CAR Options History — January 2016

In January 2016, CAR traded between $24.74 and $36.02. ATM implied volatility averaged 60.8%, placing in the 80.4% IV rank vs the trailing year. The 30-day expected move averaged 16.9%. IV traded above realized volatility by 13.0% (HV 20d: 47.8%). Max pain ranged from $34.00 to $40.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 2.24.

Notable Days

  • 2016-01-14: Highest Volume — 22,038 contracts
  • 2016-01-13: Largest IV drop — 19.5% change
  • 2016-01-11: Highest IV Rank — 100.0%
  • 2016-01-25: Largest Expected Move — 19.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.30$24.74$36.02$36.02$25.53
Max Pain$37.11$34.00$40.00$40.00$34.00
ATM IV60.8%47.7%71.8%48.6%54.6%
Expected Move16.9%13.5%19.0%13.5%15.6%
HV 20d47.8%39.7%57.3%39.7%55.9%
HV 60d49.3%44.6%53.8%45.5%52.6%
IV Rank80.4%59.2%100.0%61.6%63.1%
IV Percentile97.0%89.7%100.0%91.7%92.5%
Term Structure-4.2%-7.4%5.0%-2.7%5.0%
VWIV56.8%46.9%66.6%47.6%56.5%
Skew 25d7.2%4.9%10.8%5.9%5.5%
Skew 10d14.0%4.4%21.0%13.5%6.0%
Call IV 25d55.8%44.4%62.5%44.4%53.5%
Put IV 25d63.0%50.3%71.9%50.3%59.0%
Bid-Ask Spread %40.439.2373.9316.2965.74
Gamma HHI0.210.150.280.250.19
Net GEX-876.0K-1.5M-447.6K-1.4M-1.0M
Net DEX55.7M32.3M79.4M53.2M42.0M
Net VEX-162.3K-207.5K-129.1K-207.5K-169.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.240.657.921.221.90
Total Volume6,874.7373,22622,0384,4745,957
Total OI81,031.52643,146123,225108,33353,646

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-01-04$36.02$40.0048.6%13.5%39.7%61.6%47.6%5.9%-2.7%-1.4M53.2M-207.5K1.2216.292,0152,45968,58439,749
2016-01-05$35.42$40.0047.7%13.5%40.1%59.2%46.9%5.7%-2.5%-1.5M56.6M-205.7K0.8617.622,0241,74768,72840,166
2016-01-06$33.50$40.0054.2%14.8%44.7%76.2%53.8%6.6%-4.8%-1.3M67.1M-184.3K6.5716.341,88412,37768,75440,220
2016-01-07$31.56$40.0060.2%16.2%46.6%92.0%53.4%8.1%-6.6%-1.1M75.7M-174.7K0.8913.741,9201,71768,80842,381
2016-01-08$30.62$40.0057.4%15.9%46.1%84.7%53.9%5.5%-6.5%-1.0M74.1M-164.1K0.6513.781,9511,27569,08141,353
2016-01-11$30.12$37.5068.5%16.3%44.7%100.0%53.7%6.6%-5.5%-980.8K75.7M-156.0K1.089.231,8271,97969,20341,427
2016-01-12$29.29$37.5071.8%16.1%44.4%100.0%55.2%5.0%-5.1%-986.4K77.7M-150.1K1.0116.051,8481,87069,29042,133
2016-01-13$27.25$37.5057.8%16.6%48.7%70.1%59.6%8.0%-4.1%-565.3K79.0M-129.1K0.7169.482,6501,88369,41442,195
2016-01-14$26.87$37.5064.8%18.6%47.3%85.1%60.4%4.9%-7.4%-447.6K77.1M-131.1K6.2741.883,03219,00670,26942,266
2016-01-15$25.15$37.5065.0%18.6%45.8%85.4%53.0%9.4%-7.1%-616.6K79.4M-149.6K2.7065.972,6447,13270,78952,436
2016-01-19$24.74$37.5063.5%18.2%45.8%82.1%63.7%10.8%-4.1%-644.5K39.7M-147.4K1.2356.382,0432,50812,83730,309
2016-01-20$25.01$36.0065.2%18.7%46.4%85.9%63.9%10.0%-6.0%-628.3K38.4M-149.4K0.9636.141,6981,62713,31830,354
2016-01-21$25.33$35.0064.8%18.6%47.2%84.9%57.6%8.7%-5.8%-631.2K37.5M-152.4K1.0328.441,7271,78313,39130,498
2016-01-22$26.06$35.0061.7%17.7%47.6%78.4%52.7%9.6%-4.6%-630.2K35.7M-155.1K1.3555.291,5442,09013,65330,412
2016-01-25$25.34$35.0066.4%19.0%46.5%88.4%57.6%7.3%-6.3%-620.9K37.5M-148.6K1.0352.951,6821,72713,81430,723
2016-01-26$27.45$35.0062.7%18.0%57.1%80.6%66.6%6.6%-4.5%-598.3K32.3M-164.0K7.9259.612,11916,78413,98330,777
2016-01-27$26.65$35.0065.0%18.6%57.3%85.4%66.6%7.5%-5.8%-909.7K38.2M-175.7K3.9659.301,8557,34014,55237,297
2016-01-28$25.86$35.0055.1%15.8%56.0%64.1%56.6%5.1%4.2%-997.9K41.1M-169.8K1.1273.932,3062,59014,76238,027
2016-01-29$25.53$34.0054.6%15.6%55.9%63.1%56.5%5.5%5.0%-1.0M42.0M-169.5K1.9065.742,0523,90515,17138,475