CAR Options History — June 2018

In June 2018, CAR traded between $32.14 and $42.76. ATM implied volatility averaged 38.5%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded below realized volatility by 1.4% (HV 20d: 40.0%). Max pain ranged from $38.00 to $42.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.52.

Notable Days

  • 2018-06-26: Highest Volume — 26,014 contracts
  • 2018-06-11: Largest IV spike — 11.7% change
  • 2018-06-28: Highest IV Rank — 28.9%
  • 2018-06-28: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.03$32.14$42.76$38.49$32.46
Max Pain$39.48$38.00$42.00$42.00$39.00
ATM IV38.5%34.6%48.1%36.9%43.6%
Expected Move10.9%9.7%13.8%10.6%12.5%
HV 20d40.0%32.1%57.2%38.5%57.2%
HV 60d44.8%42.4%50.2%43.1%50.1%
IV Rank9.9%2.1%28.9%6.6%20.1%
IV Percentile22.1%3.2%55.6%15.1%50.4%
Term Structure6.5%0.1%8.9%0.1%8.9%
VWIV38.0%33.9%47.9%35.9%42.1%
Skew 25d4.5%2.8%5.7%5.2%3.8%
Skew 10d9.3%2.6%12.7%8.6%5.2%
Call IV 25d36.0%32.1%47.1%34.4%41.7%
Put IV 25d40.5%36.6%50.6%39.7%45.5%
Bid-Ask Spread %16.6811.4824.7212.7312.54
Gamma HHI0.080.070.120.070.08
Net GEX-1.5M-2.0M-862.4K-2.0M-1.6M
Net DEX71.4M24.1M129.7M90.6M119.9M
Net VEX-778.0K-843.8K-655.6K-755.6K-699.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.520.573.751.271.53
Total Volume11,601.9055,80226,0149,85613,237
Total OI126,399.619119,467140,276120,154132,693

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-06-01$38.49$42.0036.9%10.6%38.5%6.6%35.9%5.2%0.1%-2.0M90.6M-755.6K1.2712.734,3465,51036,65483,500
2018-06-04$38.19$40.0039.1%10.5%35.0%11.1%37.5%5.7%6.2%-2.0M90.6M-733.7K0.5717.115,6653,20836,59082,877
2018-06-05$37.69$40.0039.2%10.5%35.0%11.2%37.1%5.3%6.5%-1.7M90.6M-727.4K2.8513.303,2579,29238,37882,978
2018-06-06$38.16$38.0037.5%10.3%35.0%7.8%36.6%5.4%7.4%-1.7M89.8M-772.8K2.4013.562,7006,47438,85786,072
2018-06-07$38.92$38.0034.7%10.1%34.7%2.2%36.0%4.3%6.4%-1.6M78.4M-766.0K2.5016.822,6356,58139,12784,997
2018-06-08$39.32$38.0034.6%9.8%32.9%2.1%34.3%4.8%7.8%-1.5M72.0M-762.1K1.3313.102,7353,62539,33385,305
2018-06-11$41.25$38.0038.7%10.2%37.6%10.2%35.2%4.7%5.3%-1.3M48.0M-782.8K0.7418.876,4214,72439,31485,462
2018-06-12$42.76$39.0038.1%9.7%40.0%9.1%33.9%5.4%7.8%-862.4K24.1M-816.5K1.1423.557,3768,37741,12186,646
2018-06-13$42.23$39.0034.9%10.0%40.0%2.7%35.0%3.8%7.5%-1.2M31.8M-843.8K1.0724.725,3085,67843,00389,789
2018-06-14$41.91$39.0034.9%10.0%39.4%2.7%34.7%3.9%7.2%-1.1M38.1M-842.2K1.2214.824,1885,11543,54689,914
2018-06-15$41.42$39.0035.3%10.1%38.7%3.5%36.0%4.3%7.1%-1.4M43.5M-817.8K1.4720.714,4686,57443,61989,737
2018-06-18$41.36$40.0035.3%10.1%32.9%3.4%35.5%3.9%7.1%-1.4M50.4M-808.1K0.9618.863,6073,47636,37685,992
2018-06-19$41.41$40.0035.2%10.1%32.1%3.3%36.6%4.5%7.3%-1.4M49.9M-805.7K0.7219.263,4582,48836,64685,981
2018-06-20$41.98$40.0034.6%9.9%32.6%2.1%36.4%4.8%7.6%-1.3M43.1M-809.7K0.6916.783,4432,35936,65186,145
2018-06-21$41.00$40.0036.0%10.3%33.6%4.9%36.2%3.7%7.2%-1.4M52.7M-795.4K0.7819.613,6432,83236,77786,237
2018-06-22$41.81$40.0038.5%11.0%34.3%9.9%38.6%4.0%6.3%-1.3M43.9M-820.2K0.7219.335,7994,15536,98086,687
2018-06-25$38.75$41.0041.5%11.9%43.0%15.7%41.4%5.3%5.6%-1.7M80.9M-791.0K1.0917.033,7154,03538,23687,758
2018-06-26$34.91$41.0045.4%13.0%54.5%23.5%44.5%4.0%4.9%-1.9M113.1M-725.9K3.7513.165,48020,53438,94088,247
2018-06-27$33.54$39.0047.1%13.5%55.6%26.8%46.9%5.2%5.9%-2.0M129.7M-807.0K2.7412.876,92418,97441,21299,064
2018-06-28$32.14$39.0048.1%13.8%56.8%28.9%47.9%2.8%6.1%-1.5M118.1M-655.6K2.3511.486,33714,88742,74084,211
2018-06-29$32.46$39.0043.6%12.5%57.2%20.1%42.1%3.8%8.9%-1.6M119.9M-699.0K1.5312.545,2298,00843,83388,860