CAR Options History — December 2017

In December 2017, CAR traded between $39.33 and $45.50. ATM implied volatility averaged 36.8%, placing in the 6.1% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 0.9% (HV 20d: 37.7%). Max pain ranged from $35.00 to $37.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.52.

Notable Days

  • 2017-12-07: Highest Volume — 20,323 contracts
  • 2017-12-13: Largest IV drop — 14.9% change
  • 2017-12-12: Highest IV Rank — 16.7%
  • 2017-12-05: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.68$39.33$45.50$39.94$43.94
Max Pain$36.08$35.00$37.50$37.00$37.50
ATM IV36.8%33.6%42.3%36.0%34.7%
Expected Move10.2%9.6%10.7%10.3%10.0%
HV 20d37.7%29.5%68.8%68.8%30.3%
HV 60d43.1%41.9%44.9%44.9%42.6%
IV Rank6.1%0.0%16.7%4.2%2.3%
IV Percentile5.7%0.0%21.8%2.8%2.0%
Term Structure3.7%-1.4%6.5%-1.4%4.2%
VWIV36.2%33.9%37.8%36.6%34.7%
Skew 25d4.5%3.7%6.4%5.0%4.5%
Skew 10d9.3%7.3%14.2%9.6%9.6%
Call IV 25d33.6%32.2%34.9%34.7%33.3%
Put IV 25d38.1%36.2%41.4%39.7%37.7%
Bid-Ask Spread %9.997.1716.4816.4813.52
Gamma HHI0.180.160.190.160.19
Net GEX3.2M2.2M4.3M2.6M3.4M
Net DEX-269.6M-333.3M-182.4M-203.3M-297.5M
Net VEX-1.2M-1.3M-1.2M-1.2M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.520.712.591.721.11
Total Volume6,724.63,22220,3239,7873,902
Total OI255,645.9238,777264,915238,777259,633

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-12-01$39.94$37.0036.0%10.3%68.8%4.2%36.6%5.0%-1.4%2.6M-203.3M-1.2M1.7216.483,5946,193100,506138,271
2017-12-04$39.75$35.0040.1%10.3%68.8%12.4%36.2%5.9%5.5%2.5M-197.5M-1.3M1.2411.104,2615,299101,043140,616
2017-12-05$39.33$35.0040.7%10.7%68.8%13.6%37.8%6.4%6.0%2.2M-182.4M-1.3M1.2610.473,0333,811101,652143,318
2017-12-06$39.49$35.0038.8%10.5%36.5%9.8%36.7%5.3%6.5%2.3M-187.9M-1.3M1.457.902,7553,981101,799143,895
2017-12-07$40.90$35.0039.2%10.2%37.9%10.6%36.3%4.1%4.4%2.9M-227.2M-1.2M0.988.6410,24910,074102,222145,003
2017-12-08$40.53$36.0037.4%10.2%33.8%6.9%36.4%3.7%4.9%2.8M-219.8M-1.3M1.188.772,9603,487109,108151,039
2017-12-11$41.13$36.0042.1%10.3%32.8%16.3%36.9%4.4%3.0%3.2M-236.7M-1.3M1.059.053,4513,626109,468151,243
2017-12-12$41.55$36.0042.3%10.3%32.3%16.7%37.4%4.3%3.3%3.4M-251.5M-1.3M1.6510.352,5614,228109,879151,791
2017-12-13$42.68$36.0036.0%10.3%30.2%4.1%37.4%4.3%3.1%3.6M-279.6M-1.3M2.2311.552,4995,569110,007153,419
2017-12-14$42.61$36.0034.6%9.9%30.3%1.5%36.5%4.5%3.0%3.8M-277.5M-1.3M1.9710.162,5875,092110,166154,628
2017-12-15$43.97$36.0033.6%9.6%30.7%0.0%33.9%4.0%3.9%4.3M-317.1M-1.2M1.689.882,1243,575110,172154,743
2017-12-18$45.50$36.0035.0%10.0%31.6%3.0%35.6%4.0%2.9%3.4M-333.3M-1.2M0.838.233,4212,840106,180147,975
2017-12-19$44.41$36.0035.3%10.1%34.0%3.5%35.8%4.2%3.8%3.4M-309.1M-1.2M0.718.914,0622,864107,146148,824
2017-12-20$44.27$36.0035.3%10.1%34.1%3.4%36.2%3.9%3.0%3.3M-302.3M-1.2M2.067.171,4022,891106,836149,955
2017-12-21$44.75$36.0033.6%9.6%30.7%0.1%34.9%4.0%4.2%3.3M-314.1M-1.2M2.599.301,0242,655106,989150,562
2017-12-22$45.14$36.0033.8%9.7%30.4%0.5%34.3%4.2%4.8%3.3M-322.9M-1.2M1.637.811,5132,465107,151150,980
2017-12-26$44.68$36.0035.9%10.3%31.3%4.6%36.7%4.9%2.8%3.3M-314.1M-1.2M1.6910.111,4252,402107,530151,096
2017-12-27$44.48$37.5036.4%10.4%31.6%5.6%36.7%4.8%3.2%3.3M-308.1M-1.2M1.6111.601,2361,986107,791150,979
2017-12-28$44.49$37.5035.1%10.1%29.5%3.0%36.1%4.3%4.0%3.4M-309.9M-1.2M1.818.821,2102,185108,033151,270
2017-12-29$43.94$37.5034.7%10.0%30.3%2.3%34.7%4.5%4.2%3.4M-297.5M-1.2M1.1113.521,8532,049108,203151,430