CAR Options History — January 2017

In January 2017, CAR traded between $35.22 and $39.19. ATM implied volatility averaged 48.8%, placing in the 34.3% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded above realized volatility by 6.7% (HV 20d: 42.1%). Max pain ranged from $37.00 to $38.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 3.23.

Notable Days

  • 2017-01-26: Highest Volume — 18,116 contracts
  • 2017-01-26: Largest IV spike — 20.5% change
  • 2017-01-31: Highest IV Rank — 64.4%
  • 2017-01-31: Largest Expected Move — 17.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.03$35.22$39.19$37.49$37.48
Max Pain$37.10$37.00$38.00$38.00$37.00
ATM IV48.8%43.1%61.1%44.8%61.1%
Expected Move14.2%12.7%17.5%12.9%17.5%
HV 20d42.1%38.6%47.2%46.1%41.0%
HV 60d48.7%47.3%50.4%48.1%50.4%
IV Rank34.3%20.5%64.4%24.8%64.4%
IV Percentile45.7%22.6%84.1%31.3%84.1%
Term Structure0.7%-9.2%5.0%3.8%-9.1%
VWIV51.0%44.4%62.0%44.8%62.0%
Skew 25d5.5%3.5%8.0%5.5%3.9%
Skew 10d11.5%2.6%20.5%7.3%11.3%
Call IV 25d48.0%42.9%60.9%42.9%60.9%
Put IV 25d53.6%47.7%64.8%48.4%64.8%
Bid-Ask Spread %58.7929.9380.3729.9335.37
Gamma HHI0.180.090.550.120.10
Net GEX-1.2M-3.4M-216.6K-235.9K-1.4M
Net DEX26.8M10.2M52.6M11.7M35.5M
Net VEX-444.8K-624.5K-384.7K-408.0K-615.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.231.3613.461.632.78
Total Volume7,3504,95718,1165,8004,957
Total OI86,794.550,774103,66590,93080,072

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-01-03$37.49$38.0044.8%12.9%46.1%24.8%44.8%5.5%3.8%-235.9K11.7M-408.0K1.6329.932,2073,59328,33762,593
2017-01-04$37.51$38.0044.2%12.7%45.6%23.2%44.4%3.5%2.7%-216.6K10.2M-404.8K2.0130.331,9323,87828,64262,934
2017-01-05$35.89$37.0044.6%14.1%44.8%24.3%50.5%4.0%3.3%-849.9K25.7M-403.1K3.0261.352,0046,05928,73963,404
2017-01-06$36.47$37.0043.2%13.8%45.4%20.8%51.2%6.9%2.2%-1.1M27.0M-409.1K1.9759.411,9093,75628,85766,616
2017-01-09$35.22$37.0046.1%14.0%46.5%27.9%48.5%7.0%3.3%-1.7M41.0M-393.5K1.5861.991,9793,12928,85466,876
2017-01-10$35.85$37.0043.1%13.7%47.2%20.5%48.9%7.1%1.7%-1.5M33.6M-394.2K1.7168.171,9663,36828,97766,846
2017-01-11$37.02$37.0046.5%13.3%41.6%28.7%49.7%8.0%4.4%-1.0M22.7M-398.0K2.3366.001,9924,63429,06367,320
2017-01-12$35.98$37.0048.8%14.0%42.7%34.5%48.5%7.2%1.6%-1.7M32.6M-406.6K1.6066.712,2093,53829,37068,846
2017-01-13$36.55$37.0045.8%13.1%40.6%27.2%46.2%6.1%5.0%-1.7M29.6M-407.1K1.9673.882,1044,12829,49769,516
2017-01-17$36.27$37.0047.2%13.5%39.9%30.6%48.2%6.3%4.3%-2.3M32.3M-392.2K1.3680.372,2793,09029,53469,650
2017-01-18$37.34$37.0047.3%13.5%39.5%30.7%50.0%4.5%3.0%-1.3M18.5M-384.7K2.6362.021,9515,13129,66869,748
2017-01-19$36.17$37.0047.7%13.7%40.9%31.8%50.7%6.7%1.6%-3.4M32.3M-395.7K1.8268.962,7364,99329,72571,636
2017-01-20$35.80$37.0048.2%13.8%39.5%32.9%48.1%3.7%1.7%-1.2M52.6M-400.8K1.7673.682,8465,01830,37673,289
2017-01-23$36.76$37.0046.2%13.2%40.9%28.0%49.8%3.6%2.5%-554.2K18.5M-409.0K3.5972.031,6285,84610,46640,308
2017-01-24$37.59$37.0046.4%13.3%38.6%28.5%52.3%6.4%3.4%-594.7K16.1M-433.5K7.5045.971,45710,93311,36944,680
2017-01-25$39.15$37.0048.2%13.8%40.4%32.9%48.4%5.6%0.9%-633.5K13.3M-477.9K4.8568.561,6808,14611,84351,258
2017-01-26$38.58$37.0058.1%16.6%40.5%57.0%59.2%5.2%-6.8%-1.0M22.8M-523.7K13.4667.311,25316,86312,39256,708
2017-01-27$39.19$37.0057.1%16.4%39.6%54.6%57.4%4.5%-6.8%-1.1M26.6M-614.4K3.7842.901,3485,09312,53665,556
2017-01-30$38.25$37.0060.6%17.4%40.6%63.1%61.5%5.1%-9.2%-1.3M33.5M-624.5K3.2840.931,2534,11412,56667,223
2017-01-31$37.48$37.0061.1%17.5%41.0%64.4%62.0%3.9%-9.1%-1.4M35.5M-615.1K2.7835.371,3103,64712,76567,307