CAR Options History — October 2017

In October 2017, CAR traded between $38.70 and $41.52. ATM implied volatility averaged 49.9%, placing in the 27.5% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded above realized volatility by 25.4% (HV 20d: 24.5%). Max pain ranged from $37.00 to $41.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.46.

Notable Days

  • 2017-10-20: Highest Volume — 20,746 contracts
  • 2017-10-11: Largest IV spike — 19.5% change
  • 2017-10-31: Highest IV Rank — 50.3%
  • 2017-10-31: Largest Expected Move — 17.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.56$38.70$41.52$39.10$41.27
Max Pain$38.95$37.00$41.00$37.00$41.00
ATM IV49.9%40.5%60.6%45.1%60.6%
Expected Move14.9%11.6%17.4%12.9%17.4%
HV 20d24.5%12.5%42.6%42.6%12.6%
HV 60d46.4%42.6%50.1%50.1%42.6%
IV Rank27.5%7.4%50.3%17.3%50.3%
IV Percentile45.3%5.2%83.7%31.0%83.7%
Term Structure-5.8%-14.8%13.2%11.2%-14.8%
VWIV52.8%40.8%61.2%46.1%61.2%
Skew 25d5.7%3.0%7.6%3.0%7.6%
Skew 10d11.7%-8.0%15.9%-8.0%13.9%
Call IV 25d49.2%39.1%56.0%44.2%55.7%
Put IV 25d54.9%42.4%63.6%47.2%63.3%
Bid-Ask Spread %18.327.6047.7937.2611.11
Gamma HHI0.090.070.150.090.14
Net GEX-303.5K-1.3M991.9K-1.1M421.1K
Net DEX-51.1M-87.6M-11.4M-26.2M-87.6M
Net VEX-665.0K-904.0K-555.3K-643.4K-904.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.460.363.872.762.63
Total Volume10,485.6826,12920,74610,9767,320
Total OI191,387.818175,100215,594175,100215,594

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-10-02$39.10$37.0045.1%12.9%42.6%17.3%46.1%3.0%11.2%-1.1M-26.2M-643.4K2.7637.262,9228,05432,496142,604
2017-10-03$38.91$37.0042.4%12.2%38.2%11.7%42.0%4.4%13.1%-1.3M-11.4M-661.0K3.3019.772,1777,19232,535146,596
2017-10-04$39.19$37.0040.5%11.6%37.1%7.4%40.8%3.3%13.2%-1.1M-17.2M-645.1K3.4820.311,8916,58933,134146,768
2017-10-05$38.70$38.0041.6%15.0%37.1%9.9%48.8%7.4%-5.4%-1.1M-14.9M-609.0K3.878.621,4945,77933,372146,808
2017-10-06$38.85$38.0040.6%14.9%35.6%7.8%47.4%7.4%-6.9%-1.2M-16.8M-608.6K1.409.926,2958,79933,552147,241
2017-10-09$39.52$38.0041.2%15.0%35.6%9.0%51.2%5.9%-6.2%-1.0M-25.7M-656.3K1.4110.116,4979,16335,149150,213
2017-10-10$40.24$38.0042.3%15.2%35.8%11.3%53.3%5.6%-7.6%-846.1K-36.3M-646.2K0.767.604,9013,72335,943151,566
2017-10-11$40.80$38.0050.5%14.5%35.5%28.9%50.9%6.3%-6.1%-616.1K-45.2M-616.6K1.0711.014,8545,19936,379151,726
2017-10-12$41.20$38.0052.4%15.0%22.1%32.9%52.4%5.7%-8.1%-346.3K-53.4M-611.5K0.9412.314,8874,58637,510151,460
2017-10-13$41.25$39.0051.4%14.7%21.9%30.7%53.4%5.0%-7.5%70.1K-57.9M-599.0K1.0512.834,3594,56739,095151,767
2017-10-16$41.30$39.0053.4%15.3%20.5%35.0%59.3%6.9%-9.6%213.2K-59.9M-585.8K0.9413.764,3224,05439,138151,133
2017-10-17$41.22$39.0052.0%14.9%20.6%32.1%59.7%5.4%-7.6%493.4K-59.8M-583.9K1.0512.723,2793,44839,695151,488
2017-10-18$41.26$39.0051.7%14.8%18.0%31.4%56.7%4.7%-8.8%715.1K-62.2M-582.1K1.0312.514,0904,20439,771151,528
2017-10-19$41.06$39.0051.5%14.8%18.3%30.9%52.2%5.7%-8.3%991.9K-58.7M-566.2K0.7714.503,4702,65939,826152,324
2017-10-20$41.16$39.0050.9%14.6%18.2%29.7%54.5%5.2%-8.9%-861.7K-64.7M-555.3K0.3613.1315,2795,46739,790152,332
2017-10-23$40.92$39.0051.7%14.8%15.4%31.5%52.9%4.1%-6.8%-306.4K-58.6M-673.1K1.4015.363,4794,87842,610145,698
2017-10-24$41.25$40.0052.2%15.0%15.3%32.4%52.3%5.4%-7.9%-155.8K-64.1M-671.1K0.5047.799,1304,57443,406148,254
2017-10-25$41.12$41.0054.4%15.6%15.5%37.1%53.6%5.7%-9.2%12.4K-72.3M-767.6K0.6930.118,4235,83149,607150,436
2017-10-26$41.29$41.0055.7%16.0%15.4%40.0%55.6%6.6%-10.5%41.3K-73.5M-789.8K1.0235.974,9835,08150,063153,796
2017-10-27$41.26$41.0055.5%15.9%15.3%39.5%56.0%6.6%-10.5%42.0K-74.1M-857.5K1.0930.414,9445,40652,263156,676
2017-10-30$41.52$41.0060.0%17.2%12.5%49.0%60.9%7.6%-13.7%323.4K-82.4M-797.6K0.5715.967,9394,49752,446156,744
2017-10-31$41.27$41.0060.6%17.4%12.6%50.3%61.2%7.6%-14.8%421.1K-87.6M-904.0K2.6311.112,0155,30558,379157,215