CAR Options History — October 2015

In October 2015, CAR traded between $43.61 and $50.46. ATM implied volatility averaged 43.3%, placing in the 47.9% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 2.0% (HV 20d: 41.4%). Max pain ranged from $45.00 to $47.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.87.

Notable Days

  • 2015-10-19: Highest Volume — 9,305 contracts
  • 2015-10-13: Largest IV spike — 17.1% change
  • 2015-10-13: Highest IV Rank — 62.6%
  • 2015-10-01: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.86$43.61$50.46$43.61$50.00
Max Pain$46.02$45.00$47.50$45.00$47.50
ATM IV43.3%40.9%48.9%47.2%43.9%
Expected Move12.5%12.1%13.5%13.5%12.6%
HV 20d41.4%27.8%48.9%45.7%27.8%
HV 60d46.4%45.2%48.2%46.0%45.2%
IV Rank47.9%41.5%62.6%58.1%49.4%
IV Percentile77.5%64.7%88.5%86.1%85.7%
Term Structure-2.9%-5.3%2.0%0.2%-4.2%
VWIV44.3%41.6%49.4%49.4%43.9%
Skew 25d5.4%4.4%6.7%6.7%4.5%
Skew 10d11.6%8.1%17.9%12.9%9.2%
Call IV 25d41.9%40.0%45.4%45.4%42.0%
Put IV 25d47.3%45.6%52.0%52.0%46.5%
Bid-Ask Spread %27.0816.3684.9578.1320.47
Gamma HHI0.160.110.320.110.17
Net GEX3.2M1.2M5.3M1.2M3.6M
Net DEX-79.4M-110.3M-12.2M-12.2M-87.8M
Net VEX-574.3K-610.6K-512.3K-512.3K-568.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.291.660.821.41
Total Volume4,570.0452,7219,3053,5163,873
Total OI104,745.90998,543109,13399,804108,632

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-10-01$43.61$45.0047.2%13.5%45.7%58.1%49.4%6.7%0.2%1.2M-12.2M-512.3K0.8278.131,9301,58666,13933,665
2015-10-02$45.50$45.0042.4%12.1%47.8%45.4%43.6%6.3%2.0%1.8M-32.1M-542.2K0.7184.952,8812,04366,24833,731
2015-10-05$46.54$45.0042.0%12.7%46.1%44.5%44.2%4.5%-2.5%2.3M-47.5M-552.2K1.5021.291,0901,63166,90033,788
2015-10-06$46.46$45.0041.1%12.3%44.6%42.0%43.3%5.7%-2.2%2.5M-46.4M-550.6K0.7425.762,6641,96867,69133,912
2015-10-07$48.48$45.0041.5%12.4%46.8%43.2%41.7%6.6%-3.5%3.0M-72.8M-568.2K0.3522.054,7711,66868,20133,557
2015-10-08$50.46$45.0040.9%12.7%48.4%41.5%43.8%5.2%-2.6%3.1M-102.3M-586.1K0.2921.235,7221,68368,97433,577
2015-10-09$49.58$45.0041.9%12.9%48.9%44.1%44.8%6.7%-3.3%3.5M-96.6M-610.6K0.4327.423,8831,65872,16033,708
2015-10-12$49.22$45.0041.8%12.7%48.5%43.8%45.1%5.5%-4.1%3.7M-93.2M-592.4K0.5923.162,5581,52072,15733,803
2015-10-13$49.08$45.0048.9%12.7%47.3%62.6%46.5%5.9%-3.1%3.7M-91.4M-588.4K0.9323.881,7071,58172,30033,854
2015-10-14$49.24$45.0043.4%12.5%47.1%48.2%44.3%4.9%-2.5%3.9M-95.3M-580.5K0.8525.341,7111,45172,44333,989
2015-10-15$50.17$45.0043.4%12.4%47.3%48.1%41.6%5.5%-3.1%3.8M-107.4M-579.1K0.3222.034,7101,50472,47433,980
2015-10-16$49.84$45.0042.8%12.3%43.7%46.4%43.4%6.2%-3.0%5.3M-110.3M-580.2K0.6620.092,5181,67375,12434,009
2015-10-19$49.69$45.0042.6%12.2%43.7%46.0%42.6%4.4%-2.4%3.1M-83.7M-568.1K1.0020.724,6524,65369,43229,111
2015-10-20$49.68$47.5042.8%12.3%38.8%46.5%44.4%5.0%-2.4%3.2M-84.8M-597.0K1.0119.561,6221,63272,50732,359
2015-10-21$49.89$47.5043.1%12.4%38.8%47.3%44.9%4.6%-3.2%3.2M-87.4M-595.6K1.0422.541,6401,69972,64032,511
2015-10-22$49.31$47.5042.3%12.1%37.9%45.1%44.1%5.1%-3.0%3.2M-77.9M-583.9K1.1722.031,6251,89972,64732,563
2015-10-23$49.83$47.5042.6%12.2%37.7%45.9%43.0%4.4%-3.1%3.2M-84.8M-584.2K0.6018.282,6191,56672,70632,815
2015-10-26$49.99$47.5043.8%12.6%29.5%49.2%44.4%5.5%-3.6%3.5M-90.3M-574.3K0.7216.362,1841,56573,71532,942
2015-10-27$48.68$47.5046.0%13.2%31.7%54.9%46.3%4.8%-3.8%3.2M-68.3M-568.2K0.8916.412,6342,33473,81433,136
2015-10-28$49.87$47.5044.2%12.7%30.9%50.2%44.8%4.8%-5.3%3.5M-86.7M-571.4K1.6622.021,6032,66074,32433,636
2015-10-29$49.90$47.5044.4%12.7%30.8%50.8%44.9%5.3%-5.0%3.5M-86.7M-580.4K1.4522.071,6202,35074,37234,164
2015-10-30$50.00$47.5043.9%12.6%27.8%49.4%43.9%4.5%-4.2%3.6M-87.8M-568.4K1.4120.471,6092,26474,43234,200