CAR Options History — July 2016

In July 2016, CAR traded between $30.56 and $38.03. ATM implied volatility averaged 53.1%, placing in the 43.2% IV rank vs the trailing year. The 30-day expected move averaged 15.5%. IV traded below realized volatility by 15.3% (HV 20d: 68.4%). Max pain ranged from $29.00 to $31.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 1.47.

Notable Days

  • 2016-07-13: Highest Volume — 10,793 contracts
  • 2016-07-05: Largest IV spike — 16.9% change
  • 2016-07-28: Highest IV Rank — 56.6%
  • 2016-07-28: Largest Expected Move — 16.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.45$30.56$38.03$32.49$36.73
Max Pain$30.25$29.00$31.00$29.00$31.00
ATM IV53.1%44.5%58.4%44.5%58.0%
Expected Move15.5%12.8%16.8%12.8%16.6%
HV 20d68.4%47.7%78.3%71.1%47.7%
HV 60d57.5%54.7%59.3%58.5%54.7%
IV Rank43.2%23.0%56.6%23.0%55.5%
IV Percentile67.1%38.5%79.4%38.5%79.0%
Term Structure-4.2%-9.1%9.0%9.0%-8.8%
VWIV54.7%43.8%59.8%43.8%58.2%
Skew 25d5.7%4.2%7.4%5.6%6.3%
Skew 10d14.5%7.9%26.5%26.5%11.6%
Call IV 25d52.0%43.6%56.5%43.6%55.2%
Put IV 25d57.7%49.2%61.5%49.2%61.5%
Bid-Ask Spread %48.2719.9178.9878.9860.14
Gamma HHI0.120.090.200.130.10
Net GEX1.2M585.6K2.7M1.5M726.2K
Net DEX-40.5M-72.6M-5.5M-25.6M-36.4M
Net VEX-338.7K-358.0K-327.4K-358.0K-329.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.470.692.671.221.07
Total Volume5,275.852,92910,7934,2312,929
Total OI67,309.0557,45677,82172,89260,434

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-07-01$32.49$29.0044.5%12.8%71.1%23.0%43.8%5.6%9.0%1.5M-25.6M-358.0K1.2278.981,9032,32839,00933,883
2016-07-05$31.22$30.0052.0%16.2%67.9%40.5%57.6%7.4%-4.1%978.7K-12.2M-335.8K1.2020.722,3132,77439,13233,906
2016-07-06$30.56$30.0051.4%16.0%65.5%39.0%59.0%6.5%-4.4%703.9K-5.5M-329.2K1.9219.912,0293,89639,65334,103
2016-07-07$30.90$30.0049.8%15.9%65.7%34.9%58.0%7.4%-3.3%916.5K-9.3M-327.4K2.3723.171,8014,26639,71434,143
2016-07-08$34.65$30.0047.9%15.4%78.3%30.2%53.5%7.1%-3.1%2.5M-51.1M-351.2K1.0221.015,1495,26939,71234,513
2016-07-11$34.78$30.0055.3%15.5%76.9%48.7%56.5%6.1%-3.9%2.4M-52.5M-350.7K2.6520.431,8134,81041,17135,779
2016-07-12$35.49$30.0054.3%15.5%76.2%46.2%55.2%4.8%-3.9%2.4M-62.4M-348.1K1.7124.862,4764,24541,14236,385
2016-07-13$35.52$30.0052.9%15.2%75.6%42.8%51.9%6.2%-3.7%2.7M-64.3M-344.6K0.6961.536,3894,40441,18836,585
2016-07-14$35.99$30.0052.4%15.0%75.6%41.6%54.2%5.5%-2.6%1.9M-71.3M-345.2K1.4862.593,0914,56241,15236,404
2016-07-15$36.30$30.0051.5%14.8%75.5%39.2%51.4%5.2%-3.0%585.6K-72.6M-342.0K2.0964.372,0634,32141,15536,666
2016-07-18$36.70$30.0052.2%15.0%75.5%41.0%53.1%5.7%-3.7%633.6K-35.4M-336.6K2.6756.151,3773,67928,47428,982
2016-07-19$36.19$30.0053.2%15.3%75.1%43.6%53.9%4.2%-3.3%595.7K-32.3M-337.5K2.4954.501,4133,52528,64529,353
2016-07-20$36.97$30.0052.3%15.0%75.3%41.4%52.2%5.4%-3.9%632.6K-36.4M-341.1K1.1544.121,5751,81528,68529,388
2016-07-21$36.92$30.0053.8%15.4%75.3%45.1%54.7%5.1%-5.3%637.4K-37.5M-336.8K1.1560.951,6371,87728,92429,637
2016-07-22$37.76$31.0051.9%14.9%74.6%40.2%52.2%5.7%-4.3%696.1K-41.7M-337.0K1.0769.541,4731,58229,25629,815
2016-07-25$37.67$31.0055.3%15.8%65.8%48.7%54.6%5.1%-6.2%698.6K-42.5M-329.4K0.8856.001,6941,49629,31129,956
2016-07-26$38.03$31.0056.9%16.3%49.9%52.8%56.6%4.6%-9.1%671.7K-43.7M-333.1K0.7741.671,7671,35529,43930,077
2016-07-27$37.38$31.0057.3%16.4%51.1%53.6%57.3%5.2%-7.3%723.5K-40.6M-329.5K0.6960.392,0061,38029,93330,166
2016-07-28$36.74$31.0058.4%16.8%49.6%56.6%59.8%4.7%-8.4%712.6K-37.0M-331.5K1.1664.351,4031,63230,10530,206
2016-07-29$36.73$31.0058.0%16.6%47.7%55.5%58.2%6.3%-8.8%726.2K-36.4M-329.1K1.0760.141,4161,51330,17430,260