CAR Options History — September 2016

In September 2016, CAR traded between $33.71 and $38.90. ATM implied volatility averaged 41.0%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded below realized volatility by 2.3% (HV 20d: 43.2%). Max pain ranged from $35.00 to $39.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.67.

Notable Days

  • 2016-09-27: Highest Volume — 16,659 contracts
  • 2016-09-14: Largest IV drop — 17.0% change
  • 2016-09-13: Highest IV Rank — 42.6%
  • 2016-09-29: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.35$33.71$38.90$36.00$34.27
Max Pain$37.14$35.00$39.00$36.00$37.00
ATM IV41.0%34.6%52.1%37.8%39.9%
Expected Move11.6%9.9%12.7%10.8%11.5%
HV 20d43.2%22.3%60.8%23.0%60.8%
HV 60d49.8%44.7%54.9%50.2%47.9%
IV Rank15.2%0.0%42.6%3.9%12.9%
IV Percentile19.8%0.0%62.3%3.2%12.7%
Term Structure4.1%1.6%7.9%1.6%7.9%
VWIV41.0%36.2%46.0%39.5%43.0%
Skew 25d4.9%3.0%6.7%3.5%3.6%
Skew 10d8.9%1.9%11.7%1.9%10.5%
Call IV 25d38.8%34.8%43.4%36.9%40.2%
Put IV 25d43.7%38.7%48.7%40.4%43.8%
Bid-Ask Spread %31.0917.9880.0180.0168.86
Gamma HHI0.130.080.220.150.09
Net GEX214.8K-808.9K1.7M435.7K-84.6K
Net DEX-8.5M-29.8M22.4M-10.0M18.0M
Net VEX-296.0K-316.2K-276.9K-295.9K-307.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.670.382.702.702.52
Total Volume6,103.5713,15616,6594,7246,633
Total OI62,575.71456,29272,77359,70372,773

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-09-01$36.00$36.0037.8%10.8%23.0%3.9%39.5%3.5%1.6%435.7K-10.0M-295.9K2.7080.011,2773,44728,73530,968
2016-09-02$35.85$36.0034.6%9.9%22.7%0.0%36.2%3.7%3.7%370.9K-8.1M-294.0K2.5540.021,3603,46628,74231,023
2016-09-06$35.92$37.0037.3%11.2%22.3%6.5%40.2%4.8%4.8%374.7K-8.0M-283.9K2.5417.981,3113,33228,79830,980
2016-09-07$37.90$37.0036.6%10.8%30.0%4.9%38.1%6.0%4.4%1.5M-25.6M-284.4K2.5924.241,2833,32228,83931,013
2016-09-08$38.26$37.0035.1%10.7%29.8%1.3%38.7%5.9%5.1%1.7M-29.8M-283.4K2.5020.821,2833,21028,98331,120
2016-09-09$36.21$37.0039.8%11.6%34.9%12.5%40.7%5.2%3.9%548.3K-11.7M-279.6K2.4719.091,6474,07629,01931,253
2016-09-12$36.03$37.0046.4%11.7%34.5%28.6%41.1%5.6%4.2%260.1K-6.5M-285.3K2.2323.461,5533,46829,36033,528
2016-09-13$33.71$37.0052.1%12.1%40.8%42.6%41.9%5.4%3.8%-654.0K10.9M-276.9K2.6323.011,4233,74929,44433,544
2016-09-14$34.41$36.0043.3%12.4%41.5%21.0%42.0%6.7%2.5%-808.9K7.5M-281.2K0.5021.196,5793,25929,59234,259
2016-09-15$35.07$35.0040.7%11.7%42.3%14.8%40.7%6.2%3.8%-249.6K-5.2M-300.9K1.9922.471,5733,13833,80834,385
2016-09-16$37.64$35.0040.6%11.6%49.1%14.4%40.4%4.2%2.9%393.6K-28.1M-295.6K0.3821.8511,2384,31633,93334,392
2016-09-19$37.53$36.0040.8%11.7%49.1%14.9%42.5%5.0%4.0%235.6K-18.8M-299.5K0.7128.322,8242,00924,99031,302
2016-09-20$37.16$37.0042.9%12.3%49.2%20.0%41.5%4.7%2.8%178.1K-14.6M-304.1K1.5923.441,6892,67825,49932,042
2016-09-21$38.23$39.0041.2%11.8%50.2%16.0%40.4%5.4%3.9%84.4K-19.1M-308.8K1.0128.902,3072,34025,78333,394
2016-09-22$38.44$39.0040.1%11.5%48.6%13.3%39.2%4.1%4.1%103.9K-22.3M-309.2K0.8622.681,6931,46325,97333,575
2016-09-23$37.48$39.0039.7%11.4%49.1%12.4%40.2%3.0%5.0%89.1K-14.8M-310.3K0.8920.321,6741,48226,11933,639
2016-09-26$38.90$39.0040.5%11.6%50.6%14.4%41.0%5.6%4.3%111.0K-25.7M-292.9K0.8221.962,1871,79226,03733,714
2016-09-27$35.82$39.0043.8%12.6%58.9%22.3%43.7%4.3%2.9%65.6K-2.7M-298.6K0.8031.119,2587,40126,72333,892
2016-09-28$34.73$38.0042.7%12.3%59.9%19.7%44.0%5.0%5.7%-14.5K13.3M-316.2K1.3728.022,7003,69531,96238,504
2016-09-29$33.77$37.0044.3%12.7%60.5%23.6%46.0%5.2%5.2%-126.6K22.4M-307.3K1.4965.042,0253,01532,60239,849
2016-09-30$34.27$37.0039.9%11.5%60.8%12.9%43.0%3.6%7.9%-84.6K18.0M-307.8K2.5268.861,8834,75032,72040,053