CAR Options History — December 2016

In December 2016, CAR traded between $36.25 and $41.02. ATM implied volatility averaged 44.9%, placing in the 24.9% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 2.7% (HV 20d: 42.2%). Max pain ranged from $37.00 to $38.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.60.

Notable Days

  • 2016-12-13: Highest Volume — 11,039 contracts
  • 2016-12-12: Largest IV spike — 27.0% change
  • 2016-12-13: Highest IV Rank — 53.5%
  • 2016-12-14: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.41$36.25$41.02$38.83$36.63
Max Pain$37.71$37.00$38.00$38.00$38.00
ATM IV44.9%41.3%56.7%44.6%43.8%
Expected Move12.4%11.7%13.4%12.8%12.6%
HV 20d42.2%27.0%62.9%62.9%45.2%
HV 60d50.1%47.8%52.6%52.6%48.0%
IV Rank24.9%16.3%53.5%24.3%22.3%
IV Percentile31.3%18.3%75.4%31.0%26.6%
Term Structure2.0%-1.9%4.5%-1.9%2.2%
VWIV42.0%35.6%46.1%45.2%43.0%
Skew 25d4.1%2.8%5.3%3.5%3.3%
Skew 10d8.7%1.8%13.9%4.8%8.3%
Call IV 25d42.2%39.0%45.9%43.5%43.5%
Put IV 25d46.3%43.7%49.8%47.0%46.8%
Bid-Ask Spread %24.3615.3940.5940.5936.24
Gamma HHI0.090.080.120.080.11
Net GEX-311.1K-1.2M152.4K-467.7K-461.1K
Net DEX-1.7M-25.5M17.9M-5.4M17.0M
Net VEX-346.4K-421.5K-273.9K-290.1K-418.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.600.812.801.611.91
Total Volume6,206.7624,65511,0394,7345,844
Total OI78,504.95268,93690,31668,93690,316

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-12-01$38.83$38.0044.6%12.8%62.9%24.3%45.2%3.5%-1.9%-467.7K-5.4M-290.1K1.6140.591,8152,91922,43046,506
2016-12-02$38.50$38.0045.4%13.0%49.0%26.0%45.5%3.4%-1.7%-507.1K-3.6M-294.0K1.7437.741,6962,95922,61646,875
2016-12-05$39.19$37.0044.6%12.1%48.3%24.2%39.0%4.3%3.8%-369.4K-9.6M-285.7K1.8419.151,7253,17222,74146,985
2016-12-06$40.85$37.0041.3%11.8%48.9%16.3%44.0%5.3%0.8%-88.1K-21.1M-274.4K1.7316.911,9943,44422,87447,468
2016-12-07$41.02$37.0043.7%11.7%32.3%22.0%38.6%4.8%1.3%81.9K-25.5M-273.9K1.2719.592,1922,78123,21047,629
2016-12-08$40.44$37.0043.1%11.9%33.2%20.6%36.7%4.1%1.9%49.1K-23.0M-280.0K1.3815.392,0862,88023,59148,051
2016-12-09$40.50$37.0043.5%11.9%27.0%21.7%37.7%4.5%2.7%47.3K-22.8M-274.6K1.1117.732,4682,75023,69248,364
2016-12-12$37.60$37.0055.3%12.8%38.6%50.2%42.6%4.1%2.0%-758.2K2.7M-287.2K1.4619.992,1473,13424,00048,667
2016-12-13$37.77$38.0056.7%12.9%37.5%53.5%41.8%5.3%1.4%-798.7K3.2M-292.9K2.8020.742,9038,13624,26449,086
2016-12-14$36.25$38.0046.8%13.4%38.4%29.5%45.8%3.9%1.1%-1.1M17.9M-344.5K0.8123.454,5013,63424,83754,482
2016-12-15$37.03$38.0045.6%13.1%38.6%26.6%45.6%4.8%3.1%-1.2M13.1M-371.3K1.3320.742,4933,32326,67956,368
2016-12-16$38.26$38.0044.0%12.6%40.6%22.7%46.1%5.2%3.2%-149.4K-2.9M-367.4K1.4917.642,7104,03627,01657,115
2016-12-19$38.45$38.0043.0%12.3%40.5%20.4%41.4%4.6%2.9%-116.7K-277.7K-374.4K1.1420.632,5082,86023,60952,045
2016-12-20$39.44$38.0042.4%12.1%41.3%18.8%35.6%3.8%3.8%127.0K-8.5M-368.3K1.8322.102,8905,30224,25952,891
2016-12-21$39.00$38.0043.1%12.3%41.1%20.5%40.7%4.2%2.5%152.4K-7.1M-396.8K1.5432.762,5913,97925,18556,709
2016-12-22$37.26$38.0043.5%12.5%44.0%21.5%43.4%3.8%1.3%-196.8K5.9M-406.5K1.3230.104,3355,72825,63157,389
2016-12-23$38.12$38.0041.6%11.9%44.9%16.8%40.2%3.7%4.5%21.4K1.4M-421.5K1.4525.942,4803,60027,76659,976
2016-12-27$37.64$38.0042.8%12.3%44.4%19.9%42.3%2.8%1.4%-52.3K4.0M-416.2K2.0923.871,8713,90628,03260,165
2016-12-28$36.72$38.0043.5%12.5%45.0%21.6%43.6%3.2%2.9%-462.5K15.6M-416.6K1.9224.131,7963,44028,13361,104
2016-12-29$37.16$38.0044.6%12.8%45.2%24.3%44.4%3.9%3.7%-311.4K12.7M-420.6K1.8126.151,8893,42528,20661,642
2016-12-30$36.63$38.0043.8%12.6%45.2%22.3%43.0%3.3%2.2%-461.1K17.0M-418.3K1.9136.242,0113,83328,33261,984