CAR Options History — February 2016

In February 2016, CAR traded between $22.10 and $30.13. ATM implied volatility averaged 65.8%, placing in the 82.3% IV rank vs the trailing year. The 30-day expected move averaged 18.9%. IV traded below realized volatility by 17.1% (HV 20d: 82.9%). Max pain ranged from $26.00 to $34.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 1.27.

Notable Days

  • 2016-02-24: Highest Volume — 13,560 contracts
  • 2016-02-08: Largest IV spike — 23.0% change
  • 2016-02-08: Highest IV Rank — 100.0%
  • 2016-02-11: Largest Expected Move — 21.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.32$22.10$30.13$26.58$25.90
Max Pain$27.60$26.00$34.00$34.00$26.00
ATM IV65.8%55.0%75.8%56.4%58.7%
Expected Move18.9%15.8%21.7%16.2%16.8%
HV 20d82.9%58.7%135.4%58.7%135.4%
HV 60d59.8%47.4%87.3%47.4%87.3%
IV Rank82.3%59.0%100.0%67.1%66.3%
IV Percentile95.1%85.3%100.0%93.3%87.3%
Term Structure-5.7%-9.8%1.1%1.1%-4.3%
VWIV66.1%55.6%74.2%60.5%59.1%
Skew 25d8.4%3.2%11.8%5.2%6.6%
Skew 10d18.1%11.3%27.3%11.3%12.9%
Call IV 25d62.3%53.4%70.4%54.6%56.7%
Put IV 25d70.6%59.9%82.3%59.9%63.3%
Bid-Ask Spread %31.8011.5672.4372.4331.33
Gamma HHI0.170.070.350.190.07
Net GEX-598.9K-1.1M315.4K-947.2K-34.8K
Net DEX30.5M9.2M48.4M38.2M13.1M
Net VEX-173.8K-202.6K-125.9K-171.5K-192.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.270.492.311.720.70
Total Volume6,721.54,13413,5606,2689,368
Total OI50,844.6530,82759,82053,81242,037

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-02-01$26.58$34.0056.4%16.2%58.7%67.1%60.5%5.2%1.1%-947.2K38.2M-171.5K1.7272.432,3013,96715,44638,366
2016-02-02$24.14$32.5063.3%18.1%65.2%81.7%63.2%9.2%-0.9%-1.0M48.4M-155.2K2.1356.272,0364,33315,96638,634
2016-02-03$25.25$32.5062.4%17.9%69.2%79.9%68.0%3.2%-0.1%-1.0M43.8M-165.3K2.3123.812,1514,95816,15838,785
2016-02-04$26.56$26.0061.6%18.1%71.5%78.1%65.0%8.5%-4.5%-973.7K38.0M-176.8K1.8818.412,0473,85816,42339,617
2016-02-05$25.90$26.0060.4%18.6%69.5%75.4%65.6%8.9%-6.1%-1.1M41.4M-173.0K1.4320.821,9012,72716,52739,908
2016-02-08$24.61$26.0074.2%20.3%70.7%100.0%71.0%8.8%-7.9%-1.1M46.5M-161.5K2.0418.251,9093,89016,61539,989
2016-02-09$24.99$26.0074.2%20.8%71.2%100.0%73.1%8.4%-9.4%-1.1M44.7M-164.7K1.2124.532,3222,80816,65140,063
2016-02-10$25.72$26.0070.4%20.2%72.1%92.2%69.8%10.4%-8.2%-1.1M40.7M-172.0K1.3832.842,0682,85416,98739,922
2016-02-11$24.83$26.0075.8%21.7%68.8%100.0%74.0%11.8%-9.8%-1.1M43.7M-162.9K1.3426.092,1032,82417,20139,981
2016-02-12$25.99$26.0073.0%20.9%70.9%94.5%74.2%9.6%-9.4%-1.1M37.2M-169.3K1.4226.951,7072,42717,32939,989
2016-02-16$27.63$26.0069.1%19.8%70.0%86.8%69.8%8.0%-6.9%-681.5K29.3M-169.0K2.2134.401,9154,22917,37340,087
2016-02-17$29.67$26.0068.1%19.5%73.3%84.8%69.2%9.1%-8.5%-323.8K21.5M-179.7K0.7619.904,3393,28417,60838,898
2016-02-18$29.25$28.0068.3%19.6%73.7%85.2%68.1%7.8%-8.2%-88.5K21.0M-199.0K0.7433.844,1953,09319,98239,624
2016-02-19$29.06$28.0067.5%19.4%73.9%83.7%66.6%6.8%-8.0%315.4K21.4M-195.7K0.7435.444,1413,06920,09439,726
2016-02-22$29.59$28.0065.8%18.8%73.6%80.2%65.0%8.6%-9.0%-138.2K10.7M-196.2K0.7039.763,6342,55513,02217,805
2016-02-23$30.13$28.0064.6%18.5%72.5%77.9%63.2%8.3%-7.4%-113.7K9.2M-202.6K0.5635.764,8292,72013,56618,086
2016-02-24$22.10$29.0064.9%18.6%130.5%78.6%59.4%8.8%-2.9%-151.3K24.3M-125.9K0.8211.567,4616,09916,67418,930
2016-02-25$23.85$26.0062.8%18.0%133.9%74.5%62.0%11.2%-1.7%-118.7K19.7M-160.9K0.7240.514,5193,27519,98720,908
2016-02-26$24.67$26.0055.0%15.8%134.3%59.0%55.6%7.6%-1.4%-75.8K16.6M-182.3K0.4933.034,3862,12820,61521,314
2016-02-29$25.90$26.0058.7%16.8%135.4%66.3%59.1%6.6%-4.3%-34.8K13.1M-192.5K0.7031.335,5123,85620,62721,410