CAR Options History — June 2017

In June 2017, CAR traded between $21.57 and $27.38. ATM implied volatility averaged 60.3%, placing in the 66.6% IV rank vs the trailing year. The 30-day expected move averaged 16.9%. IV traded above realized volatility by 1.3% (HV 20d: 59.1%). Max pain ranged from $22.00 to $30.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.89.

Notable Days

  • 2017-06-26: Highest Volume — 31,640 contracts
  • 2017-06-14: Largest IV drop — 24.0% change
  • 2017-06-13: Highest IV Rank — 100.0%
  • 2017-06-27: Largest Expected Move — 19.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.38$21.57$27.38$22.90$27.23
Max Pain$23.18$22.00$30.00$30.00$24.00
ATM IV60.3%54.9%73.3%57.2%58.6%
Expected Move16.9%15.7%19.2%16.4%16.8%
HV 20d59.1%50.1%78.5%55.2%78.5%
HV 60d52.0%47.6%61.4%47.6%60.5%
IV Rank66.6%52.5%100.0%58.4%62.1%
IV Percentile90.0%75.4%100.0%87.7%87.7%
Term Structure6.2%-0.3%10.3%-0.3%8.7%
VWIV59.5%54.4%66.7%54.4%59.6%
Skew 25d6.4%2.5%8.8%5.7%5.1%
Skew 10d13.9%7.1%17.6%9.5%7.1%
Call IV 25d56.7%52.7%64.3%55.9%55.6%
Put IV 25d63.1%58.3%68.6%61.6%60.8%
Bid-Ask Spread %18.0713.3423.4216.3713.54
Gamma HHI0.170.130.190.160.13
Net GEX-1.6M-1.8M-1.4M-1.8M-1.4M
Net DEX100.0M56.7M122.8M113.4M56.7M
Net VEX-705.1K-823.1K-632.3K-712.6K-823.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.412.770.770.67
Total Volume9,069.54,78631,6407,1985,250
Total OI140,197.909129,028155,183137,783155,183

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-06-01$22.90$30.0057.2%16.4%55.2%58.4%54.4%5.7%-0.3%-1.8M113.4M-712.6K0.7716.374,0693,12923,836113,947
2017-06-02$22.90$30.0055.0%15.8%54.7%52.8%54.8%2.5%1.2%-1.8M113.9M-709.7K0.8214.362,6302,15624,415114,008
2017-06-05$21.57$22.0058.6%16.3%57.0%62.2%58.1%8.2%5.1%-1.7M122.1M-660.2K1.0319.982,8752,97024,487114,128
2017-06-06$21.64$22.0059.8%16.5%52.0%65.4%58.8%7.6%5.5%-1.7M121.9M-649.9K0.9418.863,9793,73925,020113,541
2017-06-07$21.76$22.0058.5%16.3%52.2%62.0%57.0%7.9%5.7%-1.7M120.1M-650.4K0.7417.143,5562,61624,387112,988
2017-06-08$21.77$22.0057.5%16.4%51.9%59.4%57.6%8.2%5.4%-1.7M119.5M-643.9K0.5517.463,7562,04824,395112,528
2017-06-09$21.58$22.0059.5%16.2%50.1%64.6%56.1%7.5%5.3%-1.7M120.2M-632.3K0.4821.434,8432,31624,338112,275
2017-06-12$22.58$22.0067.5%16.4%53.5%85.2%57.3%8.8%6.0%-1.6M111.5M-666.0K0.7519.384,9903,74025,287112,281
2017-06-13$23.04$22.0073.3%16.9%51.1%100.0%58.9%6.7%5.5%-1.6M108.6M-686.6K0.4123.428,4843,48625,716114,143
2017-06-14$24.33$22.0055.7%16.0%54.9%54.5%58.1%7.6%6.3%-1.4M98.5M-718.6K0.7222.104,5103,25727,268115,142
2017-06-15$23.14$23.0057.9%16.6%51.1%60.3%61.7%6.9%6.8%-1.4M108.2M-693.0K1.2915.224,0415,19827,195115,538
2017-06-16$21.69$23.0059.2%17.0%55.8%63.5%59.0%7.3%5.9%-1.6M122.8M-653.7K1.2513.584,7585,94427,201118,403
2017-06-19$22.56$22.0054.9%15.7%55.9%52.5%56.8%8.5%9.0%-1.7M99.7M-674.3K0.9216.144,3574,02021,854107,174
2017-06-20$21.57$22.0057.9%16.6%54.7%60.3%59.7%6.1%7.7%-1.6M103.7M-648.3K2.7721.673,5099,71822,538107,629
2017-06-21$21.84$22.0060.8%17.4%52.0%67.7%62.3%8.0%8.1%-1.7M103.8M-665.8K1.2819.023,5704,55322,793110,205
2017-06-22$22.98$22.0061.5%17.6%55.2%69.4%62.0%7.8%7.0%-1.8M97.1M-712.7K0.5118.953,6651,88023,145112,542
2017-06-23$24.05$22.0061.8%17.7%57.3%70.2%62.3%6.0%8.0%-1.7M89.4M-734.7K0.4518.154,1281,85023,366112,912
2017-06-26$27.38$22.0065.8%18.9%72.2%80.7%66.3%2.8%6.4%-1.6M60.1M-778.2K1.1322.0614,86916,77124,304113,205
2017-06-27$25.46$24.0066.9%19.2%77.9%83.4%66.7%4.3%3.1%-1.6M74.8M-780.0K0.5216.248,0034,18730,032117,386
2017-06-28$25.92$24.0059.6%17.1%78.0%64.6%60.8%3.3%9.3%-1.5M68.8M-801.9K1.1313.344,4525,02233,655118,906
2017-06-29$26.38$24.0060.1%17.2%78.1%65.9%61.5%4.2%10.3%-1.5M65.1M-816.4K0.4519.094,5912,04433,865121,193
2017-06-30$27.23$24.0058.6%16.8%78.5%62.1%59.6%5.1%8.7%-1.4M56.7M-823.1K0.6713.543,1512,09933,732121,451