CAR Options History — August 2015

In August 2015, CAR traded between $40.33 and $46.95. ATM implied volatility averaged 46.7%, placing in the 62.4% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded below realized volatility by 1.5% (HV 20d: 48.2%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.87.

Notable Days

  • 2015-08-03: Highest Volume — 35,094 contracts
  • 2015-08-04: Largest IV drop — 36.1% change
  • 2015-08-24: Highest IV Rank — 100.0%
  • 2015-08-25: Largest Expected Move — 18.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.59$40.33$46.95$43.35$44.16
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV46.7%35.8%63.1%56.1%47.2%
Expected Move13.2%10.3%18.1%16.1%13.5%
HV 20d48.2%34.9%57.4%35.3%57.4%
HV 60d39.2%35.7%42.4%37.1%42.4%
IV Rank62.4%32.6%100.0%94.4%58.0%
IV Percentile87.4%63.5%100.0%99.2%88.5%
Term Structure-2.9%-21.4%2.1%-11.5%-1.9%
VWIV46.4%37.9%58.4%56.7%53.9%
Skew 25d5.4%3.0%11.6%4.7%8.1%
Skew 10d12.3%6.2%27.8%8.2%22.9%
Call IV 25d44.0%35.3%55.8%54.6%45.6%
Put IV 25d49.4%39.1%67.2%59.3%53.7%
Bid-Ask Spread %37.9512.7078.4816.9178.48
Gamma HHI0.150.130.240.160.14
Net GEX1.3M-679.3K4.4M1.7M1.3M
Net DEX-4.3M-100.6M88.6M1.6M-24.7M
Net VEX-666.5K-768.2K-538.4K-718.1K-608.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.322.230.960.51
Total Volume10,310.90579135,09435,0946,927
Total OI153,507.23899,126182,417151,912100,354

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-08-03$43.35$45.0056.1%16.1%35.3%94.4%56.7%4.7%-11.5%1.7M1.6M-718.1K0.9616.9117,92217,17299,82652,086
2015-08-04$45.00$45.0035.8%10.3%37.4%32.6%37.9%3.8%-1.0%1.8M-21.8M-768.2K0.9316.529,6498,941108,95368,033
2015-08-05$43.81$45.0040.2%11.5%35.0%46.0%40.4%3.5%-3.0%1.2M5.1M-717.5K1.2312.705,0006,151106,76862,968
2015-08-06$44.50$45.0038.2%10.5%34.9%40.0%37.9%3.7%2.1%1.8M-8.8M-734.2K0.7727.905,6704,354108,57764,548
2015-08-07$42.21$45.0040.6%10.9%39.8%47.3%38.9%3.0%1.1%-399.5K55.6M-650.2K0.9716.923,4383,343106,19664,534
2015-08-10$44.11$45.0041.3%11.1%42.7%49.2%39.0%4.2%0.7%960.8K4.5M-693.2K0.4319.617,7173,303107,18365,041
2015-08-11$41.64$45.0046.6%12.2%47.7%65.4%42.4%3.5%-0.5%-679.3K66.8M-646.2K2.1222.17279591110,28365,621
2015-08-12$43.42$45.0042.8%12.3%49.9%54.0%43.2%4.5%0.1%487.8K20.8M-699.2K0.7024.673,4922,431110,34065,621
2015-08-13$43.41$45.0042.6%12.2%49.8%53.5%42.5%5.6%0.5%182.8K23.2M-683.7K1.1420.252,1722,472110,00665,700
2015-08-14$44.02$45.0041.9%12.0%49.5%51.3%42.9%5.0%0.1%893.2K447.5K-693.8K1.2428.113,6704,548110,14565,782
2015-08-17$46.95$45.0043.1%12.3%50.9%54.8%44.4%3.0%-0.7%4.4M-100.6M-718.9K0.3222.3012,1493,901110,69067,732
2015-08-18$46.45$45.0042.6%12.2%50.0%53.4%44.3%3.2%-0.2%4.1M-95.1M-752.2K0.4421.608,5223,777114,64867,769
2015-08-19$45.85$45.0044.1%12.7%49.8%58.0%44.6%3.0%0.3%2.6M-71.3M-711.2K2.2319.66245546113,00769,133
2015-08-20$44.33$45.0046.5%13.3%50.2%65.3%47.5%3.6%-1.4%244.2K-9.9M-680.3K0.3522.527,1232,496112,99168,603
2015-08-21$42.25$45.0051.5%14.8%53.3%80.4%51.6%5.1%-2.7%957.7K88.6M-627.7K1.5768.825,5178,646112,94468,595
2015-08-24$41.07$45.0062.4%17.9%54.4%100.0%58.4%11.5%-6.8%821.1K-1.6M-587.9K0.3274.657,8802,54866,87532,475
2015-08-25$40.33$45.0063.1%18.1%54.2%100.0%52.5%11.2%-21.4%774.4K3.6M-559.8K0.6874.466,3534,30967,91132,746
2015-08-26$41.16$45.0052.3%15.0%54.4%71.5%53.9%6.7%-5.3%752.8K7.4M-538.4K0.4767.685,6452,64566,41632,710
2015-08-27$43.44$45.0051.4%14.7%57.3%69.0%50.4%11.6%-5.0%1.1M-14.2M-595.6K0.4773.935,3112,48666,70732,926
2015-08-28$44.00$45.0050.4%14.4%57.4%66.4%50.6%5.8%-3.6%1.3M-20.4M-611.3K0.4867.124,8682,32067,18233,027
2015-08-31$44.16$45.0047.2%13.5%57.4%58.0%53.9%8.1%-1.9%1.3M-24.7M-608.0K0.5178.484,5822,34567,30633,048