CAR Options History — March 2017

In March 2017, CAR traded between $28.28 and $34.52. ATM implied volatility averaged 40.5%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded below realized volatility by 15.6% (HV 20d: 56.1%). Max pain ranged from $31.00 to $40.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 1.69.

Notable Days

  • 2017-03-21: Highest Volume — 9,645 contracts
  • 2017-03-13: Largest IV spike — 17.4% change
  • 2017-03-14: Highest IV Rank — 27.5%
  • 2017-03-27: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.54$28.28$34.52$34.52$29.76
Max Pain$33.35$31.00$40.00$40.00$31.00
ATM IV40.5%37.0%45.8%41.3%37.0%
Expected Move11.5%10.6%12.4%11.8%10.6%
HV 20d56.1%42.6%67.5%63.6%44.6%
HV 60d49.6%47.8%50.9%50.1%49.9%
IV Rank14.4%5.8%27.5%16.4%5.8%
IV Percentile15.8%2.8%42.9%16.7%2.8%
Term Structure7.8%-0.1%11.9%-0.1%11.9%
VWIV40.5%37.7%43.4%42.2%37.7%
Skew 25d4.1%1.0%5.8%1.0%4.3%
Skew 10d8.0%2.7%13.5%2.7%8.3%
Call IV 25d38.8%35.9%41.5%41.5%35.9%
Put IV 25d42.9%40.2%47.1%42.5%40.2%
Bid-Ask Spread %34.9917.1276.3076.3017.12
Gamma HHI0.130.100.320.100.12
Net GEX-2.5M-4.6M-1.8M-2.8M-1.9M
Net DEX86.4M62.9M101.6M79.3M75.1M
Net VEX-668.5K-703.0K-623.2K-692.8K-655.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.690.815.261.721.98
Total Volume4,676.9132,7649,6455,5805,773
Total OI101,403.21790,602110,951101,23898,436

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-03-01$34.52$40.0041.3%11.8%63.6%16.4%42.2%1.0%-0.1%-2.8M79.3M-692.8K1.7276.302,0503,53014,58686,652
2017-03-02$34.18$40.0039.7%11.4%63.4%12.4%39.2%3.0%0.7%-2.8M85.2M-701.3K1.3125.091,9782,59114,64987,131
2017-03-03$34.49$40.0037.5%10.7%63.6%7.0%40.2%4.8%1.5%-2.8M85.1M-703.0K1.2930.531,8452,38214,76287,457
2017-03-06$32.52$33.0042.1%11.9%66.2%18.3%42.7%5.1%6.3%-2.9M100.7M-664.2K0.9340.851,9361,79314,73187,489
2017-03-07$32.24$33.0040.9%11.6%65.8%15.4%41.6%3.9%8.7%-2.9M101.6M-700.8K1.3327.073,0394,05018,53789,368
2017-03-08$32.35$33.0038.5%11.5%65.8%9.5%41.3%3.8%8.5%-2.9M100.3M-702.2K2.0643.341,3782,83218,58989,803
2017-03-09$32.46$33.0040.3%11.7%65.9%13.9%41.3%5.3%7.6%-3.0M100.7M-700.3K1.4543.871,5362,22818,58989,929
2017-03-10$32.96$33.0037.6%11.3%65.9%7.4%41.7%5.8%7.7%-2.8M96.9M-693.8K1.6146.271,2742,05218,83089,855
2017-03-13$32.85$33.0044.2%11.3%65.8%23.6%39.1%3.8%9.2%-3.1M95.1M-683.0K1.3246.511,5212,00918,85190,115
2017-03-14$32.57$33.0045.8%11.4%65.7%27.5%39.7%5.0%8.2%-3.3M101.0M-683.7K1.2042.101,6932,03919,09291,071
2017-03-15$34.02$33.0038.8%11.1%67.5%10.2%39.6%3.8%8.6%-2.4M84.8M-696.6K0.9464.341,4241,34019,25191,201
2017-03-16$34.23$33.0038.8%11.1%64.0%10.4%39.6%3.0%8.2%-2.0M82.1M-693.8K0.8135.581,6071,30319,42091,531
2017-03-17$32.85$34.0038.7%11.1%44.4%9.9%38.6%3.1%8.5%-4.6M93.1M-676.6K1.1044.171,6421,80919,46991,420
2017-03-20$32.02$34.0039.0%11.2%42.6%10.8%38.9%4.6%9.6%-1.8M62.9M-673.5K1.0927.421,4421,57515,81574,787
2017-03-21$29.55$34.0042.7%12.2%49.6%19.8%42.1%4.1%8.2%-1.9M79.0M-645.2K2.5925.432,6846,96116,17375,305
2017-03-22$29.32$31.0042.2%12.1%49.6%18.6%40.0%5.0%8.8%-1.8M79.0M-636.6K3.1932.001,5374,90817,27775,010
2017-03-23$28.57$31.0042.9%12.3%49.3%20.4%42.1%5.7%8.0%-1.8M82.1M-626.8K1.6931.771,7222,91817,28074,846
2017-03-24$28.51$31.0041.6%11.9%48.6%17.2%42.1%4.0%8.7%-1.9M83.5M-626.7K5.2618.241,1606,09917,63375,480
2017-03-27$28.28$31.0043.2%12.4%47.5%21.1%43.4%4.8%9.0%-1.9M85.7M-623.2K2.1617.541,6203,50717,85576,844
2017-03-28$28.66$31.0040.0%11.5%43.0%13.2%40.5%3.2%10.2%-1.9M81.2M-625.9K1.1719.472,2332,61818,34176,477
2017-03-29$28.99$31.0039.6%11.4%43.7%12.3%40.0%4.1%11.4%-1.9M78.3M-631.6K1.1130.651,5191,68519,32876,724
2017-03-30$29.46$31.0038.7%11.1%44.5%10.0%38.2%3.8%11.1%-1.9M74.7M-638.4K1.5219.191,8772,85019,40476,881
2017-03-31$29.76$31.0037.0%10.6%44.6%5.8%37.7%4.3%11.9%-1.9M75.1M-655.5K1.9817.121,9373,83619,74678,690