CAR Options History — June 2015

In June 2015, CAR traded between $44.15 and $52.24. ATM implied volatility averaged 32.3%, placing in the 23.8% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 2.6% (HV 20d: 34.9%). Max pain ranged from $47.50 to $52.50. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 3.86.

Notable Days

  • 2015-06-16: Highest Volume — 19,590 contracts
  • 2015-06-08: Largest IV spike — 8.8% change
  • 2015-06-29: Highest IV Rank — 36.6%
  • 2015-06-29: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.36$44.15$52.24$51.24$44.15
Max Pain$51.36$47.50$52.50$52.50$47.50
ATM IV32.3%29.0%36.6%33.2%36.1%
Expected Move9.2%8.3%10.5%9.5%10.4%
HV 20d34.9%21.9%47.1%46.8%30.3%
HV 60d32.2%31.1%33.8%32.0%33.8%
IV Rank23.8%13.8%36.6%26.5%35.1%
IV Percentile47.9%24.2%73.0%54.4%71.0%
Term Structure3.3%-0.9%6.2%-0.7%3.3%
VWIV32.4%29.7%36.8%36.0%36.3%
Skew 25d2.6%1.0%4.0%4.0%2.8%
Skew 10d5.7%1.7%8.6%7.9%5.8%
Call IV 25d31.7%29.4%37.1%31.4%36.3%
Put IV 25d34.3%31.2%39.1%35.4%39.1%
Bid-Ask Spread %22.3515.1928.1324.1222.81
Gamma HHI0.170.100.360.140.11
Net GEX114.1K-2.6M1.3M651.6K465.4K
Net DEX9.8M-23.6M40.6M-7.0M40.6M
Net VEX-848.7K-1.2M-528.0K-1.2M-528.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.860.378.468.460.37
Total Volume12,860.0911,98519,59011,1249,736
Total OI109,044.18299,267119,019105,988110,416

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-06-01$51.24$52.5033.2%9.5%46.8%26.5%36.0%4.0%-0.7%651.6K-7.0M-1.2M8.4624.121,1769,94856,96549,023
2015-06-02$51.99$52.5031.6%9.1%47.1%21.7%31.9%3.2%-0.5%993.1K-17.5M-1.2M3.5224.644391,54656,96349,013
2015-06-03$52.24$52.5031.6%9.1%45.4%21.6%32.2%3.3%-0.9%1.1M-23.6M-1.2M7.4921.241,45410,88656,93148,921
2015-06-04$51.11$50.0033.3%9.2%45.3%26.8%31.2%3.5%3.2%419.9K-5.1M-1.2M7.7722.171,48111,50857,08148,965
2015-06-05$51.26$50.0030.4%8.7%45.1%18.2%31.5%3.6%2.9%367.9K-5.3M-1.2M7.5921.951,51511,50657,13848,796
2015-06-08$50.10$50.0033.1%9.0%45.6%26.1%31.0%3.1%3.5%-341.4K12.6M-1.1M3.9223.993,24612,73157,07548,850
2015-06-09$49.80$52.5033.3%9.0%45.6%26.6%31.5%3.3%3.5%-443.0K19.1M-1.1M2.4515.194,76411,65959,25350,061
2015-06-10$50.75$52.5031.4%9.0%43.7%21.0%31.3%2.8%3.5%5992.6M-1.2M2.3522.824,87011,42060,13850,603
2015-06-11$50.48$52.5031.4%9.0%43.5%20.9%30.6%2.9%3.5%187.7K3.5M-1.1M2.9626.713,73111,04262,72250,651
2015-06-12$50.47$52.5031.7%9.1%43.2%21.9%31.5%2.5%3.4%-35.6K440.4K-696.6K3.3325.513,29010,95771,54741,413
2015-06-15$50.11$52.5032.0%9.2%22.5%23.0%32.4%2.3%3.5%-703.4K4.3M-678.6K3.1024.443,53110,95572,58741,444
2015-06-16$49.67$52.5032.5%9.3%22.2%24.3%33.1%3.0%3.4%-1.5M14.5M-655.4K3.1818.794,68914,90172,74841,440
2015-06-17$49.48$52.5032.1%9.2%21.9%23.1%33.0%2.6%3.8%-1.7M20.6M-654.9K2.9028.133,53510,26074,63842,729
2015-06-18$50.70$52.5031.6%9.1%24.3%21.7%31.3%2.2%4.3%-2.6M-9.9M-694.8K3.2421.793,24510,51975,93043,089
2015-06-19$48.88$52.5029.0%8.3%26.9%13.8%29.7%1.0%6.2%1.0M37.2M-634.8K3.5022.643,06210,72375,44743,203
2015-06-22$48.72$52.5030.9%8.9%26.9%19.4%30.5%1.5%5.4%784.5K12.7M-614.7K3.0120.973,44710,36863,54035,727
2015-06-23$49.39$52.5029.9%8.6%25.1%16.5%30.1%3.0%4.9%1.3M4.0M-635.8K5.8723.741,74210,23165,27436,255
2015-06-24$48.33$50.0030.8%8.8%25.2%19.1%30.9%2.8%4.8%905.7K16.2M-598.9K7.1021.691,49710,63565,59836,279
2015-06-25$45.80$50.0032.9%9.4%30.6%25.6%33.5%1.4%5.0%206.9K37.8M-533.5K1.4319.007,68610,95365,63336,798
2015-06-26$46.23$50.0035.7%10.2%30.3%33.7%35.7%2.1%3.5%696.1K28.3M-576.9K0.5116.884,6752,38770,41837,068
2015-06-29$45.03$47.5036.6%10.5%31.0%36.6%36.8%1.5%3.3%756.0K30.2M-570.1K0.8622.442,6712,30573,39837,204
2015-06-30$44.15$47.5036.1%10.4%30.3%35.1%36.3%2.8%3.3%465.4K40.6M-528.0K0.3722.817,1302,60673,46336,953