CAR Options History — September 2018

In September 2018, CAR traded between $30.69 and $34.41. ATM implied volatility averaged 43.2%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded below realized volatility by 0.4% (HV 20d: 43.6%). Max pain ranged from $32.00 to $35.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 1.12.

Notable Days

  • 2018-09-28: Highest Volume — 10,001 contracts
  • 2018-09-24: Largest IV spike — 7.1% change
  • 2018-09-24: Highest IV Rank — 20.7%
  • 2018-09-24: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.84$30.69$34.41$30.69$32.11
Max Pain$32.53$32.00$35.00$35.00$32.00
ATM IV43.2%39.8%44.7%44.0%39.8%
Expected Move12.4%11.4%12.8%12.6%11.4%
HV 20d43.6%36.1%72.0%72.0%37.6%
HV 60d53.8%49.7%56.9%56.2%49.9%
IV Rank17.9%11.7%20.7%19.5%11.7%
IV Percentile55.6%34.9%65.9%59.1%34.9%
Term Structure7.4%-2.4%12.2%-2.4%12.2%
VWIV44.9%40.3%50.3%43.2%42.4%
Skew 25d4.9%3.3%6.5%3.3%5.5%
Skew 10d10.3%6.3%13.3%6.3%9.7%
Call IV 25d41.4%38.2%42.6%42.6%38.2%
Put IV 25d46.3%43.7%48.0%45.9%43.7%
Bid-Ask Spread %17.1111.6320.1511.6315.87
Gamma HHI0.080.070.090.090.08
Net GEX-927.5K-1.4M-566.3K-1.4M-926.4K
Net DEX40.3M23.9M63.1M63.1M44.3M
Net VEX-577.7K-614.4K-547.3K-565.0K-562.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.701.851.791.59
Total Volume5,815.1053,93810,0017,82710,001
Total OI117,327.684100,966124,366118,375106,334

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-09-04$30.69$35.0044.0%12.6%72.0%19.5%43.2%3.3%-2.4%-1.4M63.1M-565.0K1.7911.632,8095,01847,81070,565
2018-09-05$31.81$35.0044.0%12.6%67.5%19.3%43.7%4.2%-0.9%-1.3M54.2M-586.4K1.8517.402,7545,08448,67571,302
2018-09-06$31.44$34.0043.9%12.5%39.8%19.3%42.8%5.2%7.1%-1.3M57.7M-577.7K1.4616.502,4073,51548,49171,390
2018-09-07$31.74$34.0043.0%12.4%36.1%17.5%43.5%5.4%8.2%-1.3M55.0M-583.2K0.8916.103,9563,52548,50171,385
2018-09-10$32.55$32.0042.8%12.2%37.0%17.2%44.2%4.2%7.9%-1.0M44.7M-587.8K1.1717.792,6803,14750,02671,430
2018-09-11$32.61$32.0043.2%12.4%36.6%18.0%46.5%6.5%8.1%-1.1M45.4M-585.6K0.7615.333,9302,99950,16371,443
2018-09-12$34.41$32.0044.3%12.7%41.0%20.0%44.9%5.7%6.1%-566.3K23.9M-614.4K0.7014.903,3022,30951,95771,530
2018-09-13$33.74$32.0043.8%12.6%40.9%19.1%45.0%5.1%7.2%-729.2K31.0M-601.2K0.9418.562,4372,28252,39271,604
2018-09-14$34.08$32.0042.8%12.3%41.0%17.1%47.8%5.0%9.1%-663.8K28.1M-602.4K1.3216.892,1102,77952,41071,701
2018-09-17$33.56$32.0044.0%12.6%40.9%19.5%48.6%5.7%6.9%-768.8K33.3M-587.4K1.0418.842,0792,16152,44571,658
2018-09-18$33.44$32.0044.4%12.7%40.9%20.1%50.3%5.3%8.7%-842.4K35.6M-587.6K1.0119.902,0642,08852,55271,814
2018-09-19$34.05$32.0043.7%12.5%41.3%18.8%46.2%5.3%7.7%-674.8K28.2M-579.8K0.9318.342,2752,11852,64571,476
2018-09-20$34.28$32.0043.5%12.5%40.8%18.5%44.2%4.0%8.1%-649.2K25.7M-582.1K0.8416.972,3341,96952,72471,436
2018-09-21$34.13$32.0041.7%12.0%40.0%15.2%40.3%5.2%8.8%-846.4K26.7M-571.1K0.7820.152,4741,92452,74271,427
2018-09-24$32.36$32.0044.7%12.8%44.2%20.7%45.1%4.3%8.2%-912.1K41.9M-550.7K0.8116.362,3791,92532,95268,014
2018-09-25$32.09$32.0043.4%12.4%44.3%18.3%44.6%4.6%8.7%-971.1K44.7M-550.4K0.8214.702,3891,96333,47468,490
2018-09-26$32.53$32.0041.5%11.9%43.3%14.8%45.1%4.1%10.6%-874.0K40.6M-553.1K0.9118.772,0581,88034,12068,985
2018-09-27$32.36$32.0041.6%11.9%43.3%15.1%45.3%4.5%10.8%-917.1K41.6M-547.3K1.6020.043,5965,76734,23068,933
2018-09-28$32.11$32.0039.8%11.4%37.6%11.7%42.4%5.5%12.2%-926.4K44.3M-562.9K1.5915.873,8586,14335,90970,425