CAR Options History — April 2016

In April 2016, CAR traded between $22.40 and $26.44. ATM implied volatility averaged 61.9%, placing in the 70.7% IV rank vs the trailing year. The 30-day expected move averaged 18.2%. IV traded above realized volatility by 6.5% (HV 20d: 55.5%). Max pain ranged from $25.00 to $32.50. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.08.

Notable Days

  • 2016-04-13: Highest Volume — 14,172 contracts
  • 2016-04-11: Largest IV spike — 29.2% change
  • 2016-04-29: Highest IV Rank — 86.3%
  • 2016-04-29: Largest Expected Move — 19.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.26$22.40$26.44$26.44$25.11
Max Pain$26.93$25.00$32.50$27.00$25.00
ATM IV61.9%49.7%69.3%49.7%69.3%
Expected Move18.2%14.3%19.9%14.3%19.9%
HV 20d55.5%50.2%60.0%53.5%56.0%
HV 60d89.1%86.2%90.2%90.2%86.2%
IV Rank70.7%47.1%86.3%47.1%86.3%
IV Percentile88.8%74.2%97.6%74.2%97.6%
Term Structure-7.3%-12.2%8.5%8.5%-10.4%
VWIV62.5%46.1%68.2%46.1%68.2%
Skew 25d7.4%5.0%9.7%6.0%8.7%
Skew 10d14.6%6.1%24.1%6.1%19.1%
Call IV 25d60.5%46.6%65.5%46.6%65.5%
Put IV 25d67.9%52.5%74.2%52.5%74.2%
Bid-Ask Spread %18.8712.5629.5429.5417.71
Gamma HHI0.140.080.220.080.11
Net GEX179.3K-111.0K496.4K-15.1K361.0K
Net DEX14.5M5.1M22.8M12.5M8.7M
Net VEX-199.2K-232.9K-151.0K-206.3K-228.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.392.430.691.49
Total Volume5,892.2383,79714,1723,9744,560
Total OI50,628.85743,04657,95443,04654,359

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-04-01$26.44$27.0049.7%14.3%53.5%47.1%46.1%6.0%8.5%-15.1K12.5M-206.3K0.6929.542,3501,62421,63321,413
2016-04-04$25.53$32.5053.7%17.1%54.5%55.2%60.0%8.8%-4.8%-53.0K15.7M-192.7K0.9222.342,1141,94221,81321,535
2016-04-05$25.06$32.5054.3%17.4%54.7%55.8%60.1%7.8%-4.4%-74.4K17.5M-185.3K0.9213.902,1011,92521,76721,489
2016-04-06$25.14$32.5051.4%17.4%50.2%48.2%60.0%7.8%-5.7%-71.9K17.4M-183.8K1.0317.852,1382,20421,85221,561
2016-04-07$24.29$32.5056.3%18.0%51.4%58.4%63.6%7.8%-5.5%-111.0K20.5M-174.8K0.4521.244,7752,14321,85321,939
2016-04-08$24.67$27.5051.0%17.9%51.0%47.1%62.5%8.5%-7.2%14.1K16.1M-188.4K1.3317.761,6302,16724,74522,226
2016-04-11$22.77$27.5065.9%18.8%52.9%78.9%64.7%6.6%-8.1%-30.8K22.2M-160.9K1.0818.102,3362,53024,77422,308
2016-04-12$22.40$27.5068.4%18.5%52.7%84.3%63.4%6.8%-8.7%-40.0K22.8M-151.0K2.3312.562,0974,87925,45522,299
2016-04-13$24.11$26.0062.6%18.0%60.0%71.9%61.8%6.4%-9.0%-27.7K18.9M-185.9K0.5517.739,1565,01625,71323,747
2016-04-14$23.37$25.0064.0%18.3%58.9%74.8%64.9%5.6%-9.0%273.1K15.9M-194.8K1.7117.472,8484,86632,80523,933
2016-04-15$22.95$25.0066.5%19.1%57.0%80.2%64.3%5.9%-12.2%244.3K17.2M-191.8K2.4316.732,1145,14333,92824,026
2016-04-18$23.31$25.0065.1%18.7%55.7%77.2%63.6%5.0%-7.9%311.9K13.9M-207.0K1.0616.222,3732,52030,68922,953
2016-04-19$23.05$25.0062.7%18.0%55.5%72.0%58.6%7.6%-6.8%338.9K15.8M-199.9K0.3917.926,2962,45131,34723,116
2016-04-20$23.20$25.0063.2%18.1%55.7%73.1%60.6%7.2%-7.4%266.1K16.4M-197.7K1.2318.661,9402,39129,70023,136
2016-04-21$24.01$25.0064.0%18.3%55.9%74.8%63.0%7.6%-8.1%316.0K12.3M-213.6K0.8514.912,8772,44329,89623,363
2016-04-22$25.05$25.0062.4%17.9%58.3%71.5%61.5%6.0%-6.7%433.3K6.1M-229.7K0.9017.802,9252,64230,72123,358
2016-04-25$24.04$25.0066.8%19.2%57.8%80.9%65.4%9.1%-9.2%349.4K12.3M-211.1K1.0321.922,3952,47330,09723,531
2016-04-26$24.36$25.0067.5%19.4%56.7%82.4%66.6%8.1%-10.4%365.0K11.0M-216.5K1.2518.481,8142,27030,19323,627
2016-04-27$25.44$25.0067.6%19.4%59.1%82.5%68.0%7.7%-10.6%419.2K5.4M-230.6K0.6327.183,5522,24730,38823,791
2016-04-28$25.08$25.0067.8%19.4%57.2%82.9%66.1%9.7%-10.0%496.4K5.1M-232.9K0.4420.345,2042,26632,30123,826
2016-04-29$25.11$25.0069.3%19.9%56.0%86.3%68.2%8.7%-10.4%361.0K8.7M-228.4K1.4917.711,8302,73030,34124,018