CAR Options History — February 2017

In February 2017, CAR traded between $32.38 and $40.50. ATM implied volatility averaged 52.2%, placing in the 42.8% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 5.7% (HV 20d: 46.5%). Max pain ranged from $37.00 to $40.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 2.37.

Notable Days

  • 2017-02-15: Highest Volume — 40,106 contracts
  • 2017-02-08: Largest IV drop — 27.1% change
  • 2017-02-07: Highest IV Rank — 93.7%
  • 2017-02-01: Largest Expected Move — 18.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.13$32.38$40.50$37.79$34.78
Max Pain$38.79$37.00$40.00$37.00$40.00
ATM IV52.2%41.0%73.2%63.5%41.5%
Expected Move14.0%11.8%18.2%18.2%11.9%
HV 20d46.5%31.7%63.8%40.3%63.8%
HV 60d43.3%36.6%50.2%44.6%50.2%
IV Rank42.8%15.7%93.7%70.2%16.8%
IV Percentile53.6%14.3%98.4%88.1%18.3%
Term Structure-0.7%-10.9%6.0%-10.9%-0.7%
VWIV49.3%38.5%62.9%62.9%43.2%
Skew 25d5.1%1.9%7.6%1.9%5.3%
Skew 10d11.0%3.7%22.7%17.9%13.4%
Call IV 25d47.3%38.6%63.0%63.0%40.6%
Put IV 25d52.4%42.9%64.8%64.8%46.0%
Bid-Ask Spread %44.3026.9574.5159.0474.51
Gamma HHI0.130.090.580.090.10
Net GEX-2.4M-8.9M-648.1K-1.3M-2.8M
Net DEX61.8M5.9M155.3M33.8M79.8M
Net VEX-658.6K-722.3K-613.3K-614.7K-709.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.370.954.671.041.37
Total Volume9,408.8953,71840,1067,7955,418
Total OI96,496.31680,196129,09780,19699,740

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-02-01$37.79$37.0063.5%18.2%40.3%70.2%62.9%1.9%-10.9%-1.3M33.8M-614.7K1.0459.043,8243,97112,83467,362
2017-02-02$37.36$38.0065.0%15.2%40.5%73.7%53.6%5.3%-0.6%-1.2M32.7M-623.9K1.7738.252,1733,84415,49167,730
2017-02-03$37.75$38.0062.8%14.8%37.1%68.4%52.2%5.8%0.8%-1.2M31.2M-630.1K1.5235.762,0053,05715,59167,878
2017-02-06$36.78$38.0072.3%15.4%38.1%91.4%54.8%6.5%0.8%-1.3M36.1M-613.3K4.6739.271,2405,78615,61768,003
2017-02-07$36.88$38.0073.2%15.2%35.7%93.7%53.4%6.8%-0.5%-1.5M41.2M-631.1K4.6630.419594,46515,80770,501
2017-02-08$36.80$38.0053.3%15.3%35.3%45.4%54.0%5.0%-0.7%-1.5M40.8M-626.7K1.7929.604,2377,56815,95470,864
2017-02-09$37.34$38.0052.9%15.2%33.8%44.3%53.4%7.6%0.2%-1.4M39.5M-647.7K3.3052.949953,28819,09674,294
2017-02-10$37.60$38.0052.9%15.2%32.1%44.4%53.7%5.7%-0.4%-1.3M35.1M-645.4K0.9537.191,9111,80719,15174,339
2017-02-13$37.63$38.0054.5%15.6%31.7%48.8%56.3%4.9%-3.5%-1.2M33.1M-635.0K2.3452.602,0094,70820,24574,655
2017-02-14$38.41$38.0052.8%15.1%32.2%44.7%54.7%7.2%-2.5%-1.2M31.1M-630.4K2.2553.431,7754,00220,43977,507
2017-02-15$40.50$38.0054.7%15.7%35.7%49.4%55.6%6.6%-4.5%-648.1K5.9M-632.3K3.0743.569,85230,25421,30679,751
2017-02-16$35.30$40.0041.3%11.8%60.7%16.3%40.9%3.5%6.0%-6.6M127.8M-690.3K2.8230.575,05514,27224,640102,527
2017-02-17$33.78$40.0042.6%12.2%62.5%19.7%43.5%5.1%4.1%-8.9M155.3M-674.0K3.9055.653,97215,48926,924102,173
2017-02-21$34.56$40.0041.0%11.8%62.3%15.7%41.5%3.9%0.3%-2.8M84.8M-714.3K2.3228.002,3905,54312,31284,191
2017-02-22$34.43$40.0041.7%12.0%61.6%17.4%41.3%2.4%-0.8%-2.8M84.3M-722.3K1.4073.711,9632,74913,38585,793
2017-02-23$33.39$40.0041.8%12.0%59.8%17.6%41.1%4.5%-1.1%-2.8M90.0M-701.6K3.5426.951,8276,46313,51786,732
2017-02-24$32.38$40.0041.0%11.8%60.3%15.7%38.5%3.5%1.2%-2.6M96.4M-686.6K0.9943.602,3652,33613,59184,625
2017-02-27$33.05$40.0042.7%12.2%60.6%19.7%42.6%5.0%-0.7%-2.7M95.4M-684.9K1.3936.702,1783,01913,99184,874
2017-02-28$34.78$40.0041.5%11.9%63.8%16.8%43.2%5.3%-0.7%-2.8M79.8M-709.6K1.3774.512,2833,13514,39985,341