CAR Options History — June 2016

In June 2016, CAR traded between $28.57 and $34.78. ATM implied volatility averaged 47.5%, placing in the 37.8% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded below realized volatility by 3.2% (HV 20d: 50.7%). Max pain ranged from $26.00 to $29.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.06.

Notable Days

  • 2016-06-02: Highest Volume — 23,335 contracts
  • 2016-06-24: Largest IV spike — 21.6% change
  • 2016-06-27: Highest IV Rank — 66.5%
  • 2016-06-27: Largest Expected Move — 17.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.12$28.57$34.78$30.42$32.21
Max Pain$28.09$26.00$29.00$26.00$29.00
ATM IV47.5%42.1%62.0%47.9%46.6%
Expected Move13.6%12.1%17.8%13.7%13.3%
HV 20d50.7%42.1%71.7%45.6%71.7%
HV 60d53.4%50.5%59.0%53.2%59.0%
IV Rank37.8%27.9%66.5%40.5%29.1%
IV Percentile49.7%27.0%81.7%52.4%44.8%
Term Structure3.5%-1.5%6.5%-1.5%6.5%
VWIV47.4%41.2%59.2%44.4%50.0%
Skew 25d6.0%3.7%10.4%4.7%4.9%
Skew 10d12.8%8.9%21.3%9.2%21.3%
Call IV 25d45.0%39.7%57.0%46.4%45.0%
Put IV 25d51.0%44.4%67.4%51.1%49.9%
Bid-Ask Spread %44.1914.5080.3634.5980.36
Gamma HHI0.140.080.290.160.11
Net GEX2.0M342.4K3.0M1.4M1.6M
Net DEX-48.7M-104.8M7.4M-33.0M-25.7M
Net VEX-359.5K-384.6K-302.3K-302.3K-364.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.162.460.240.56
Total Volume8,955.8644,33523,33511,8206,703
Total OI75,942.86457,53586,42857,53574,872

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-06-01$30.42$26.0047.9%13.7%45.6%40.5%44.4%4.7%-1.5%1.4M-33.0M-302.3K0.2434.599,5242,29634,76922,766
2016-06-02$31.15$26.0044.2%12.6%42.1%32.4%44.6%5.9%4.0%1.7M-40.2M-304.7K0.2917.1618,0695,26636,30222,944
2016-06-03$30.43$27.0046.0%13.0%43.7%36.4%42.7%5.7%3.2%2.5M-40.3M-341.3K0.1619.9311,9171,88947,00826,066
2016-06-06$32.67$27.0044.5%12.5%48.8%33.2%44.1%5.5%4.2%2.5M-71.7M-343.8K0.1818.3814,9322,64347,77326,223
2016-06-07$34.28$28.0042.9%12.2%49.6%29.6%43.4%5.2%4.3%2.6M-101.4M-364.0K0.1916.3511,9652,22152,36627,091
2016-06-08$34.35$28.0042.5%12.2%49.6%28.9%41.2%5.6%4.0%2.8M-104.8M-371.3K0.6114.503,5502,15854,56027,425
2016-06-09$34.20$28.0042.1%12.1%49.3%27.9%44.5%4.7%4.6%2.6M-97.2M-358.7K0.8917.552,5402,24952,38127,727
2016-06-10$32.89$28.0044.5%12.8%47.3%33.2%46.4%4.9%3.6%2.9M-78.0M-360.8K2.4618.802,5256,21552,70227,905
2016-06-13$31.98$28.0048.3%13.9%47.3%41.3%47.0%5.8%2.0%2.9M-61.1M-384.6K2.2218.602,9416,54352,74832,144
2016-06-14$31.35$28.0050.2%14.4%48.0%45.3%49.6%6.5%2.7%3.0M-50.0M-378.9K1.0918.913,7914,12152,83132,810
2016-06-15$31.82$28.0047.5%13.6%44.6%39.7%47.2%6.1%3.3%3.0M-56.9M-373.3K0.6024.936,9834,16452,10432,924
2016-06-16$31.64$28.0048.1%13.8%44.1%40.8%47.4%6.3%2.7%2.7M-55.2M-372.1K0.9564.234,6344,42352,90333,030
2016-06-17$32.05$28.0047.3%13.6%44.1%39.2%47.4%5.5%4.6%3.0M-64.7M-371.6K1.7865.262,4974,45153,07233,356
2016-06-20$33.15$28.0046.3%13.3%44.0%36.9%45.7%6.5%4.7%1.4M-36.3M-370.3K1.2368.523,2584,00537,98331,437
2016-06-21$33.51$29.0045.2%13.0%43.9%33.4%47.0%6.0%3.9%1.6M-41.0M-371.5K1.6759.162,3833,97438,97431,665
2016-06-22$33.46$29.0047.3%13.6%43.7%37.9%47.5%6.4%4.3%1.6M-40.6M-372.7K1.6661.252,3333,87639,03331,778
2016-06-23$34.78$29.0043.4%12.4%43.9%28.0%43.4%3.7%5.5%1.8M-53.2M-384.4K1.1365.302,6012,94339,30233,425
2016-06-24$31.77$29.0052.7%15.1%56.6%46.2%53.9%7.0%2.5%1.2M-20.2M-383.6K1.4971.232,1613,22340,03934,295
2016-06-27$28.57$29.0062.0%17.8%69.0%66.5%59.2%10.4%-0.8%342.4K7.4M-338.8K1.4369.582,3253,32340,23034,337
2016-06-28$29.12$29.0054.9%15.7%67.5%49.3%56.7%8.5%2.5%463.5K4.0M-339.1K1.1474.052,3692,71040,47333,970
2016-06-29$30.76$29.0049.8%14.3%70.2%36.8%48.8%5.5%5.3%1.0M-10.6M-355.5K1.2673.521,9212,41440,87134,129
2016-06-30$32.21$29.0046.6%13.3%71.7%29.1%50.0%4.9%6.5%1.6M-25.7M-364.8K0.5680.364,2972,40641,01033,862