CAR Options History — October 2016

In October 2016, CAR traded between $31.31 and $34.00. ATM implied volatility averaged 50.3%, placing in the 38.1% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded above realized volatility by 2.3% (HV 20d: 48.0%). Max pain ranged from $32.00 to $37.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 2.37.

Notable Days

  • 2016-10-07: Highest Volume — 14,458 contracts
  • 2016-10-12: Largest IV spike — 18.1% change
  • 2016-10-31: Highest IV Rank — 63.6%
  • 2016-10-31: Largest Expected Move — 17.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.45$31.31$34.00$33.83$32.47
Max Pain$32.71$32.00$37.00$37.00$32.00
ATM IV50.3%40.8%60.8%43.1%60.8%
Expected Move14.8%11.9%17.4%12.4%17.4%
HV 20d48.0%32.8%61.3%60.9%32.8%
HV 60d43.1%41.3%44.1%41.8%41.3%
IV Rank38.1%15.0%63.6%20.7%63.6%
IV Percentile55.3%19.0%80.6%33.3%80.6%
Term Structure-4.8%-11.0%7.0%6.5%-11.0%
VWIV52.2%44.4%60.1%46.6%60.1%
Skew 25d6.1%3.9%7.4%5.9%6.6%
Skew 10d12.4%5.1%17.5%8.4%11.1%
Call IV 25d49.6%41.2%58.1%42.0%58.1%
Put IV 25d55.6%45.1%64.7%47.9%64.7%
Bid-Ask Spread %29.2813.6073.4266.5344.64
Gamma HHI0.140.100.360.100.11
Net GEX171.1K-528.6K1.6M-207.6K-494.9K
Net DEX29.9M16.0M50.8M24.5M17.1M
Net VEX-274.7K-308.9K-246.6K-298.3K-254.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.370.506.231.223.01
Total Volume7,014.9053,62614,4587,3395,812
Total OI78,58558,48995,34073,54362,243

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-10-03$33.83$37.0043.1%12.4%60.9%20.7%46.6%5.9%6.5%-207.6K24.5M-298.3K1.2266.533,3114,02832,70340,840
2016-10-04$33.09$37.0042.9%12.3%61.3%20.0%44.4%4.6%5.9%-161.8K29.2M-291.3K1.5472.612,8084,33634,15740,833
2016-10-05$34.00$37.0041.4%11.9%58.6%16.4%47.5%3.9%7.0%-44.3K22.6M-299.4K1.4673.422,4803,62234,47341,057
2016-10-06$33.72$32.0040.9%13.9%58.3%15.2%46.7%4.9%-4.5%-180.1K26.5M-308.9K2.4520.332,4095,90634,63343,307
2016-10-07$32.56$32.0041.4%14.2%56.5%16.4%51.5%4.9%-4.1%-373.3K39.9M-285.8K0.8922.227,6356,82334,64243,342
2016-10-10$33.85$32.0040.8%14.0%58.7%15.0%51.2%6.5%-4.1%976.6K19.3M-305.6K1.6117.901,6052,58840,83943,622
2016-10-11$32.60$32.0044.3%14.6%55.3%23.5%51.1%6.3%-5.2%572.0K33.1M-292.1K1.4215.711,5002,12641,06843,875
2016-10-12$32.30$32.0052.3%15.0%54.7%42.9%52.1%7.4%-5.4%446.6K36.1M-288.8K3.1117.971,4414,48441,05743,964
2016-10-13$31.59$32.0054.2%15.5%54.5%47.5%54.1%6.7%-7.3%-44.2K50.8M-275.2K0.5013.607,7883,92941,10246,143
2016-10-14$31.31$32.0054.1%15.5%46.5%47.3%53.2%7.1%-6.8%974.5K40.7M-278.5K3.7515.871,5155,67847,50845,095
2016-10-17$31.59$32.0054.4%15.6%46.9%48.1%52.2%7.0%-8.0%921.3K41.9M-271.5K2.8116.651,2563,53147,56046,174
2016-10-18$32.07$32.0054.0%15.5%47.6%47.2%54.6%6.6%-7.0%1.1M34.3M-269.8K6.2014.621,5379,53447,64345,861
2016-10-19$32.24$32.0053.6%15.4%46.0%46.2%54.2%5.1%-7.5%1.3M32.1M-272.7K6.2317.461,5329,53947,98247,346
2016-10-20$31.72$32.0054.4%15.6%45.8%47.9%53.8%6.0%-8.2%1.6M42.0M-261.0K4.2523.071,6166,86648,07347,267
2016-10-21$31.33$32.0053.8%15.4%45.4%46.7%54.4%5.5%-7.6%-498.1K46.9M-253.7K1.7926.323,6716,57348,20446,839
2016-10-24$32.15$32.0053.3%15.3%44.1%45.4%54.2%6.5%-6.2%-438.5K17.9M-246.6K1.4329.801,6252,31923,64834,841
2016-10-25$32.01$32.0052.7%15.1%34.6%43.9%54.2%5.7%-4.3%-454.9K18.3M-250.8K1.7923.821,4072,51724,07735,547
2016-10-26$32.51$32.0053.8%15.4%34.0%46.7%54.8%6.1%-6.6%-431.1K16.0M-255.5K1.5330.141,4872,28124,14936,012
2016-10-27$32.01$32.0055.1%15.8%33.1%49.6%53.5%6.8%-8.2%-528.6K20.6M-252.7K1.6728.681,6862,82224,38436,452
2016-10-28$32.44$32.0055.3%15.9%33.0%50.2%52.9%6.9%-7.8%-519.5K18.6M-256.4K1.1423.621,7221,96824,51037,213
2016-10-31$32.47$32.0060.8%17.4%32.8%63.6%60.1%6.6%-11.0%-494.9K17.1M-254.0K3.0144.641,4494,36324,75637,487