CAR Options History — May 2016

In May 2016, CAR traded between $23.61 and $30.00. ATM implied volatility averaged 53.4%, placing in the 52.2% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded above realized volatility by 1.0% (HV 20d: 52.5%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.96.

Notable Days

  • 2016-05-02: Highest Volume — 9,337 contracts
  • 2016-05-04: Largest IV drop — 24.7% change
  • 2016-05-03: Highest IV Rank — 99.0%
  • 2016-05-03: Largest Expected Move — 21.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.36$23.61$30.00$24.62$30.00
Max Pain$25.43$25.00$26.00$25.00$26.00
ATM IV53.4%47.0%75.3%71.4%48.4%
Expected Move15.2%13.5%21.6%20.5%13.9%
HV 20d52.5%45.9%61.1%55.0%49.6%
HV 60d73.2%52.5%86.2%85.6%53.2%
IV Rank52.2%38.4%99.0%90.7%41.5%
IV Percentile68.1%50.8%99.6%98.0%54.0%
Term Structure-2.1%-15.8%0.6%-13.7%-2.1%
VWIV53.3%46.7%76.0%71.5%50.3%
Skew 25d5.3%3.2%8.4%8.4%4.0%
Skew 10d12.7%4.3%23.0%12.9%17.2%
Call IV 25d51.0%45.1%71.5%68.7%46.6%
Put IV 25d56.2%49.1%78.6%77.1%50.6%
Bid-Ask Spread %32.5618.0064.3218.6730.21
Gamma HHI0.130.080.230.120.16
Net GEX720.4K246.4K1.5M353.6K1.4M
Net DEX-271.8K-29.2M18.9M10.3M-29.2M
Net VEX-250.3K-298.9K-215.4K-222.1K-298.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.351.551.141.03
Total Volume5,934.814,2139,3379,3375,002
Total OI61,610.57145,84770,40354,52656,893

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-05-02$24.62$25.0071.4%20.5%55.0%90.7%71.5%8.4%-13.7%353.6K10.3M-222.1K1.1418.674,3684,96930,31224,214
2016-05-03$23.61$25.0075.3%21.6%56.6%99.0%76.0%7.1%-15.8%264.1K17.0M-215.4K1.5518.003,3545,18632,57426,806
2016-05-04$25.11$25.0056.7%16.3%61.1%59.2%57.3%5.4%-6.0%404.8K10.8M-232.7K0.6919.615,0173,47732,88429,119
2016-05-05$25.52$25.0053.1%15.0%59.9%51.6%51.5%7.3%-0.6%536.4K5.1M-251.5K0.5925.934,3702,57534,87829,109
2016-05-06$26.12$25.0052.1%14.5%60.2%49.4%50.4%4.5%0.4%658.0K-237.8K-260.4K1.3422.692,1562,88936,07129,146
2016-05-09$25.77$25.0054.9%14.6%52.1%55.3%51.3%5.2%-0.4%670.2K1.9M-252.6K1.2122.642,0892,53136,26329,136
2016-05-10$26.39$25.0055.0%14.5%51.8%55.5%50.8%5.2%0.2%755.9K-3.7M-257.4K0.9824.102,2972,24536,50429,104
2016-05-11$26.12$25.0051.3%14.7%45.9%47.8%53.6%5.6%-0.2%782.9K-1.3M-254.5K0.9121.403,5133,21036,43129,151
2016-05-12$24.81$25.0052.4%15.0%48.5%50.1%53.5%5.1%-0.6%670.1K11.4M-235.6K1.1521.242,2462,57438,06729,997
2016-05-13$24.12$25.0053.4%15.3%49.2%52.2%53.3%5.8%-1.4%432.8K18.9M-225.1K1.0620.942,0452,16838,38030,574
2016-05-16$25.00$25.0053.0%15.2%50.4%51.3%52.9%5.1%-1.9%760.9K11.3M-231.5K1.0061.332,1722,18138,42530,680
2016-05-17$26.52$25.0050.3%14.4%53.8%45.6%52.0%6.9%0.1%1.2M-5.4M-250.0K0.9742.882,2532,19538,69930,751
2016-05-18$26.12$26.0051.5%14.8%54.3%48.1%52.1%5.6%0.1%1.4M-3.1M-244.8K0.9336.262,7892,59038,92930,894
2016-05-19$26.41$26.0051.1%14.6%53.3%47.2%51.3%5.5%-0.1%1.5M-6.5M-241.9K1.4243.342,0122,86238,75431,176
2016-05-20$27.35$26.0048.5%13.9%52.7%41.8%50.2%4.2%0.0%246.4K-13.1M-249.0K0.7848.843,2922,55438,72731,676
2016-05-23$27.36$26.0049.6%14.2%49.9%44.0%49.0%3.3%0.6%276.7K2.0M-248.4K0.5348.584,1852,21624,02321,824
2016-05-24$27.24$26.0050.7%14.5%50.0%46.5%49.7%3.2%-1.0%449.7K66.3K-253.7K0.5132.504,3782,22026,47521,991
2016-05-25$28.27$26.0048.1%13.8%49.4%41.0%48.6%4.1%-0.1%770.7K-8.7M-272.1K1.2027.962,0482,46028,94122,087
2016-05-26$28.29$26.0047.0%13.5%48.9%38.4%46.7%4.0%-0.9%816.1K-8.6M-271.5K0.7332.293,1682,31929,26422,203
2016-05-27$28.74$26.0048.3%13.8%49.0%41.3%46.8%4.9%-0.8%827.7K-14.3M-286.4K0.3564.326,2792,17730,40422,286
2016-05-31$30.00$26.0048.4%13.9%49.6%41.5%50.3%4.0%-2.1%1.4M-29.2M-298.9K1.0330.212,4622,54034,54122,352