CAR Options History — July 2017

In July 2017, CAR traded between $27.17 and $32.96. ATM implied volatility averaged 65.4%, placing in the 79.1% IV rank vs the trailing year. The 30-day expected move averaged 19.3%. IV traded below realized volatility by 0.1% (HV 20d: 65.5%). Max pain ranged from $24.00 to $30.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 1.35.

Notable Days

  • 2017-07-10: Highest Volume — 15,140 contracts
  • 2017-07-12: Largest IV spike — 19.3% change
  • 2017-07-31: Highest IV Rank — 100.0%
  • 2017-07-31: Largest Expected Move — 21.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.82$27.17$32.96$27.72$30.80
Max Pain$28.85$24.00$30.00$24.00$30.00
ATM IV65.4%55.0%76.2%59.0%76.2%
Expected Move19.3%16.9%21.9%16.9%21.9%
HV 20d65.5%40.7%78.7%74.2%47.4%
HV 60d62.2%60.3%63.5%60.6%62.6%
IV Rank79.1%52.7%100.0%63.0%100.0%
IV Percentile92.6%71.4%100.0%87.7%100.0%
Term Structure-6.4%-13.6%11.8%9.3%-13.6%
VWIV69.2%61.3%77.7%61.3%77.7%
Skew 25d8.8%3.4%11.5%5.5%10.7%
Skew 10d17.9%8.4%22.4%8.4%22.4%
Call IV 25d64.2%57.4%72.2%57.4%72.2%
Put IV 25d73.0%62.3%82.9%62.9%82.9%
Bid-Ask Spread %17.0912.7324.1214.1016.82
Gamma HHI0.110.090.130.130.11
Net GEX-1.5M-1.8M-1.2M-1.4M-1.8M
Net DEX22.8M-10.0M57.7M51.6M38.5M
Net VEX-821.3K-843.4K-805.7K-814.1K-826.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.350.633.440.851.51
Total Volume7,957.353,75515,1404,6456,378
Total OI168,449.2155,585183,024155,585168,010

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-07-03$27.72$24.0059.0%16.9%74.2%63.0%61.3%5.5%9.3%-1.4M51.6M-814.1K0.8514.102,5172,12833,879121,706
2017-07-05$27.90$24.0058.9%16.9%74.2%62.6%61.4%3.4%11.8%-1.4M50.6M-811.7K0.6617.982,2671,48834,091122,393
2017-07-06$27.17$29.0059.8%20.0%75.4%65.1%69.3%9.0%-5.2%-1.5M57.7M-805.7K2.5218.102,9507,44834,168122,707
2017-07-07$28.58$29.0055.0%19.1%76.6%52.7%64.3%10.4%-5.1%-1.4M45.2M-816.9K0.8613.233,6163,12634,297124,257
2017-07-10$28.68$29.0056.6%18.9%76.2%56.7%69.5%9.3%-3.5%-1.5M43.2M-808.2K3.4414.563,41311,72735,261125,827
2017-07-11$28.17$29.0057.7%19.2%76.1%59.8%65.8%9.7%-5.0%-1.7M54.5M-823.7K3.0912.902,9669,16035,684130,844
2017-07-12$29.50$29.0068.9%19.8%77.1%88.6%67.7%8.9%-8.8%-1.8M39.5M-832.0K0.6316.055,4223,44036,167133,234
2017-07-13$31.74$29.0065.1%18.7%78.7%78.9%66.0%10.3%-6.9%-1.5M6.8M-812.7K0.8413.496,4365,38537,693133,906
2017-07-14$31.83$29.0064.7%18.6%75.2%77.8%67.2%9.0%-6.3%-1.3M3.5M-817.7K0.9812.733,4763,39939,597135,511
2017-07-17$31.49$29.0067.2%19.3%69.8%84.2%68.8%8.8%-8.7%-1.4M7.0M-820.4K1.2718.803,2774,15440,118136,263
2017-07-18$31.38$29.0066.1%18.9%69.8%81.3%67.7%10.1%-7.7%-1.3M11.8M-829.1K1.1618.473,2753,78840,167137,594
2017-07-19$32.76$29.0063.1%18.1%66.4%73.8%64.6%8.7%-6.7%-1.2M-9.0M-834.2K1.1214.983,2253,60040,916138,682
2017-07-20$32.75$29.0068.0%19.5%66.8%86.2%69.5%7.4%-9.1%-1.2M-10.0M-820.8K0.8924.126,0465,36941,614138,973
2017-07-21$32.33$30.0068.5%19.6%66.7%87.6%70.5%11.5%-10.2%-1.6M-3.2M-843.4K1.0716.603,5503,81342,265140,759
2017-07-24$32.32$30.0071.7%20.6%66.1%95.9%76.8%8.6%-10.3%-1.6M18.6M-835.4K1.7519.012,6124,58435,188129,688
2017-07-25$32.96$30.0070.5%20.2%50.4%92.7%73.0%7.2%-10.3%-1.4M10.6M-823.8K1.4721.872,3043,39035,488130,435
2017-07-26$32.74$30.0071.0%20.3%40.7%94.0%72.7%8.6%-11.1%-1.5M14.0M-817.5K1.1320.732,4502,76935,541130,857
2017-07-27$32.92$30.0069.7%20.0%40.7%90.8%74.9%8.7%-10.2%-1.4M9.7M-808.9K1.2019.203,0073,61735,947131,256
2017-07-28$32.71$30.0069.9%20.0%41.2%91.2%75.7%10.2%-10.9%-1.5M14.7M-822.6K0.6418.074,6062,96936,103131,898
2017-07-31$30.80$30.0076.2%21.9%47.4%100.0%77.7%10.7%-13.6%-1.8M38.5M-826.5K1.5116.822,5393,83935,701132,309