CAR Options History — December 2018

In December 2018, CAR traded between $22.52 and $29.67. ATM implied volatility averaged 58.1%, placing in the 37.2% IV rank vs the trailing year. The 30-day expected move averaged 16.3%. IV traded above realized volatility by 6.8% (HV 20d: 51.3%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 4.04.

Notable Days

  • 2018-12-13: Highest Volume — 6,582 contracts
  • 2018-12-12: Largest IV drop — 14.8% change
  • 2018-12-10: Highest IV Rank — 46.6%
  • 2018-12-26: Largest Expected Move — 18.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.42$22.52$29.67$29.67$22.52
Max Pain$32.50$30.00$35.00$30.00$32.00
ATM IV58.1%48.0%64.2%48.0%62.6%
Expected Move16.3%13.8%18.4%13.8%17.9%
HV 20d51.3%42.4%66.2%62.9%43.6%
HV 60d56.3%55.2%57.9%55.5%57.9%
IV Rank37.2%22.0%46.6%22.0%43.9%
IV Percentile80.5%64.7%89.7%64.7%85.7%
Term Structure-1.9%-5.5%0.4%-1.1%-1.4%
VWIV55.9%49.2%65.2%49.2%65.2%
Skew 25d6.7%3.3%10.1%4.3%8.0%
Skew 10d13.2%6.1%21.0%7.7%21.0%
Call IV 25d53.7%46.8%61.5%46.8%59.9%
Put IV 25d60.4%51.0%69.1%51.0%67.9%
Bid-Ask Spread %13.659.0924.4818.069.09
Gamma HHI0.110.100.130.130.11
Net GEX-1.6M-1.8M-1.1M-1.7M-1.1M
Net DEX84.0M56.9M96.6M56.9M93.1M
Net VEX-362.8K-388.6K-328.8K-382.0K-328.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.040.6812.4112.413.97
Total Volume3,256.451,2036,5822,4951,203
Total OI108,832.7102,684113,708102,684108,913

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-12-03$29.67$30.0048.0%13.8%62.9%22.0%49.2%4.3%-1.1%-1.7M56.9M-382.0K12.4118.061862,30934,02268,662
2018-12-04$27.91$30.0053.9%15.5%66.2%30.9%53.5%4.4%-4.1%-1.8M73.0M-375.1K8.9415.954494,01334,09370,789
2018-12-05$27.85$30.0056.7%16.3%65.0%35.2%55.9%3.3%-5.5%-1.8M73.3M-372.7K8.9124.484514,01734,09370,789
2018-12-06$28.32$35.0058.6%15.2%51.0%38.0%52.7%7.3%-0.7%-1.8M70.2M-388.6K1.8114.8445181634,20271,950
2018-12-07$27.15$35.0058.0%15.2%52.2%37.1%51.8%5.8%-0.5%-1.7M74.4M-365.7K7.9114.965824,60134,42969,956
2018-12-10$26.88$35.0064.2%15.8%52.0%46.6%55.1%7.0%-1.2%-1.8M77.4M-373.8K0.6814.6595164834,44372,301
2018-12-11$26.11$35.0062.4%15.6%52.2%43.8%52.2%7.2%-1.0%-1.7M82.7M-356.6K3.5711.306632,36934,93972,121
2018-12-12$25.84$34.0053.1%15.2%52.1%29.8%50.5%6.7%-0.3%-1.8M85.2M-358.3K8.2111.876645,45034,94773,486
2018-12-13$25.40$33.0053.1%15.2%51.8%29.8%51.6%5.5%0.4%-1.8M89.9M-379.7K7.3410.667895,79335,18077,435
2018-12-14$24.96$33.0053.1%15.2%51.8%29.7%52.7%5.3%-0.6%-1.7M92.5M-371.2K3.5612.771,1404,05835,24077,579
2018-12-17$25.03$32.0055.0%15.8%51.0%32.6%53.0%5.6%-0.3%-1.7M89.2M-374.1K1.1612.2968980135,81077,626
2018-12-18$25.43$32.0054.2%15.5%49.7%31.3%54.4%7.1%-1.1%-1.8M88.5M-376.3K1.0713.9177382735,92877,637
2018-12-19$24.51$32.0055.8%16.0%48.4%33.7%55.0%8.1%-2.0%-1.7M91.3M-359.7K1.1713.861,7112,00436,03177,000
2018-12-20$24.25$32.0059.7%17.1%47.0%39.7%55.8%6.8%-2.8%-1.7M91.0M-361.4K0.7910.271,8791,48036,90976,782
2018-12-21$22.95$32.0059.2%17.0%49.7%38.8%59.6%7.4%-0.8%-1.4M96.6M-334.2K4.3911.747133,13237,04276,666
2018-12-24$22.59$32.0063.7%18.3%42.9%45.6%62.6%7.6%-3.3%-1.2M91.2M-335.9K1.0415.721,3841,44131,72474,958
2018-12-26$23.88$32.0064.1%18.4%49.3%46.2%64.1%7.7%-4.7%-1.3M86.8M-352.4K1.5113.809361,41832,11874,511
2018-12-27$23.70$32.0063.0%18.1%45.3%44.5%61.2%10.1%-3.3%-1.3M88.0M-354.6K1.3812.571,0191,40832,50675,112
2018-12-28$23.48$32.0063.9%18.3%42.4%45.8%62.2%7.8%-3.6%-1.3M88.1M-355.6K1.0310.2694396832,93275,793
2018-12-31$22.52$32.0062.6%17.9%43.6%43.9%65.2%8.0%-1.4%-1.1M93.1M-328.8K3.979.0924296133,13075,783