CAR Options History — September 2019

In September 2019, CAR traded between $24.21 and $29.62. ATM implied volatility averaged 41.0%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded below realized volatility by 4.9% (HV 20d: 45.9%). Max pain ranged from $25.00 to $28.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.15.

Notable Days

  • 2019-09-24: Highest Volume — 4,250 contracts
  • 2019-09-09: Largest IV spike — 8.3% change
  • 2019-09-03: Highest IV Rank — 18.9%
  • 2019-09-03: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.88$24.21$29.62$24.21$28.35
Max Pain$26.55$25.00$28.00$28.00$27.00
ATM IV41.0%38.1%44.3%44.3%41.1%
Expected Move11.8%11.3%12.7%12.7%11.8%
HV 20d45.9%41.2%53.9%42.3%48.1%
HV 60d39.7%36.3%42.4%36.4%42.4%
IV Rank14.1%9.8%18.9%18.9%14.2%
IV Percentile26.9%10.3%42.1%42.1%29.8%
Term Structure8.9%-0.6%12.4%-0.0%12.4%
VWIV41.0%38.7%43.4%43.4%41.0%
Skew 25d4.8%3.2%6.4%6.0%4.2%
Skew 10d10.4%3.7%14.2%12.4%8.9%
Call IV 25d38.8%36.8%41.4%41.4%39.0%
Put IV 25d43.6%42.0%47.5%47.5%43.3%
Bid-Ask Spread %14.797.4220.308.4218.17
Gamma HHI0.090.080.110.110.10
Net GEX-548.2K-719.2K-344.8K-682.7K-671.7K
Net DEX17.6M5.9M35.8M35.8M18.2M
Net VEX-315.3K-331.3K-295.8K-298.2K-325.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.075.280.551.92
Total Volume1,291.351224,250474324
Total OI69,847.7565,59172,80065,59171,281

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-09-03$24.21$28.0044.3%12.7%42.3%18.9%43.4%6.0%-0.0%-682.7K35.8M-298.2K0.558.4230516915,68749,904
2019-09-04$24.40$28.0042.4%12.2%43.3%16.1%39.3%3.6%-0.6%-695.9K35.1M-295.8K5.287.4218497115,81049,890
2019-09-05$25.45$25.0041.2%11.8%43.4%14.3%41.7%5.0%7.5%-708.8K31.3M-300.0K0.3712.942,15679815,81950,543
2019-09-06$25.13$25.0038.1%11.5%42.3%9.8%38.7%4.8%9.0%-646.6K31.8M-303.2K0.8310.0516213417,54450,679
2019-09-09$27.29$25.0041.3%11.8%53.9%14.4%43.0%6.4%6.9%-601.8K20.6M-309.8K0.5013.761,58979817,58150,713
2019-09-10$28.37$25.0042.1%11.9%51.5%15.7%41.3%4.3%8.3%-466.8K13.9M-318.0K0.3215.942,36574718,28151,297
2019-09-11$29.05$26.0040.0%11.5%52.1%12.5%40.3%4.9%8.6%-392.8K8.9M-314.4K0.1714.8167111219,08051,681
2019-09-12$29.42$26.0039.6%11.4%46.7%12.0%39.8%6.3%9.8%-359.9K6.7M-315.7K0.8312.2520316819,25151,653
2019-09-13$28.95$26.0041.2%11.8%43.9%14.3%42.7%5.5%9.3%-344.8K9.4M-323.5K4.8916.525322,60219,26751,628
2019-09-16$29.53$27.0040.6%11.6%44.2%13.4%41.5%5.0%10.3%-390.4K7.3M-323.4K0.3712.9840115019,12553,431
2019-09-17$29.50$27.0042.1%12.1%44.2%15.6%42.6%4.5%10.0%-372.7K7.5M-321.3K0.2313.962355519,20953,501
2019-09-18$29.62$27.0040.5%11.6%44.1%13.3%39.7%4.4%10.4%-357.3K5.9M-318.2K0.0715.223552419,26553,535
2019-09-19$29.48$27.0039.3%11.3%43.3%11.5%39.2%4.7%11.7%-358.4K6.7M-314.4K0.1920.301,31024719,21353,552
2019-09-20$29.36$27.0039.6%11.3%43.2%11.9%40.2%5.3%11.6%-506.5K8.9M-313.7K0.2016.601,19424418,64153,513
2019-09-23$29.09$27.0039.9%11.4%41.2%12.4%42.1%3.7%10.7%-584.0K13.7M-307.7K2.2116.094521,00114,41951,632
2019-09-24$27.31$27.0042.5%12.2%48.3%16.2%43.0%5.1%9.7%-691.3K23.8M-313.8K2.3817.291,2572,99314,61152,615
2019-09-25$27.96$27.0041.0%11.8%47.5%14.0%40.1%4.9%11.1%-719.2K20.8M-331.3K0.1618.815328615,64555,096
2019-09-26$27.76$27.0041.1%11.8%47.5%14.1%40.9%3.2%10.9%-697.2K21.3M-328.6K0.5218.341186116,03355,123
2019-09-27$27.43$27.0043.0%12.3%47.1%17.0%40.4%4.0%10.6%-715.1K23.4M-329.4K1.0715.98596316,06055,147
2019-09-30$28.35$27.0041.1%11.8%48.1%14.2%41.0%4.2%12.4%-671.7K18.2M-325.4K1.9218.1711121316,09355,188