CAR Options History — November 2016

In November 2016, CAR traded between $32.57 and $39.91. ATM implied volatility averaged 47.9%, placing in the 32.3% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded below realized volatility by 9.4% (HV 20d: 57.3%). Max pain ranged from $34.00 to $38.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.80.

Notable Days

  • 2016-11-08: Highest Volume — 18,674 contracts
  • 2016-11-03: Largest IV drop — 29.0% change
  • 2016-11-02: Highest IV Rank — 82.9%
  • 2016-11-02: Largest Expected Move — 19.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.81$32.57$39.91$32.57$38.45
Max Pain$36.19$34.00$38.00$34.00$38.00
ATM IV47.9%40.6%68.7%65.3%43.8%
Expected Move13.3%11.6%19.7%18.7%12.6%
HV 20d57.3%30.2%63.2%32.0%63.0%
HV 60d51.4%41.2%54.0%41.3%53.7%
IV Rank32.3%14.4%82.9%74.4%22.3%
IV Percentile39.9%15.1%96.0%90.5%27.4%
Term Structure-2.0%-16.2%2.8%-14.8%-0.9%
VWIV47.4%40.6%68.1%66.4%44.0%
Skew 25d5.2%2.7%8.5%8.1%4.8%
Skew 10d10.9%5.1%15.8%15.0%8.2%
Call IV 25d44.6%39.0%64.1%61.0%41.9%
Put IV 25d49.8%42.6%72.6%69.1%46.6%
Bid-Ask Spread %38.9920.0579.8579.8535.77
Gamma HHI0.110.080.160.100.08
Net GEX-215.2K-746.2K436.0K-740.0K-519.1K
Net DEX-19.0M-55.9M23.0M23.0M-3.1M
Net VEX-264.3K-284.8K-228.9K-263.2K-284.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.800.803.131.682.84
Total Volume6,438.6673,48718,6743,4876,859
Total OI72,505.66760,99585,70465,25068,774

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-11-01$32.57$34.0065.3%18.7%32.0%74.4%66.4%8.1%-14.8%-740.0K23.0M-263.2K1.6879.851,3032,18424,90740,343
2016-11-02$32.57$34.0068.7%19.7%30.2%82.9%68.1%8.5%-16.2%-746.2K22.3M-263.9K1.4772.833,0794,52125,00740,777
2016-11-03$36.54$35.0048.8%12.4%51.3%34.5%44.6%5.4%-0.8%-158.7K-15.5M-259.4K1.7827.332,2453,98526,42142,522
2016-11-04$37.67$35.0047.1%12.2%49.9%30.4%43.6%4.8%-1.1%-72.9K-24.1M-253.8K1.1620.051,9392,25426,35743,212
2016-11-07$39.02$35.0051.8%12.4%49.6%41.7%45.9%5.0%-2.0%182.9K-38.7M-228.9K0.9824.972,1842,13226,95243,665
2016-11-08$35.45$35.0063.8%14.6%59.9%70.9%52.0%6.5%-3.0%-373.0K-3.0M-266.0K0.8024.8110,3658,30927,52743,934
2016-11-09$35.83$35.0048.5%13.9%59.7%33.7%49.1%5.1%-2.0%-216.0K-9.3M-275.6K1.8724.321,8973,55130,22646,935
2016-11-10$37.95$35.0045.0%12.9%61.5%25.1%46.9%7.2%-0.8%187.9K-32.4M-261.6K1.1423.812,9633,38430,40047,094
2016-11-11$37.90$35.0047.2%13.5%61.3%30.5%48.7%4.6%-1.7%320.9K-37.0M-267.2K1.7525.881,9853,48031,48747,671
2016-11-14$38.84$35.0048.6%13.9%61.5%34.1%50.2%6.6%-2.4%436.0K-47.4M-249.8K1.6628.221,8062,98931,39448,261
2016-11-15$39.91$36.0046.6%13.3%61.8%29.0%47.8%6.6%-1.1%352.4K-55.9M-241.2K3.1325.472,1456,72031,45748,998
2016-11-16$38.86$37.0044.9%12.9%63.2%24.9%45.4%6.0%0.1%-12.2K-43.9M-256.7K1.7827.742,6984,79431,68452,664
2016-11-17$38.78$37.0042.2%12.1%62.6%18.5%43.5%4.7%1.3%-428.0K-42.2M-256.7K2.6555.041,5584,13131,81753,405
2016-11-18$38.46$37.0041.1%11.8%62.4%15.7%40.9%2.9%2.0%-391.7K-39.1M-260.6K2.4653.511,8184,46531,76553,939
2016-11-21$38.97$37.0041.4%11.9%62.2%16.6%42.9%5.1%2.8%-344.6K-8.9M-265.9K2.0453.182,2564,60119,89641,099
2016-11-22$39.57$38.0040.6%11.6%62.0%14.4%41.9%3.6%0.8%-402.0K-9.9M-276.8K2.2045.301,8614,08721,19043,553
2016-11-23$39.78$38.0040.6%11.6%62.0%14.5%40.6%3.8%1.9%-352.8K-12.5M-280.0K1.4946.872,1373,17721,32244,338
2016-11-25$39.75$38.0041.1%11.8%61.4%15.7%41.4%3.5%0.4%-314.1K-12.3M-279.4K1.5547.152,0263,14521,75444,808
2016-11-28$38.80$38.0044.5%12.8%62.6%24.0%44.7%2.7%-2.6%-434.3K-6.5M-278.9K1.7744.351,9433,43621,85245,108
2016-11-29$38.35$38.0044.9%12.9%63.0%24.9%46.6%3.9%-2.5%-494.7K-3.5M-280.8K1.6732.281,8003,00022,01246,092
2016-11-30$38.45$38.0043.8%12.6%63.0%22.3%44.0%4.8%-0.9%-519.1K-3.1M-284.8K2.8435.771,7855,07422,25146,523