CAR Options History — January 2018

In January 2018, CAR traded between $42.41 and $49.17. ATM implied volatility averaged 39.9%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded below realized volatility by 8.8% (HV 20d: 48.7%). Max pain ranged from $37.50 to $41.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 2.28.

Notable Days

2018-01-16: Highest Volume — 15,814 contracts
2018-01-10: Largest IV spike — 18.3% change
2018-01-11: Highest IV Rank — 22.7%
2018-01-09: Largest Expected Move — 13.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$45.09	$42.41	$49.17	$44.32	$44.95
Max Pain	$40.67	$37.50	$41.00	$37.50	$41.00
ATM IV	39.9%	33.9%	45.0%	37.2%	42.6%
Expected Move	11.8%	10.6%	13.2%	10.7%	12.2%
HV 20d	48.7%	24.8%	65.9%	26.4%	65.9%
HV 60d	50.2%	42.5%	56.3%	42.5%	56.3%
IV Rank	12.6%	0.6%	22.7%	7.2%	17.9%
IV Percentile	19.8%	1.2%	36.5%	9.5%	34.1%
Term Structure	3.2%	-5.1%	7.4%	3.1%	7.4%
VWIV	41.8%	37.0%	46.2%	38.8%	44.1%
Skew 25d	3.8%	0.7%	9.3%	4.2%	2.5%
Skew 10d	7.2%	0.4%	15.6%	9.0%	3.5%
Call IV 25d	39.7%	35.1%	45.0%	35.1%	42.0%
Put IV 25d	43.4%	39.2%	48.2%	39.2%	44.4%
Bid-Ask Spread %	34.92	12.50	78.00	13.24	16.69
Gamma HHI	0.17	0.15	0.20	0.19	0.16
Net GEX	3.6M	3.3M	4.1M	3.5M	3.5M
Net DEX	-307.0M	-445.6M	-247.6M	-309.8M	-267.6M
Net VEX	-1.2M	-1.2M	-1.0M	-1.1M	-1.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.28	0.46	6.73	2.77	2.56
Total Volume	7,805.571	3,908	15,814	4,064	8,493
Total OI	234,396.095	167,675	288,841	258,903	176,169

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2018-01-02	$44.32	$37.50	37.2%	10.7%	26.4%	7.2%	38.8%	4.2%	3.1%	3.5M	-309.8M	-1.1M	2.77	13.24	1,079	2,985	107,259	151,644
2018-01-03	$43.88	$37.50	37.1%	10.6%	26.8%	7.0%	37.0%	4.2%	3.5%	3.3M	-296.2M	-1.2M	1.83	12.80	1,490	2,734	107,303	152,528
2018-01-04	$43.55	$41.00	35.3%	11.5%	26.5%	3.4%	41.8%	2.9%	1.3%	3.4M	-288.9M	-1.2M	1.80	71.91	1,397	2,511	107,590	152,966
2018-01-05	$44.49	$41.00	33.9%	11.2%	27.2%	0.6%	39.4%	9.3%	1.6%	3.6M	-313.7M	-1.1M	1.44	76.33	2,999	4,307	107,583	153,156
2018-01-08	$44.87	$41.00	35.3%	11.4%	24.9%	3.4%	42.1%	3.4%	1.4%	3.6M	-326.3M	-1.1M	2.34	72.45	1,201	2,813	109,491	155,212
2018-01-09	$44.42	$41.00	35.9%	13.2%	25.0%	4.7%	44.7%	0.7%	-5.1%	3.5M	-312.0M	-1.1M	3.79	78.00	2,081	7,877	109,774	155,865
2018-01-10	$44.89	$41.00	42.5%	12.2%	24.8%	17.7%	46.2%	4.7%	-1.3%	3.6M	-323.9M	-1.2M	6.73	75.53	1,099	7,400	110,749	161,246
2018-01-11	$48.02	$41.00	45.0%	12.9%	33.4%	22.7%	43.8%	8.0%	-5.1%	3.5M	-403.7M	-1.0M	0.46	73.16	8,760	4,057	110,795	161,438
2018-01-12	$49.17	$41.00	43.7%	12.5%	33.2%	20.2%	44.7%	2.3%	-2.2%	4.1M	-445.6M	-1.1M	1.22	72.02	4,282	5,213	117,396	162,112
2018-01-16	$42.41	$41.00	41.7%	11.9%	64.3%	16.1%	41.3%	3.8%	4.4%	3.4M	-247.6M	-1.2M	1.11	20.04	7,483	8,331	118,402	164,579
2018-01-17	$42.78	$41.00	41.2%	11.8%	63.3%	15.2%	41.2%	3.1%	4.3%	3.4M	-262.2M	-1.2M	1.09	12.87	4,212	4,603	121,091	166,544
2018-01-18	$43.34	$41.00	40.0%	11.5%	62.2%	12.8%	39.9%	3.2%	5.1%	3.5M	-281.6M	-1.2M	1.11	19.74	3,989	4,429	121,891	166,950
2018-01-19	$45.72	$41.00	39.1%	11.2%	64.6%	11.1%	40.1%	3.0%	5.4%	3.5M	-356.2M	-1.2M	0.67	17.74	4,983	3,333	121,702	167,038
2018-01-22	$45.68	$41.00	41.4%	11.9%	64.6%	15.6%	42.0%	4.2%	4.8%	3.6M	-287.1M	-1.2M	2.14	12.50	2,397	5,119	100,378	67,297
2018-01-23	$45.69	$41.00	40.9%	11.7%	64.5%	14.7%	41.4%	3.6%	5.2%	3.6M	-286.5M	-1.2M	3.03	12.60	1,312	3,972	100,744	69,808
2018-01-24	$44.92	$41.00	40.0%	11.5%	64.8%	12.7%	40.9%	2.7%	6.4%	3.5M	-266.4M	-1.2M	2.82	16.08	1,713	4,836	100,874	70,047
2018-01-25	$45.09	$41.00	39.3%	11.3%	64.7%	11.5%	40.6%	3.6%	6.3%	3.5M	-271.0M	-1.2M	2.85	19.69	1,749	4,991	101,340	71,102
2018-01-26	$46.45	$41.00	40.1%	11.5%	65.5%	13.1%	39.7%	3.0%	7.2%	3.7M	-306.0M	-1.2M	2.56	13.55	2,023	5,170	101,556	71,255
2018-01-29	$46.46	$41.00	42.4%	12.2%	65.5%	17.6%	44.1%	3.0%	7.4%	3.7M	-304.7M	-1.2M	2.78	13.48	2,123	5,909	102,122	71,950
2018-01-30	$45.87	$41.00	43.2%	12.4%	65.5%	19.2%	44.9%	3.5%	6.7%	3.6M	-289.9M	-1.2M	2.72	12.98	2,274	6,188	102,907	72,465
2018-01-31	$44.95	$41.00	42.6%	12.2%	65.9%	17.9%	44.1%	2.5%	7.4%	3.5M	-267.6M	-1.2M	2.56	16.69	2,389	6,104	103,078	73,091