CAR Options History — February 2018

In February 2018, CAR traded between $38.64 and $46.30. ATM implied volatility averaged 55.2%, placing in the 43.1% IV rank vs the trailing year. The 30-day expected move averaged 16.1%. IV traded below realized volatility by 5.5% (HV 20d: 60.7%). Max pain ranged from $42.00 to $46.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 2.76.

Notable Days

  • 2018-02-21: Highest Volume — 27,529 contracts
  • 2018-02-05: Largest IV spike — 36.5% change
  • 2018-02-09: Highest IV Rank — 66.1%
  • 2018-02-09: Largest Expected Move — 19.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.32$38.64$46.30$44.65$45.26
Max Pain$43.37$42.00$46.00$46.00$43.00
ATM IV55.2%40.6%66.8%41.2%43.0%
Expected Move16.1%11.6%19.2%14.5%12.3%
HV 20d60.7%44.9%75.3%65.8%65.1%
HV 60d51.4%45.8%56.5%56.3%55.4%
IV Rank43.1%14.1%66.1%15.2%18.7%
IV Percentile66.5%21.0%91.7%24.2%34.5%
Term Structure-7.0%-14.0%0.1%-4.0%-0.8%
VWIV56.6%42.5%67.7%51.8%45.4%
Skew 25d6.6%4.3%9.3%4.8%5.6%
Skew 10d14.0%8.1%21.3%8.5%9.7%
Call IV 25d53.6%38.8%62.9%48.7%40.4%
Put IV 25d60.2%45.2%70.0%53.6%46.0%
Bid-Ask Spread %22.4011.9346.0611.9324.95
Gamma HHI0.170.140.280.150.14
Net GEX2.5M-1.0M3.4M3.4M2.8M
Net DEX-180.2M-280.6M-62.1M-257.2M-251.6M
Net VEX-1.2M-1.3M-1.2M-1.2M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.760.855.942.444.00
Total Volume11,786.7374,42727,5298,24210,793
Total OI183,481.211145,484207,658176,683207,658

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-02-01$44.65$46.0041.2%14.5%65.8%15.2%51.8%4.8%-4.0%3.4M-257.2M-1.2M2.4411.932,3985,844103,22673,457
2018-02-02$43.54$46.0044.3%15.1%66.4%21.4%53.4%5.1%-4.0%3.3M-230.5M-1.2M3.9615.191,3755,439103,38473,648
2018-02-05$42.24$46.0060.5%17.2%66.7%53.5%57.5%7.2%-6.5%2.8M-193.6M-1.2M5.9446.061,6699,913103,68573,891
2018-02-06$43.73$45.0059.4%17.4%68.0%51.2%61.6%7.5%-7.7%2.9M-222.2M-1.3M2.3630.424,49710,631103,93779,449
2018-02-07$44.39$45.0059.2%17.0%68.1%50.9%58.8%7.8%-7.6%3.0M-240.8M-1.2M4.9615.611,9869,852103,83580,330
2018-02-08$40.49$45.0066.3%19.0%75.3%65.0%65.3%6.9%-9.8%2.2M-137.7M-1.3M4.3721.832,41010,522103,93680,090
2018-02-09$40.90$44.0066.8%19.2%70.6%66.1%66.2%7.0%-10.7%2.3M-143.9M-1.3M1.5825.274,9527,820104,11680,878
2018-02-12$40.75$43.0064.2%18.4%69.6%61.0%63.5%7.4%-11.3%2.2M-134.5M-1.2M3.0217.382,1146,390107,04082,912
2018-02-13$40.11$43.0062.1%17.8%46.9%56.7%61.3%7.0%-10.0%2.1M-111.7M-1.2M1.5818.623,3235,265107,50583,060
2018-02-14$38.64$42.0059.6%17.1%48.2%51.8%57.5%6.3%-7.7%1.9M-62.1M-1.2M2.1423.241,9534,179108,69084,221
2018-02-15$38.73$42.0061.2%17.5%47.8%54.9%60.5%6.1%-10.2%1.9M-63.4M-1.2M2.6820.681,2043,223109,27684,899
2018-02-16$40.02$42.0058.6%16.8%44.9%49.7%58.8%4.9%-5.9%-1.0M-94.1M-1.2M2.9527.071,5854,674109,31784,710
2018-02-20$39.99$42.0063.7%18.3%44.9%59.8%67.7%8.6%-14.0%2.6M-136.2M-1.2M2.2122.092,2514,98483,75761,727
2018-02-21$39.08$42.0060.8%17.4%45.2%54.0%61.0%7.5%-11.7%2.5M-116.9M-1.2M1.9021.509,49618,03384,82664,969
2018-02-22$44.16$42.0046.5%13.3%64.4%25.7%47.1%5.0%-2.7%3.1M-233.1M-1.2M1.5725.247,24411,34592,61479,608
2018-02-23$45.74$42.0040.6%11.6%65.6%14.1%42.5%6.3%0.1%3.0M-259.3M-1.2M1.5819.189,93115,74094,61885,063
2018-02-26$46.30$42.0042.9%12.3%64.9%18.5%43.5%4.3%-1.9%2.7M-280.6M-1.3M0.8516.585,3004,524101,39497,971
2018-02-27$45.39$42.0048.6%13.9%65.3%29.9%51.2%9.3%-5.9%2.9M-255.1M-1.3M2.4322.773,2297,860103,90098,546
2018-02-28$45.26$43.0043.0%12.3%65.1%18.7%45.4%5.6%-0.8%2.8M-251.6M-1.3M4.0024.952,1598,634104,989102,669