CAR Options History — November 2015

In November 2015, CAR traded between $37.39 and $52.27. ATM implied volatility averaged 40.8%, placing in the 41.1% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded below realized volatility by 18.1% (HV 20d: 58.9%). Max pain ranged from $47.50 to $50.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.05.

Notable Days

  • 2015-11-02: Highest Volume — 33,553 contracts
  • 2015-11-03: Largest IV drop — 12.0% change
  • 2015-11-02: Highest IV Rank — 56.3%
  • 2015-11-02: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.87$37.39$52.27$52.27$37.39
Max Pain$47.75$47.50$50.00$47.50$47.50
ATM IV40.8%38.5%46.5%46.5%42.9%
Expected Move11.6%10.9%13.3%13.3%12.3%
HV 20d58.9%30.6%62.4%30.6%61.3%
HV 60d49.8%44.5%52.5%44.5%48.8%
IV Rank41.1%35.1%56.3%56.3%46.8%
IV Percentile64.5%52.8%89.3%89.3%78.6%
Term Structure-0.7%-6.1%2.3%-6.1%-1.4%
VWIV40.6%38.2%46.4%46.4%42.7%
Skew 25d4.3%2.6%5.7%3.9%4.2%
Skew 10d9.0%5.4%16.4%10.0%8.4%
Call IV 25d38.9%36.2%44.7%44.7%41.9%
Put IV 25d43.2%41.4%48.6%48.6%46.1%
Bid-Ask Spread %25.829.4260.3114.0534.15
Gamma HHI0.120.100.160.160.15
Net GEX267.4K-713.4K3.8M3.8M-445.6K
Net DEX72.3M-127.7M119.6M-127.7M80.3M
Net VEX-431.1K-562.9K-276.1K-562.9K-276.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.343.320.730.41
Total Volume7,425.51,13633,55333,5532,640
Total OI138,279.25108,697156,203108,697116,752

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-11-02$52.27$47.5046.5%13.3%30.6%56.3%46.4%3.9%-6.1%3.8M-127.7M-562.9K0.7314.0519,42514,12874,47434,223
2015-11-03$45.84$50.0040.9%11.7%57.5%41.7%41.3%4.7%-1.8%2.1M12.0M-537.4K1.049.426,8067,07387,41244,602
2015-11-04$45.29$50.0040.0%11.5%55.3%39.1%40.1%3.2%-1.9%1.8M28.3M-533.5K1.1414.023,4083,90087,49148,501
2015-11-05$43.05$47.5040.7%11.2%55.2%40.9%39.4%5.2%-1.1%906.1K62.7M-466.7K1.4522.103,0884,47987,66449,834
2015-11-06$45.17$47.5038.9%10.9%58.5%36.4%38.6%5.4%-0.9%1.5M34.9M-534.7K3.3222.891,8746,21488,36151,186
2015-11-09$43.00$47.5042.4%11.3%60.6%45.6%40.5%4.1%-1.4%263.9K82.4M-489.2K1.4619.271,3792,00889,40056,932
2015-11-10$41.71$47.5042.0%11.4%61.2%44.3%38.9%3.1%-1.3%-251.5K102.5M-452.0K1.6720.355,8039,66389,74858,391
2015-11-11$41.81$47.5039.3%11.3%61.2%37.2%39.0%3.8%-1.2%-346.1K115.0M-482.3K1.6726.805,8079,66992,47363,730
2015-11-12$40.51$47.5040.7%11.7%60.9%40.9%39.5%3.7%0.1%-652.6K118.1M-429.6K1.0821.332,6372,83592,43360,914
2015-11-13$40.46$47.5041.0%11.8%60.9%41.8%41.8%4.3%-0.2%-601.5K115.9M-434.9K1.1222.502,1762,43293,05760,815
2015-11-16$39.71$47.5042.4%12.2%60.9%45.5%41.7%5.1%-0.3%-597.9K119.6M-394.7K0.6318.442,0631,29693,07059,506
2015-11-17$40.04$47.5041.6%11.9%61.2%43.5%42.1%5.7%0.0%-522.6K117.8M-400.0K0.9822.562,4582,42194,25960,115
2015-11-18$40.79$47.5041.0%11.8%61.9%41.9%42.0%5.0%0.3%-612.5K109.1M-419.4K0.8614.272,1211,83094,44359,953
2015-11-19$41.31$47.5039.0%11.2%62.4%36.5%41.7%4.9%2.3%-713.4K103.6M-430.6K0.8612.682,1361,82894,63760,104
2015-11-20$41.00$47.5040.0%11.5%62.0%39.1%38.3%4.7%0.5%175.1K107.0M-410.7K0.8818.362,1021,84294,78560,000
2015-11-23$40.62$47.5039.0%11.2%61.8%36.5%38.2%5.0%0.2%52.3K57.5M-372.8K0.4653.3778035672,43743,575
2015-11-24$39.26$47.5039.1%11.2%62.1%36.7%39.9%4.2%0.4%-112.1K66.9M-344.4K0.3435.931,21540773,06543,569
2015-11-25$39.28$47.5038.5%11.0%60.9%35.1%39.0%3.9%-0.6%-181.8K68.8M-331.0K0.4753.582,9891,39273,01743,748
2015-11-27$38.95$47.5039.1%11.2%60.7%36.9%40.1%2.6%-0.4%-250.8K71.3M-318.8K0.5460.312,4921,33873,21043,699
2015-11-30$37.39$47.5042.9%12.3%61.3%46.8%42.7%4.2%-1.4%-445.6K80.3M-276.1K0.4134.151,87476673,21743,535