CAR Options History — November 2018

In November 2018, CAR traded between $27.23 and $32.87. ATM implied volatility averaged 60.7%, placing in the 42.4% IV rank vs the trailing year. The 30-day expected move averaged 16.3%. IV traded below realized volatility by 6.9% (HV 20d: 67.6%). Max pain ranged from $29.00 to $34.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.93.

Notable Days

  • 2018-11-05: Highest Volume — 16,971 contracts
  • 2018-11-06: Largest IV drop — 38.1% change
  • 2018-11-02: Highest IV Rank — 100.0%
  • 2018-11-02: Largest Expected Move — 26.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.16$27.23$32.87$30.04$29.19
Max Pain$30.05$29.00$34.00$34.00$29.00
ATM IV60.7%51.5%99.4%87.1%52.0%
Expected Move16.3%13.9%26.3%25.0%14.9%
HV 20d67.6%61.9%73.1%66.2%62.7%
HV 60d52.5%47.1%55.4%48.1%55.4%
IV Rank42.4%27.2%100.0%93.8%28.1%
IV Percentile81.3%71.0%100.0%98.4%71.0%
Term Structure-4.8%-27.3%-0.2%-22.8%-2.9%
VWIV57.6%51.9%88.4%82.8%52.0%
Skew 25d6.3%4.0%12.4%12.4%6.5%
Skew 10d12.1%7.5%24.7%20.3%11.4%
Call IV 25d54.1%47.2%85.8%81.0%49.4%
Put IV 25d60.4%53.4%97.2%93.4%55.8%
Bid-Ask Spread %18.0613.6423.9614.6416.52
Gamma HHI0.110.080.250.090.13
Net GEX-1.4M-2.2M-889.9K-1.2M-1.6M
Net DEX56.7M31.0M75.7M59.6M61.7M
Net VEX-439.0K-494.2K-380.5K-477.7K-390.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.341.911.830.42
Total Volume9,142.8576,33416,9718,6546,781
Total OI108,851.85797,925118,394107,200102,068

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-11-01$30.04$34.0087.1%25.0%66.2%93.8%82.8%12.4%-22.8%-1.2M59.6M-477.7K1.8314.643,0595,59536,22870,972
2018-11-02$30.24$34.0091.8%26.3%66.3%100.0%88.4%11.3%-27.3%-1.2M59.6M-494.2K1.8117.603,8677,00135,93572,604
2018-11-05$30.64$30.0099.4%18.7%65.4%100.0%65.2%9.4%-6.4%-1.2M55.5M-489.4K1.8420.745,98610,98537,10473,609
2018-11-06$29.51$30.0061.5%15.4%61.9%42.5%56.6%7.5%-2.2%-1.8M70.7M-465.7K1.9114.123,9177,49939,30378,049
2018-11-07$32.87$30.0055.6%13.9%72.7%33.4%51.9%6.5%-0.2%-889.9K31.0M-481.9K1.2815.544,9006,27439,23476,535
2018-11-08$32.19$30.0057.2%14.5%73.1%35.9%52.3%5.3%-1.0%-1.2M40.8M-491.1K1.1621.024,4085,11840,12177,547
2018-11-09$32.31$30.0053.5%14.7%73.0%30.3%52.3%5.1%-1.5%-1.0M38.8M-489.3K0.8519.356,2925,31940,81477,580
2018-11-12$31.48$30.0064.2%15.5%71.9%46.6%55.4%4.7%-3.5%-1.3M47.6M-468.4K0.6722.125,7543,87440,25177,261
2018-11-13$31.01$30.0064.4%15.2%71.7%46.9%56.3%5.7%-2.5%-1.4M52.0M-459.2K0.6818.655,2473,56240,52877,190
2018-11-14$31.27$30.0053.6%15.4%71.8%30.5%57.3%5.6%-1.5%-1.4M51.2M-459.8K0.7021.395,2093,65040,46877,137
2018-11-15$31.14$30.0053.3%15.3%68.2%30.0%54.3%6.5%-2.3%-1.5M53.0M-453.7K0.6920.575,3473,71140,58677,208
2018-11-16$29.98$30.0052.7%15.1%69.4%29.0%53.8%4.4%-1.5%-2.2M64.3M-434.7K0.7018.195,0753,56840,66976,944
2018-11-19$28.62$30.0054.3%15.6%71.1%31.5%53.5%4.4%-1.4%-1.5M65.3M-406.9K0.6418.514,6542,98831,33166,594
2018-11-20$27.23$30.0058.1%16.7%72.9%37.4%59.0%5.4%-4.3%-1.5M75.7M-383.7K1.1416.784,5665,22131,70666,960
2018-11-21$27.95$29.0051.6%14.8%63.7%27.5%52.2%4.0%-1.7%-1.6M71.1M-380.5K0.8116.514,4063,58332,11166,524
2018-11-23$28.07$29.0055.2%15.8%62.3%32.9%55.7%5.0%-4.2%-1.6M70.0M-392.6K0.7323.964,2503,10832,28868,462
2018-11-26$29.73$29.0052.0%14.9%63.9%28.0%53.4%4.1%-4.4%-1.6M58.8M-399.9K0.4714.174,5402,13332,41068,547
2018-11-27$29.72$29.0051.5%14.8%63.1%27.2%51.9%6.0%-2.9%-1.6M57.1M-398.0K0.3913.644,5641,77032,71067,981
2018-11-28$30.98$29.0052.4%15.0%62.1%28.6%52.6%6.6%-3.6%-1.4M45.9M-410.0K0.3419.465,2451,80532,75768,087
2018-11-29$29.29$29.0053.3%15.3%65.7%29.9%52.4%5.0%-3.5%-1.6M60.4M-392.4K0.4415.884,9792,19033,39168,085
2018-11-30$29.19$29.0052.0%14.9%62.7%28.1%52.0%6.5%-2.9%-1.6M61.7M-390.2K0.4216.524,7672,01433,62468,444