CAR Options History — November 2017

In November 2017, CAR traded between $32.59 and $41.22. ATM implied volatility averaged 44.2%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded below realized volatility by 7.4% (HV 20d: 51.5%). Max pain ranged from $37.00 to $44.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.39.

Notable Days

  • 2017-11-06: Highest Volume — 27,227 contracts
  • 2017-11-07: Largest IV drop — 32.5% change
  • 2017-11-06: Highest IV Rank — 80.9%
  • 2017-11-01: Largest Expected Move — 18.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.19$32.59$41.22$41.16$38.10
Max Pain$39.19$37.00$44.00$41.00$37.00
ATM IV44.2%33.9%75.0%64.1%36.5%
Expected Move11.8%9.7%18.4%18.4%10.5%
HV 20d51.5%10.5%66.4%12.6%66.4%
HV 60d43.7%32.2%46.8%37.1%44.1%
IV Rank17.6%0.0%80.9%57.8%5.2%
IV Percentile24.7%0.0%98.4%88.1%2.8%
Term Structure-1.4%-17.0%2.0%-17.0%-1.0%
VWIV41.5%34.7%65.0%65.0%35.5%
Skew 25d6.0%4.0%8.3%7.4%4.0%
Skew 10d12.3%9.8%16.3%15.6%9.8%
Call IV 25d38.5%32.3%60.3%60.3%34.6%
Put IV 25d44.4%37.5%67.6%67.6%38.6%
Bid-Ask Spread %14.495.2330.0930.0921.96
Gamma HHI0.150.110.450.140.16
Net GEX-857.4K-8.5M1.8M350.1K1.8M
Net DEX-37.8M-155.0M56.3M-85.5M-155.0M
Net VEX-1.1M-1.3M-914.2K-914.2K-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.390.355.621.420.97
Total Volume13,473.4765,16627,2275,1666,895
Total OI241,388.571217,193278,636217,193236,765

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-11-01$41.16$41.0064.1%18.4%12.6%57.8%65.0%7.4%-17.0%350.1K-85.5M-914.2K1.4230.092,1343,03258,643158,550
2017-11-02$40.97$42.0063.4%13.4%11.7%56.3%46.9%6.4%-4.1%335.8K-82.4M-915.4K0.5311.184,7272,48858,912159,000
2017-11-03$40.97$42.0064.8%13.6%11.7%59.4%45.6%6.6%-2.8%667.6K-86.7M-923.2K5.6211.932,50914,10161,523159,213
2017-11-06$41.22$44.0075.0%14.4%10.5%80.9%53.6%8.3%-3.3%205.1K-81.3M-971.5K1.379.5711,50615,72162,007170,218
2017-11-07$35.18$44.0050.6%12.7%57.3%29.0%42.7%5.4%-0.0%-2.5M47.6M-985.3K3.015.235,83517,56969,917179,455
2017-11-08$35.40$41.0041.8%12.0%57.0%10.2%41.0%5.7%0.4%-2.4M28.2M-1.0M0.8512.318,1406,91671,135175,530
2017-11-09$33.93$40.0043.2%12.4%58.0%13.2%45.5%7.1%2.0%-2.4M51.5M-996.8K0.7712.5013,59810,49172,387174,313
2017-11-10$33.49$40.0043.2%12.4%57.9%13.4%44.8%6.8%0.9%-2.3M49.4M-1.0M0.8810.7110,4239,18980,377174,898
2017-11-13$33.33$40.0042.5%12.2%57.7%11.9%41.0%7.1%-0.2%-2.1M42.4M-1.1M1.6410.974,5157,41986,622175,460
2017-11-14$32.59$38.0041.8%12.0%57.8%10.3%43.2%6.5%1.2%-2.1M56.3M-1.0M1.5211.693,1844,83587,510174,472
2017-11-15$33.44$38.0040.8%11.7%59.2%8.3%41.0%5.9%-0.7%-2.1M34.6M-996.5K1.1417.118,2389,36687,403175,250
2017-11-16$34.31$38.0036.9%10.6%60.5%0.0%36.5%5.9%-0.3%-2.2M6.5M-1.1M0.5215.3014,0117,32691,583178,809
2017-11-17$35.01$38.0035.5%10.2%61.3%0.0%35.4%4.9%0.5%-8.5M-23.8M-1.2M1.6817.864,3977,38899,463179,173
2017-11-20$35.82$38.0035.3%10.1%62.3%0.0%36.2%5.3%-0.4%306.2K-67.6M-1.1M0.7115.639,2086,54284,174134,254
2017-11-21$35.81$37.0035.7%10.2%62.1%0.8%36.7%5.7%-0.7%659.6K-78.3M-1.2M2.0212.703,1586,37190,251134,676
2017-11-22$34.77$37.0035.0%10.0%62.6%0.0%36.3%5.0%-0.4%93.0K-48.8M-1.2M0.3511.4611,6974,12890,666135,337
2017-11-24$34.81$37.0033.9%9.7%62.5%0.0%35.0%5.3%1.4%485.9K-63.7M-1.2M1.1418.383,1033,55098,456136,005
2017-11-27$35.53$37.0035.0%10.0%63.3%2.2%37.1%4.8%-0.6%956.9K-87.1M-1.2M1.228.753,0603,73398,534136,312
2017-11-28$36.30$37.0035.9%10.3%64.0%3.9%34.7%6.1%-1.2%986.7K-103.3M-1.3M0.9420.253,0642,86798,786136,795
2017-11-29$37.85$37.0037.0%10.6%66.2%6.2%38.5%5.2%-2.2%1.6M-146.2M-1.3M0.7918.763,6392,87099,244137,082
2017-11-30$38.10$37.0036.5%10.5%66.4%5.2%35.5%4.0%-1.0%1.8M-155.0M-1.3M0.9721.963,4973,39899,737137,028