CAR Options History — July 2018

In July 2018, CAR traded between $31.64 and $34.87. ATM implied volatility averaged 52.6%, placing in the 37.9% IV rank vs the trailing year. The 30-day expected move averaged 15.6%. IV traded above realized volatility by 2.3% (HV 20d: 50.3%). Max pain ranged from $37.00 to $45.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 2.21.

Notable Days

  • 2018-07-18: Highest Volume — 18,431 contracts
  • 2018-07-11: Largest IV spike — 23.5% change
  • 2018-07-30: Highest IV Rank — 61.1%
  • 2018-07-30: Largest Expected Move — 18.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.93$31.64$34.87$32.38$34.87
Max Pain$43.57$37.00$45.00$37.00$44.00
ATM IV52.6%41.2%64.3%45.2%64.0%
Expected Move15.6%12.5%18.4%13.0%18.3%
HV 20d50.3%29.0%58.9%57.3%31.0%
HV 60d48.9%42.9%50.2%49.9%42.9%
IV Rank37.9%15.1%61.1%23.1%60.4%
IV Percentile74.3%37.3%95.6%53.2%94.8%
Term Structure-5.1%-15.4%9.6%9.6%-15.4%
VWIV50.5%41.2%57.1%44.1%50.8%
Skew 25d6.1%3.9%8.2%6.6%7.9%
Skew 10d12.1%7.3%15.3%13.1%12.9%
Call IV 25d51.6%42.9%62.6%42.9%60.4%
Put IV 25d57.7%48.7%68.3%49.5%68.3%
Bid-Ask Spread %13.479.5519.1517.719.55
Gamma HHI0.080.070.180.080.07
Net GEX-1.4M-1.6M-206.5K-1.4M-1.4M
Net DEX106.1M84.4M117.4M117.4M84.4M
Net VEX-651.2K-692.2K-620.0K-673.9K-656.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.210.894.231.213.49
Total Volume12,641.6198,11418,4319,67115,291
Total OI133,890.286129,536139,972131,645133,129

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-07-02$32.38$37.0045.2%13.0%57.3%23.1%44.1%6.6%9.6%-1.4M117.4M-673.9K1.2117.714,3795,29244,59187,054
2018-07-03$32.52$37.0043.8%12.5%57.4%20.3%45.1%4.4%9.3%-1.4M116.5M-671.9K1.4217.883,6265,16345,05187,330
2018-07-05$33.31$45.0043.5%15.3%58.1%19.7%51.1%6.8%-2.7%-1.5M111.3M-684.5K1.4814.383,7475,54045,30787,158
2018-07-06$33.58$45.0041.2%14.8%57.5%15.1%51.5%5.9%-1.6%-1.4M109.1M-691.3K1.7112.893,4035,83445,90787,469
2018-07-09$34.68$45.0041.6%14.6%58.9%16.0%50.1%5.9%-4.0%-1.5M101.3M-692.2K0.8913.714,2853,82946,07787,886
2018-07-10$33.03$45.0043.5%14.8%57.1%19.7%52.9%5.7%-3.1%-1.5M114.6M-650.9K1.4310.584,4296,33146,71488,238
2018-07-11$31.83$45.0053.6%15.4%54.9%39.9%49.8%6.4%-4.2%-1.4M114.4M-620.0K1.0913.385,6016,11147,31185,615
2018-07-12$31.64$44.0052.9%15.2%55.0%38.5%51.0%5.5%-3.1%-1.4M113.1M-631.5K1.0812.854,4974,87448,52785,798
2018-07-13$31.89$44.0053.5%15.4%55.6%39.7%47.3%5.5%-4.7%-1.4M112.2M-630.1K1.2312.433,7324,59148,96685,846
2018-07-16$31.81$44.0055.0%15.8%55.7%42.7%55.1%6.4%-5.0%-1.4M113.7M-623.2K1.3313.504,0685,39649,21185,862
2018-07-17$32.06$44.0054.7%15.7%56.1%42.0%54.3%5.5%-5.2%-1.4M111.4M-631.4K1.4513.674,0085,82949,91886,916
2018-07-18$32.35$44.0054.5%15.6%56.4%41.6%41.2%6.0%-4.5%-1.4M110.0M-638.0K4.2311.733,52114,91050,00387,561
2018-07-19$32.71$44.0053.4%15.3%56.2%39.4%48.0%5.8%-4.2%-1.3M109.8M-648.1K3.2014.244,20913,46450,44788,962
2018-07-20$32.91$44.0054.9%15.7%56.4%42.4%55.9%5.8%-6.7%-206.5K107.4M-654.7K3.5912.673,42612,30350,77489,198
2018-07-23$32.86$44.0055.2%15.8%55.4%43.1%48.5%5.7%-8.3%-1.6M101.3M-640.4K2.9410.763,90411,48243,97685,560
2018-07-24$32.92$44.0057.5%16.5%50.1%47.6%52.9%7.5%-9.9%-1.5M100.9M-644.7K2.8714.114,06811,67945,00285,735
2018-07-25$33.55$44.0056.0%16.1%35.8%44.6%46.8%6.3%-9.5%-1.5M95.6M-654.1K3.1413.893,71811,68145,65985,867
2018-07-26$33.51$44.0056.9%16.3%32.9%46.3%57.1%6.2%-9.9%-1.5M95.0M-648.2K2.8112.914,18211,74646,10385,874
2018-07-27$33.20$44.0060.3%17.3%29.0%53.1%53.4%8.2%-11.2%-1.5M99.2M-642.2K2.7410.814,27011,69046,13286,166
2018-07-30$33.92$44.0064.3%18.4%29.8%61.1%54.0%3.9%-12.8%-1.5M89.9M-647.8K3.1219.153,72711,63846,49486,302
2018-07-31$34.87$44.0064.0%18.3%31.0%60.4%50.8%7.9%-15.4%-1.4M84.4M-656.0K3.499.553,40811,88346,71486,415