CAR Options History — May 2017

In May 2017, CAR traded between $21.58 and $31.28. ATM implied volatility averaged 54.9%, placing in the 51.9% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded above realized volatility by 4.7% (HV 20d: 50.1%). Max pain ranged from $30.00 to $33.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 2.00.

Notable Days

  • 2017-05-16: Highest Volume — 16,740 contracts
  • 2017-05-04: Largest IV drop — 35.4% change
  • 2017-05-03: Highest IV Rank — 89.5%
  • 2017-05-03: Largest Expected Move — 20.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.26$21.58$31.28$30.99$22.81
Max Pain$31.27$30.00$33.00$33.00$30.00
ATM IV54.9%44.1%71.0%67.9%57.9%
Expected Move15.7%12.8%20.4%19.5%16.6%
HV 20d50.1%37.0%59.7%44.1%54.8%
HV 60d49.9%45.5%54.1%51.1%47.6%
IV Rank51.9%24.6%89.5%81.8%60.5%
IV Percentile77.5%41.7%98.8%97.6%89.3%
Term Structure0.8%-15.1%6.5%-15.0%-1.1%
VWIV55.3%46.8%74.5%66.7%58.5%
Skew 25d5.7%3.3%9.0%7.4%4.7%
Skew 10d11.6%7.9%16.5%15.1%12.2%
Call IV 25d53.2%43.4%69.3%64.3%58.1%
Put IV 25d58.9%48.2%78.3%71.7%62.8%
Bid-Ask Spread %20.1910.0151.9439.7517.62
Gamma HHI0.150.110.180.120.17
Net GEX-2.3M-3.4M-1.7M-2.1M-1.7M
Net DEX122.7M72.0M164.9M73.5M114.4M
Net VEX-679.1K-730.2K-604.9K-729.3K-709.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.000.734.891.180.87
Total Volume9,221.9094,25516,7405,8658,035
Total OI136,698.591123,085160,060123,085136,788

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-05-01$30.99$33.0067.9%19.5%44.1%81.8%66.7%7.4%-15.0%-2.1M73.5M-729.3K1.1839.752,6883,17723,80999,276
2017-05-02$31.28$33.0065.6%18.8%37.0%76.2%69.0%3.3%-13.0%-2.1M72.0M-730.2K1.8951.941,8723,53123,87099,621
2017-05-03$30.93$33.0071.0%20.4%37.4%89.5%74.5%9.0%-15.1%-2.1M74.7M-725.6K3.7151.463,26812,14023,94699,823
2017-05-04$29.75$32.0045.9%12.9%39.0%29.1%48.0%6.5%5.0%-3.1M91.9M-724.9K4.0420.592,1588,72225,762107,650
2017-05-05$29.65$32.0044.1%12.8%38.8%24.6%48.1%4.5%5.2%-3.2M94.3M-711.1K1.9419.772,0463,96326,064108,133
2017-05-08$27.36$32.0047.8%13.3%48.9%34.2%47.3%5.1%4.6%-3.4M120.9M-660.2K1.3821.856,2958,66326,351107,503
2017-05-09$27.32$32.0051.6%13.8%46.7%44.0%47.7%5.8%4.9%-3.4M121.4M-676.8K1.7623.853,0545,36224,532110,134
2017-05-10$26.51$32.0046.4%13.3%47.7%30.5%46.8%3.4%5.5%-3.4M129.9M-678.6K1.0714.602,2502,41225,538112,541
2017-05-11$25.32$32.0050.2%14.4%49.6%40.3%49.8%3.8%5.8%-2.9M141.1M-651.3K3.2612.432,5778,39125,763113,009
2017-05-12$25.01$32.0049.8%14.3%49.6%39.4%49.0%3.6%4.6%-2.8M149.0M-657.4K4.8915.282,0009,78726,501117,051
2017-05-15$23.73$32.0051.7%14.8%51.9%44.4%52.7%6.2%5.1%-2.3M156.4M-621.8K3.4615.123,43411,87726,788117,368
2017-05-16$23.75$32.0050.8%14.6%51.1%41.9%51.1%5.1%6.5%-2.4M159.8M-650.6K3.4214.003,78512,95528,301121,412
2017-05-17$22.06$31.0056.1%16.1%54.4%55.6%55.8%7.0%4.7%-1.8M164.9M-630.8K1.9714.654,0668,00029,864124,356
2017-05-18$21.58$30.0056.3%16.1%54.0%56.1%56.3%7.3%4.6%-1.7M163.6M-604.9K2.1210.014,3229,17931,322124,290
2017-05-19$22.43$30.0056.0%16.1%57.2%55.5%55.4%5.7%5.6%-1.8M162.9M-668.6K0.9212.404,3413,97931,279128,781
2017-05-22$23.60$30.0054.0%15.5%58.8%50.2%55.1%4.2%0.3%-1.9M111.6M-708.8K0.8217.143,2092,62717,652107,431
2017-05-23$22.40$30.0056.2%16.1%59.7%56.0%58.3%7.3%1.5%-1.7M117.7M-674.9K1.3812.322,5083,44918,732108,364
2017-05-24$22.32$30.0057.8%16.6%57.6%60.2%58.0%6.0%-0.3%-1.7M120.0M-684.8K0.7914.132,3731,88219,828111,212
2017-05-25$22.31$30.0056.3%16.1%56.2%56.2%56.0%6.5%-0.8%-1.7M121.0M-684.3K1.3613.762,0492,79520,382111,612
2017-05-26$22.03$30.0055.2%15.8%54.0%53.4%54.1%6.9%-0.1%-1.7M121.0M-674.6K1.0113.402,9122,93320,711111,125
2017-05-30$22.56$30.0058.4%16.7%54.7%61.6%58.3%6.6%-0.2%-1.7M117.3M-682.3K0.7318.084,5193,29721,698111,196
2017-05-31$22.81$30.0057.9%16.6%54.8%60.5%58.5%4.7%-1.1%-1.7M114.4M-709.0K0.8717.624,2873,74823,606113,182