-905.8K34.5M-984.1K2.2516.843,2217,23698,44158,310
2015-05-06$52.47$55.0031.5%8.4%22.9%21.3%29.2%3.0%3.7%-2.2M62.9M-981.4K2.0521.822,7425,61698,74360,752
2015-05-07$53.11$55.0030.5%8.3%23.0%18.4%28.2%2.9%3.3%-1.6M40.1M-1.4M1.1219.164,2254,746107,91465,705
2015-05-08$53.45$55.0029.1%8.3%23.2%14.3%29.9%3.8%3.4%-1.6M34.8M-1.4M1.1821.70631747107,14265,822
2015-05-11$53.32$55.0034.4%8.3%23.2%29.8%30.3%2.9%3.5%-1.8M37.4M-1.4M9.0524.331301,176107,18666,282
2015-05-12$51.07$55.0041.2%8.7%27.5%50.3%30.2%4.0%3.5%-3.6M79.1M-1.3M1.2919.007,2449,330107,23467,237
2015-05-13$50.40$52.5031.6%9.1%26.7%21.7%31.3%3.6%2.8%-4.6M82.9M-1.4M0.9319.036,1025,685111,71370,270
2015-05-14$51.05$52.5031.3%9.0%27.1%20.7%30.8%3.3%3.3%-4.2M81.3M-1.3M2.2816.415,79213,181106,84071,303
2015-05-15$56.31$50.0031.7%9.1%45.4%22.0%32.9%2.8%2.1%1.8M-68.3M-1.3M1.1627.9317,66820,532110,49662,792
2015-05-18$55.42$52.5032.1%9.2%45.8%23.0%32.1%3.3%-0.6%2.4M-73.2M-1.3M0.8631.5587074454,90746,121
2015-05-19$54.56$52.5031.3%9.0%46.1%20.6%32.1%3.5%-0.4%2.1M-61.5M-1.3M0.4929.441,84591255,31046,733
2015-05-20$54.45$52.5030.2%8.7%46.1%17.4%31.7%5.0%-0.1%2.0M-55.9M-1.3M11.8431.101,30915,49754,88647,437
2015-05-21$54.42$52.5029.8%8.6%45.4%16.4%30.8%3.9%0.1%2.0M-56.6M-1.3M4.2727.083,43414,66755,00547,723
2015-05-22$54.31$52.5029.5%8.4%44.8%15.3%28.9%4.5%-0.1%2.2M-57.7M-1.3M10.2725.721,45514,94056,67247,723
2015-05-26$52.38$52.5032.1%9.2%46.4%23.2%33.2%3.5%-1.1%1.3M-28.7M-1.3M12.1222.651,25115,16756,65948,159
2015-05-27$53.05$52.5030.7%8.8%46.7%18.9%30.5%2.9%0.6%1.6M-34.6M-1.3M12.9620.251,17015,16156,73048,701
2015-05-28$52.35$52.5030.6%8.8%46.9%18.7%30.6%3.7%0.1%1.2M-23.4M-1.3M12.9017.761,14914,82656,84548,831
2015-05-29$51.06$52.5031.9%9.1%47.5%22.5%31.8%2.1%0.3%525.0K-4.0M-1.2M12.2221.431,22114,92656,94248,928