CAR Options History — August 2016

In August 2016, CAR traded between $34.76 and $38.74. ATM implied volatility averaged 41.2%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 4.4% (HV 20d: 36.7%). Max pain ranged from $31.00 to $37.00. Net GEX was positive for 20 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 2.23.

Notable Days

  • 2016-08-29: Highest Volume — 8,268 contracts
  • 2016-08-03: Largest IV drop — 35.9% change
  • 2016-08-02: Highest IV Rank — 74.7%
  • 2016-08-02: Largest Expected Move — 18.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.79$34.76$38.74$36.00$36.20
Max Pain$36.17$31.00$37.00$31.00$36.00
ATM IV41.2%36.2%65.7%63.1%36.8%
Expected Move11.8%10.4%18.8%18.1%10.5%
HV 20d36.7%26.7%50.9%48.6%26.7%
HV 60d53.9%50.2%56.5%54.9%50.2%
IV Rank12.0%0.0%74.7%68.4%1.4%
IV Percentile12.5%0.0%90.9%84.5%1.6%
Term Structure2.1%-13.9%8.1%-11.4%1.2%
VWIV41.7%34.9%68.6%65.3%36.1%
Skew 25d4.6%2.8%6.6%6.6%5.0%
Skew 10d10.1%0.8%16.1%13.0%13.0%
Call IV 25d39.4%34.7%63.0%60.8%34.8%
Put IV 25d44.0%38.5%69.5%67.3%39.8%
Bid-Ask Spread %27.4017.8846.6843.6942.17
Gamma HHI0.120.090.200.100.15
Net GEX628.2K-171.1K1.6M679.3K478.7K
Net DEX-28.9M-56.3M-3.8M-31.2M-10.1M
Net VEX-308.7K-328.1K-295.3K-320.0K-300.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.230.4412.713.372.35
Total Volume5,157.3913438,2685,9755,009
Total OI66,538.95753,30279,02860,43859,461

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-08-01$36.00$31.0063.1%18.1%48.6%68.4%65.3%6.6%-11.4%679.3K-31.2M-320.0K3.3743.691,3684,60730,16730,271
2016-08-02$34.76$31.0065.7%18.8%48.0%74.7%68.6%6.6%-13.9%376.6K-19.0M-328.1K2.8030.511,9495,45930,25033,503
2016-08-03$36.74$33.0042.1%12.1%50.0%15.7%48.2%4.9%0.4%609.4K-33.9M-320.4K2.0444.312,0454,18130,68837,215
2016-08-04$38.07$37.0040.2%11.8%50.9%9.0%42.8%5.4%4.1%864.6K-45.8M-314.7K1.0421.272,4972,59230,79836,941
2016-08-05$38.34$37.0039.1%11.6%32.9%6.2%39.8%4.5%4.1%980.7K-49.1M-315.6K0.4417.885,6732,47531,35037,253
2016-08-08$38.74$37.0042.5%11.8%32.9%15.1%42.1%4.2%3.8%1.3M-56.3M-321.0K0.7224.534,1532,97633,37237,341
2016-08-09$38.32$37.0040.9%11.8%32.9%10.8%41.0%4.8%3.9%1.6M-52.4M-324.6K0.9725.852,9682,87535,46937,791
2016-08-10$37.84$37.0040.5%11.6%33.4%9.8%41.1%4.1%3.7%1.5M-48.1M-319.2K1.8821.871,5692,95335,59637,942
2016-08-11$36.98$37.0040.2%11.5%34.4%9.1%38.4%4.3%4.9%1.0M-36.5M-312.5K0.7921.373,7112,91835,57938,032
2016-08-12$36.37$37.0039.8%11.4%34.9%8.0%40.0%5.0%5.6%916.6K-33.9M-309.0K1.8521.531,6943,13837,79438,168
2016-08-15$37.10$37.0039.9%11.4%35.4%8.4%40.0%3.3%5.3%1.3M-41.4M-306.7K1.6120.071,7122,76337,93738,653
2016-08-16$36.53$37.0039.9%11.4%35.5%8.3%41.8%3.6%5.3%966.5K-36.5M-302.4K2.1320.261,3472,87538,00538,747
2016-08-17$36.42$37.0040.0%11.5%34.6%8.5%39.1%5.4%5.8%661.6K-32.6M-296.3K12.7127.911772,24937,95238,748
2016-08-18$37.13$37.0039.3%11.3%35.3%6.7%38.9%4.6%5.3%463.9K-37.3M-311.2K0.5925.5821612737,98440,958
2016-08-19$37.03$37.0037.0%10.6%34.4%0.9%37.2%4.9%8.1%187.0K-35.9M-311.0K2.1423.021,9294,12337,92241,106
2016-08-22$37.07$37.0037.8%10.8%34.4%2.9%38.2%4.0%1.9%218.8K-14.3M-301.6K2.1223.791,3382,83523,87029,432
2016-08-23$37.20$37.0037.1%10.6%34.2%1.3%37.7%4.2%1.6%239.7K-14.9M-299.8K1.7119.071,8773,21424,05229,739
2016-08-24$36.00$37.0036.8%10.5%35.6%0.3%34.9%3.7%2.0%-35.1K-7.8M-297.0K2.1823.9442392424,47830,061
2016-08-25$35.40$37.0037.4%10.7%35.6%1.9%36.6%4.0%2.2%-171.1K-3.8M-296.1K2.2424.181,6823,77324,74730,296
2016-08-26$35.65$37.0036.2%10.4%35.7%0.0%36.5%4.5%2.9%-130.1K-4.9M-299.8K2.3626.071,5033,54624,95430,555
2016-08-29$36.27$36.0038.8%11.1%35.6%6.6%36.1%2.8%0.3%45.8K-9.1M-295.3K0.7534.724,7313,53725,15030,742
2016-08-30$35.93$36.0036.7%10.5%33.3%1.2%39.5%4.9%2.3%411.5K-9.5M-297.7K2.5446.681,3853,52428,56030,767
2016-08-31$36.20$36.0036.8%10.5%26.7%1.4%36.1%5.0%1.2%478.7K-10.1M-300.0K2.3542.171,4933,51628,58530,876