CAR Options History — September 2015

In September 2015, CAR traded between $42.29 and $46.87. ATM implied volatility averaged 44.7%, placing in the 51.5% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded below realized volatility by 3.4% (HV 20d: 48.1%). Max pain ranged from $42.50 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.54.

Notable Days

  • 2015-09-11: Highest Volume — 8,641 contracts
  • 2015-09-28: Largest IV spike — 31.3% change
  • 2015-09-28: Highest IV Rank — 74.3%
  • 2015-09-28: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.98$42.29$46.87$42.56$43.71
Max Pain$43.93$42.50$45.00$45.00$45.00
ATM IV44.7%36.6%53.4%53.1%49.2%
Expected Move12.8%10.5%15.3%15.2%14.1%
HV 20d48.1%41.5%57.2%57.2%46.0%
HV 60d44.4%42.7%46.9%42.7%46.9%
IV Rank51.5%30.3%74.3%73.7%63.4%
IV Percentile80.2%55.2%96.4%96.0%90.1%
Term Structure0.8%-5.9%3.8%-2.3%-1.6%
VWIV45.7%37.6%56.9%53.8%44.3%
Skew 25d6.9%3.6%9.4%7.5%4.7%
Skew 10d14.6%9.2%23.1%17.4%9.2%
Call IV 25d42.0%35.9%52.1%52.1%45.0%
Put IV 25d48.9%42.1%59.6%59.6%49.7%
Bid-Ask Spread %46.5316.4285.3885.3876.69
Gamma HHI0.150.110.230.130.11
Net GEX1.6M711.7K3.0M1.1M1.2M
Net DEX-23.5M-71.4M3.3M-11.5M-12.4M
Net VEX-555.5K-598.9K-500.4K-576.3K-517.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.540.287.620.550.87
Total Volume5,141.191,0268,6417,1313,564
Total OI101,257.33397,442108,591100,34999,976

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-09-01$42.56$45.0053.1%15.2%57.2%73.7%53.8%7.5%-2.3%1.1M-11.5M-576.3K0.5585.384,6062,52567,31633,033
2015-09-02$43.29$45.0048.9%14.0%56.9%62.5%50.3%3.6%-0.4%1.1M-13.7M-583.9K1.7276.021,4612,51667,31332,854
2015-09-03$43.98$42.5045.8%12.7%56.9%54.3%48.6%8.1%0.8%1.3M-21.5M-594.6K1.8324.271,3842,53067,32032,844
2015-09-04$42.39$42.5049.7%13.5%55.2%64.7%49.5%9.1%0.2%988.6K-5.8M-554.7K1.4926.061,8072,68567,37532,833
2015-09-08$43.93$42.5043.6%12.5%54.4%48.5%43.7%7.7%1.6%1.3M-19.9M-567.5K7.6221.2311990767,71732,672
2015-09-09$43.94$42.5043.0%12.3%50.0%47.1%48.7%7.2%1.6%1.3M-21.5M-564.8K1.7518.441,7002,98267,71832,712
2015-09-10$43.98$42.5042.5%12.2%47.8%45.6%44.4%8.1%2.0%1.4M-22.1M-555.7K1.6522.361,6462,71867,78332,390
2015-09-11$44.77$42.5043.7%12.5%48.2%48.8%43.3%7.0%1.3%1.7M-31.3M-571.1K0.4722.535,8632,77867,80732,355
2015-09-14$44.01$42.5044.8%12.8%48.4%51.8%47.8%8.0%1.4%1.9M-29.5M-565.2K1.2118.152,2832,76371,45732,344
2015-09-15$45.55$42.5043.7%12.5%44.1%48.9%43.5%7.5%1.3%2.7M-51.1M-576.5K0.7821.561,5581,21371,46632,256
2015-09-16$46.24$42.5043.2%12.4%44.3%47.5%46.5%7.3%0.2%2.9M-62.1M-598.9K1.2424.572,0722,57572,80333,436
2015-09-17$46.87$45.0036.6%10.5%44.3%30.3%39.8%6.2%3.2%3.0M-71.4M-588.9K0.5527.593,5301,95673,22133,544
2015-09-18$44.75$45.0038.8%11.1%45.8%35.9%39.4%6.0%2.6%2.2M-32.2M-560.9K0.7016.424,1332,89074,39534,196
2015-09-21$44.57$45.0038.6%11.1%42.1%35.5%37.6%7.1%2.8%2.2M-28.9M-548.0K0.5564.753,3101,81167,94929,566
2015-09-22$42.43$45.0042.7%12.3%44.7%46.3%43.0%5.0%2.8%1.5M-8.2M-502.3K2.3972.491,9674,70567,81629,626
2015-09-23$42.68$45.0042.4%12.2%44.1%45.5%43.2%4.7%2.9%1.3M-3.5M-516.5K1.0169.631,7361,74667,81532,268
2015-09-24$44.23$45.0042.2%12.1%45.3%44.8%43.2%4.8%1.7%1.7M-20.0M-552.1K0.8969.702,1761,93267,82832,265
2015-09-25$44.97$45.0040.6%11.7%41.5%40.9%40.8%8.2%3.8%2.0M-28.0M-561.5K0.2867.906,0311,66867,87232,357
2015-09-28$42.43$45.0053.4%15.3%46.4%74.3%56.9%9.4%-5.9%1.0M-2.6M-500.4K2.4273.422,0354,92666,12132,343
2015-09-29$42.29$45.0051.9%14.9%46.3%70.5%51.1%7.8%-3.0%711.7K3.3M-508.0K2.4778.072,0645,09466,22935,213
2015-09-30$43.71$45.0049.2%14.1%46.0%63.4%44.3%4.7%-1.6%1.2M-12.4M-517.8K0.8776.691,9071,65766,22733,749