CAR Options History — July 2015 In July 2015, CAR traded between $40.49 and $44.31. ATM implied volatility averaged 42.3%, placing in the 52.7% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 8.4% (HV 20d: 33.9%). Max pain ranged from $45.00 to $47.50. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.87.
Notable Days 2015-07-14 : Highest Volume — 12,761 contracts2015-07-13 : Largest IV spike — 13.7% change2015-07-31 : Highest IV Rank — 79.0%2015-07-31 : Largest Expected Move — 14.6%Monthly Statistics Metric Avg Min Max Open Close Price $42.52 $40.49 $44.31 $43.97 $43.37 Max Pain $45.68 $45.00 $47.50 $45.00 $45.00 ATM IV 42.3% 34.6% 51.0% 34.6% 51.0% Expected Move 12.5% 9.9% 14.6% 9.9% 14.6% HV 20d 33.9% 30.0% 38.4% 30.0% 35.8% HV 60d 35.8% 33.6% 37.6% 33.6% 37.2% IV Rank 52.7% 30.5% 79.0% 30.5% 79.0% IV Percentile 84.0% 61.9% 95.6% 61.9% 95.6% Term Structure -4.0% -8.9% 4.5% 4.4% -8.9% VWIV 44.2% 36.6% 54.3% 36.6% 50.9% Skew 25d 3.2% 1.7% 4.6% 1.9% 1.7% Skew 10d 5.9% 3.4% 10.8% 3.4% 5.7% Call IV 25d 43.3% 36.1% 50.7% 36.1% 50.7% Put IV 25d 46.4% 38.0% 52.5% 38.0% 52.4% Bid-Ask Spread % 19.15 15.20 24.71 24.71 16.77 Gamma HHI 0.13 0.11 0.19 0.12 0.17 Net GEX 1.0M -77.4K 1.8M 1.1M 1.6M Net DEX 36.8M 4.5M 64.1M 33.0M 4.5M Net VEX -577.0K -718.2K -506.2K -546.2K -718.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.87 0.28 2.06 0.57 0.52 Total Volume 8,578.091 4,368 12,761 12,096 12,042 Total OI 130,642.091 114,648 148,564 114,648 148,564
Daily Data (22 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 2015-07-01 $43.97 $45.00 34.6% 9.9% 30.0% 30.5% 36.6% 1.9% 4.4% 1.1M 33.0M -546.2K 0.57 24.71 7,714 4,382 77,666 36,982 2015-07-02 $44.31 $45.00 35.1% 10.1% 30.1% 32.1% 39.2% 2.1% 4.5% 1.5M 21.8M -583.6K 0.32 16.02 6,340 2,042 82,141 36,437 2015-07-06 $43.60 $47.50 38.8% 12.1% 30.0% 43.0% 41.8% 3.1% -3.8% 1.4M 29.1M -551.6K 0.41 18.70 4,910 2,019 82,491 36,430 2015-07-07 $44.26 $47.50 37.4% 12.0% 30.5% 37.4% 42.2% 2.5% -3.6% 1.8M 17.3M -582.4K 0.39 23.45 5,166 2,023 83,566 36,335 2015-07-08 $42.33 $47.50 40.8% 12.4% 33.4% 47.8% 43.2% 2.1% -4.1% 1.2M 34.4M -525.4K 0.28 20.81 7,704 2,128 84,425 36,378 2015-07-09 $41.80 $47.50 38.2% 12.4% 31.9% 40.0% 44.6% 3.1% -4.4% 1.3M 36.1M -517.8K 0.66 20.03 3,100 2,034 87,164 36,459 2015-07-10 $42.45 $47.50 36.2% 12.2% 33.1% 33.8% 42.2% 3.4% -3.7% 1.5M 30.7M -535.6K 1.03 18.80 2,634 2,701 87,704 36,169 2015-07-13 $42.23 $47.50 41.1% 12.1% 33.0% 48.9% 41.4% 4.1% -3.6% 1.4M 34.7M -514.5K 0.56 19.03 5,924 3,317 87,869 36,646 2015-07-14 $42.45 $45.00 37.3% 11.9% 33.3% 37.1% 41.3% 3.9% -3.3% 1.5M 32.7M -533.5K 1.49 17.98 5,126 7,635 90,526 38,086 2015-07-15 $42.95 $45.00 41.7% 12.0% 34.1% 50.6% 45.3% 3.0% -3.6% 1.4M 35.1M -582.1K 1.38 23.22 1,832 2,536 91,805 42,846 2015-07-16 $43.41 $45.00 41.3% 11.8% 34.7% 49.4% 41.8% 3.0% -3.7% 1.4M 32.4M -584.2K 1.77 20.02 1,788 3,159 91,839 43,158 2015-07-17 $44.29 $45.00 40.7% 11.7% 34.2% 47.5% 41.7% 3.1% -3.6% 1.4M 21.6M -623.7K 0.72 23.27 2,919 2,099 91,853 44,011 2015-07-20 $42.14 $45.00 42.4% 12.2% 36.0% 52.7% 42.7% 3.5% -4.3% 709.4K 42.5M -531.2K 1.96 16.79 2,757 5,415 80,355 41,503 2015-07-21 $41.10 $45.00 43.8% 12.6% 36.5% 57.0% 42.6% 4.6% -4.7% 304.0K 61.2M -506.2K 2.06 18.76 3,932 8,102 81,507 44,575 2015-07-22 $42.25 $45.00 42.5% 12.2% 37.9% 53.0% 43.6% 3.5% -3.8% -77.4K 61.5M -584.2K 0.68 15.20 3,793 2,596 83,680 50,280 2015-07-23 $41.03 $45.00 44.8% 12.8% 38.4% 60.1% 44.3% 3.3% -4.8% 91.5K 62.4M -562.5K 0.36 16.02 7,905 2,866 85,821 48,483 2015-07-24 $40.63 $45.00 47.8% 13.7% 34.4% 69.2% 47.1% 3.5% -6.4% 194.8K 64.1M -555.5K 0.55 16.41 5,918 3,233 87,152 48,971 2015-07-27 $40.49 $45.00 49.2% 14.1% 33.9% 73.3% 46.9% 3.2% -6.5% 301.2K 59.8M -575.7K 0.80 19.18 6,201 4,947 89,452 49,551 2015-07-28 $41.33 $45.00 48.4% 13.9% 34.4% 71.1% 48.2% 2.9% -6.4% 497.1K 46.1M -631.8K 0.55 18.05 7,671 4,221 91,673 50,368 2015-07-29 $42.07 $45.00 48.3% 13.8% 34.7% 70.6% 54.3% 4.0% -6.5% 1.1M 32.6M -661.9K 1.19 20.49 3,053 3,628 95,762 50,554 2015-07-30 $42.97 $45.00 49.6% 14.2% 35.7% 74.8% 51.5% 4.2% -7.0% 1.4M 16.6M -686.3K 0.84 17.59 5,001 4,205 96,365 50,524 2015-07-31 $43.37 $45.00 51.0% 14.6% 35.8% 79.0% 50.9% 1.7% -8.9% 1.6M 4.5M -718.2K 0.52 16.77 7,905 4,137 97,375 51,189
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