CAR Options History — December 2015

In December 2015, CAR traded between $33.04 and $37.71. ATM implied volatility averaged 43.6%, placing in the 48.6% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 4.3% (HV 20d: 39.3%). Max pain ranged from $43.00 to $47.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.44.

Notable Days

  • 2015-12-08: Highest Volume — 6,623 contracts
  • 2015-12-08: Largest IV spike — 35.1% change
  • 2015-12-08: Highest IV Rank — 100.0%
  • 2015-12-14: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.50$33.04$37.71$37.71$36.45
Max Pain$44.23$43.00$47.50$47.50$43.00
ATM IV43.6%38.6%63.2%43.1%39.6%
Expected Move12.2%11.1%13.9%12.4%11.3%
HV 20d39.3%30.1%58.0%58.0%40.1%
HV 60d48.1%46.4%49.2%48.3%46.5%
IV Rank48.6%35.4%100.0%47.4%38.0%
IV Percentile71.5%46.4%100.0%80.2%50.0%
Term Structure2.0%-1.6%4.7%-1.6%4.2%
VWIV42.7%35.8%48.5%42.3%40.0%
Skew 25d3.9%2.7%5.3%2.9%3.3%
Skew 10d8.8%5.0%13.2%7.2%13.2%
Call IV 25d41.3%37.7%46.5%41.5%39.7%
Put IV 25d45.2%40.7%51.7%44.5%43.0%
Bid-Ask Spread %30.708.4769.5830.5065.36
Gamma HHI0.190.150.240.150.24
Net GEX-1.1M-1.4M-356.2K-356.2K-1.3M
Net DEX78.7M45.7M101.4M78.2M49.3M
Net VEX-237.5K-279.3K-211.8K-279.3K-219.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.440.458.408.400.98
Total Volume4,286.1361,3316,6236,3194,182
Total OI118,810.591106,910127,508117,332108,277

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-12-01$37.71$47.5043.1%12.4%58.0%47.4%42.3%2.9%-1.6%-356.2K78.2M-279.3K8.4030.506725,64773,74443,588
2015-12-02$36.46$47.5042.1%12.1%39.8%44.8%44.8%5.1%-0.8%-821.3K89.7M-272.5K1.5823.902,1883,45273,94248,758
2015-12-03$35.73$45.0045.1%12.3%39.9%52.7%41.2%4.7%1.7%-977.2K93.2M-262.8K1.3815.691,9312,67374,43849,728
2015-12-04$35.65$45.0044.4%12.2%37.3%50.7%37.0%4.7%1.7%-984.7K94.6M-261.3K1.1816.192,0962,47074,52749,992
2015-12-07$35.36$45.0046.8%12.5%30.5%57.1%42.4%3.6%1.2%-1.0M94.7M-251.3K0.4515.1692141074,65849,662
2015-12-08$33.75$45.0063.2%12.5%30.1%100.0%43.4%3.9%1.9%-1.1M100.7M-223.3K1.3713.442,7903,83375,13850,012
2015-12-09$34.67$45.0043.7%12.5%32.3%48.8%44.2%4.1%1.7%-1.0M95.4M-244.8K0.8612.822,1531,84575,51949,993
2015-12-10$35.54$45.0042.2%12.1%34.3%44.9%42.5%3.0%1.7%-994.8K92.3M-252.6K0.9113.902,0621,86975,91850,113
2015-12-11$34.43$45.0045.6%13.1%34.3%53.9%45.7%4.1%0.4%-1.1M97.2M-235.5K0.9212.031,7481,61676,04850,187
2015-12-14$33.04$45.0048.4%13.9%36.1%61.2%48.5%5.3%0.1%-987.4K101.4M-211.8K1.2613.041,9822,50576,14050,207
2015-12-15$33.74$45.0045.6%13.1%37.6%53.8%46.9%4.7%1.1%-1.1M100.5M-221.6K1.338.471,8522,46076,34250,909
2015-12-16$35.37$43.0043.9%12.6%42.1%49.4%45.8%4.6%1.2%-1.2M94.2M-238.3K1.0112.431,9601,98376,45950,690
2015-12-17$34.95$43.0042.9%12.3%41.1%46.7%44.4%3.8%2.5%-1.2M95.4M-231.6K1.0212.241,9872,02876,66350,740
2015-12-18$34.99$43.0042.0%12.1%40.5%44.4%40.6%4.5%3.0%-1.1M95.9M-229.2K1.3513.151,8282,46776,76350,745
2015-12-21$35.04$43.0041.4%11.9%40.7%42.7%43.5%4.4%3.0%-1.3M58.1M-221.9K0.9812.352,0842,05067,70839,202
2015-12-22$35.90$43.0039.4%11.3%42.2%37.5%41.0%2.7%4.5%-1.2M53.1M-228.5K1.0666.351,9852,10868,00539,300
2015-12-23$36.40$43.0039.4%11.3%41.4%37.4%40.8%3.3%4.7%-1.2M50.2M-232.4K1.0661.242,0082,12768,13839,323
2015-12-24$36.95$43.0038.6%11.1%42.0%35.4%35.8%2.9%3.6%-1.0M45.7M-237.9K1.1562.441,9642,26868,28539,360
2015-12-28$36.11$43.0040.6%11.6%42.5%40.7%47.0%3.0%3.5%-1.3M51.8M-222.2K1.0964.931,8582,03068,37339,653
2015-12-29$36.84$43.0040.8%11.7%40.9%41.2%39.1%4.2%2.3%-1.2M47.8M-229.3K1.1860.231,8842,22968,51139,844
2015-12-30$35.99$43.0040.3%11.6%41.5%39.9%42.0%3.1%3.3%-1.4M52.6M-216.7K1.2169.581,8482,24268,54539,686
2015-12-31$36.45$43.0039.6%11.3%40.1%38.0%40.0%3.3%4.2%-1.3M49.3M-219.4K0.9865.362,1112,07168,59239,685