CAR Options History — March 2016

In March 2016, CAR traded between $25.77 and $29.04. ATM implied volatility averaged 52.2%, placing in the 53.4% IV rank vs the trailing year. The 30-day expected move averaged 14.7%. IV traded below realized volatility by 56.4% (HV 20d: 108.6%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.69.

Notable Days

  • 2016-03-04: Highest Volume — 7,262 contracts
  • 2016-03-09: Largest IV drop — 17.8% change
  • 2016-03-08: Highest IV Rank — 78.0%
  • 2016-03-01: Largest Expected Move — 15.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.35$25.77$29.04$26.69$27.40
Max Pain$26.41$25.00$27.00$26.00$27.00
ATM IV52.2%47.6%64.6%55.4%50.0%
Expected Move14.7%13.7%15.9%15.9%14.3%
HV 20d108.6%52.8%135.0%135.0%52.8%
HV 60d88.6%87.4%90.0%87.4%90.0%
IV Rank53.4%44.4%78.0%59.8%49.1%
IV Percentile79.0%69.4%92.5%85.3%74.6%
Term Structure5.1%-2.9%9.4%-2.8%6.7%
VWIV51.9%46.2%59.7%59.6%51.3%
Skew 25d6.9%3.9%9.2%8.6%6.5%
Skew 10d14.8%6.5%27.1%18.7%14.7%
Call IV 25d48.8%45.5%52.7%52.7%46.1%
Put IV 25d55.7%51.3%61.3%61.3%52.6%
Bid-Ask Spread %26.1111.7543.2543.2529.23
Gamma HHI0.080.070.110.080.07
Net GEX-34.9K-194.8K73.8K-57.9K10.0K
Net DEX8.6M-1.7M16.2M10.9M10.1M
Net VEX-216.2K-236.5K-196.9K-204.2K-214.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.460.970.590.65
Total Volume4,884.3183,3157,2626,3064,113
Total OI45,623.90939,76851,10844,70942,722

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-03-01$26.69$26.0055.4%15.9%135.0%59.8%59.6%8.6%-2.8%-57.9K10.9M-204.2K0.5943.253,9552,35121,61123,098
2016-03-02$27.78$26.0053.4%15.3%130.7%55.9%59.7%8.0%-2.9%2.0K6.1M-218.6K0.6532.804,0472,64721,89423,263
2016-03-03$28.37$25.0052.8%14.8%130.1%54.7%52.9%8.4%3.2%34.5K3.3M-223.1K0.4618.934,7302,19622,05723,556
2016-03-04$28.54$25.0050.9%14.1%129.0%51.0%49.3%8.1%4.5%33.6K3.3M-221.0K0.5221.084,7722,49021,91123,831
2016-03-07$28.21$25.0056.4%14.9%128.7%61.7%49.8%8.6%4.4%-8.9K5.2M-219.0K0.4819.133,9121,89021,94724,397
2016-03-08$26.46$26.0064.6%15.6%129.5%78.0%55.9%8.0%4.2%-110.0K12.3M-203.1K0.6020.533,8042,27722,04424,524
2016-03-09$26.57$26.0053.1%15.2%129.4%55.2%53.2%9.2%4.9%-143.2K12.9M-204.4K0.4920.394,1012,01922,14624,932
2016-03-10$25.83$27.0053.9%15.4%129.5%56.8%55.4%8.1%5.1%-185.0K16.2M-196.9K0.5320.613,7792,01822,48125,233
2016-03-11$27.38$27.0052.7%15.1%130.4%54.4%53.3%8.8%3.2%-108.0K9.9M-210.5K0.5020.554,0161,99922,68325,341
2016-03-14$26.76$27.0053.4%15.3%129.8%55.8%53.9%8.2%3.7%-123.1K10.4M-218.9K0.8616.272,1401,85024,86125,541
2016-03-15$26.23$27.0054.2%15.6%128.0%57.5%53.7%8.2%4.3%-194.8K13.0M-210.4K0.8311.752,2861,90725,01825,557
2016-03-16$27.15$26.0050.0%14.3%125.9%49.2%51.1%4.2%4.7%-101.2K8.2M-220.5K0.8235.962,1051,73425,24025,730
2016-03-17$28.06$26.0047.8%13.7%126.5%44.8%49.0%4.4%7.7%73.8K3.2M-225.2K0.6736.212,3441,56725,32125,739
2016-03-18$28.99$26.0049.2%14.1%127.1%47.6%48.6%4.8%4.8%45.1K-1.7M-234.8K0.9633.902,1362,04225,31125,797
2016-03-21$29.04$27.0048.6%13.9%126.9%46.4%48.8%6.0%6.2%33.7K4.4M-233.5K0.9126.722,0361,86120,12819,640
2016-03-22$28.98$27.0047.6%13.7%126.7%44.4%46.2%5.8%8.5%59.2K3.7M-236.5K0.9724.671,7501,69720,70020,017
2016-03-23$27.56$27.0049.1%14.1%57.7%47.3%47.0%6.4%9.4%21.9K8.7M-223.6K0.9525.781,7781,69320,82020,226
2016-03-24$27.01$27.0049.6%14.2%53.2%48.4%49.0%3.9%7.8%2.1K10.8M-215.5K0.7625.771,8831,43220,86620,444
2016-03-28$25.77$27.0052.2%15.0%55.4%53.4%51.3%6.2%8.1%-33.7K14.4M-202.1K0.6833.952,0231,38221,16420,689
2016-03-29$26.59$27.0051.0%14.6%53.8%51.1%52.3%5.6%8.9%-11.4K12.3M-210.4K0.6726.692,6681,79121,34520,836
2016-03-30$26.33$27.0051.7%14.8%52.8%52.5%50.0%5.0%7.4%-7.4K12.5M-210.2K0.6830.362,5231,71121,99721,068
2016-03-31$27.40$27.0050.0%14.3%52.8%49.1%51.3%6.5%6.7%10.0K10.1M-214.4K0.6529.232,4951,61821,43721,285