CAR Options History — November 2019

In November 2019, CAR traded between $27.07 and $31.49. ATM implied volatility averaged 41.7%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded below realized volatility by 13.4% (HV 20d: 55.2%). Max pain ranged from $29.00 to $31.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 5.42.

Notable Days

  • 2019-11-01: Highest Volume — 7,138 contracts
  • 2019-11-11: Largest IV spike — 14.1% change
  • 2019-11-11: Highest IV Rank — 25.0%
  • 2019-11-01: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.82$27.07$31.49$27.07$29.76
Max Pain$29.10$29.00$31.00$31.00$29.00
ATM IV41.7%38.4%47.2%47.2%40.0%
Expected Move11.8%11.0%13.5%13.5%11.5%
HV 20d55.2%52.2%57.6%52.2%57.6%
HV 60d48.8%47.5%50.1%49.1%49.3%
IV Rank17.9%12.6%25.0%23.1%15.4%
IV Percentile29.9%11.5%48.8%48.8%24.2%
Term Structure0.3%-3.1%1.5%-3.1%0.3%
VWIV41.7%37.2%48.2%48.2%39.9%
Skew 25d5.5%4.6%6.6%5.9%5.0%
Skew 10d11.0%7.1%13.1%7.1%10.9%
Call IV 25d38.6%35.4%44.4%44.4%38.0%
Put IV 25d44.1%41.2%50.3%50.3%43.1%
Bid-Ask Spread %13.448.8318.1113.9714.79
Gamma HHI0.150.100.310.110.11
Net GEX-1.7M-3.5M-861.4K-1.8M-1.0M
Net DEX23.4M3.7M58.7M58.7M18.2M
Net VEX-314.1K-348.0K-287.1K-347.2K-307.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.420.3732.093.230.80
Total Volume1,712.2727,1387,138229
Total OI86,366.9571,23998,09895,92376,859

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-11-01$27.07$31.0047.2%13.5%52.2%23.1%48.2%5.9%-3.1%-1.8M58.7M-347.2K3.2313.971,6885,45020,69075,233
2019-11-04$28.31$29.0046.9%12.6%54.4%22.7%44.2%6.1%0.1%-1.9M46.5M-343.3K3.3611.155181,74321,30675,258
2019-11-05$29.80$29.0044.1%12.1%55.8%18.6%42.6%6.6%0.5%-2.1M30.1M-348.0K0.4112.031,58364921,47476,288
2019-11-06$29.21$29.0044.1%12.3%56.3%22.9%41.9%5.4%0.8%-2.1M37.2M-347.5K1.2715.0123429721,53076,537
2019-11-07$29.47$29.0042.6%12.2%56.3%20.3%42.5%5.1%1.0%-2.1M34.0M-338.0K32.0914.061093,49821,52676,572
2019-11-08$30.69$29.0039.6%11.5%53.7%14.8%44.2%4.6%1.0%-2.3M19.0M-321.1K2.1416.3931266921,54873,375
2019-11-11$30.88$29.0045.2%11.5%53.7%25.0%41.1%5.1%1.4%-2.4M14.4M-308.0K0.9112.2553748821,58473,368
2019-11-12$31.01$29.0043.4%11.3%52.8%21.6%40.5%5.7%1.5%-2.7M12.8M-308.2K6.9813.631841,28521,77073,593
2019-11-13$29.82$29.0039.4%11.3%54.3%14.4%42.2%6.6%0.9%-2.5M31.2M-310.7K2.1418.118621,84421,78774,673
2019-11-14$30.33$29.0039.5%11.3%53.9%14.5%40.2%5.5%1.4%-3.5M25.6M-304.9K1.0912.7731233921,54674,578
2019-11-15$31.49$29.0038.4%11.0%54.6%12.6%39.0%5.8%0.8%-1.6M3.7M-287.1K0.5316.341,59884921,23874,580
2019-11-18$30.82$29.0039.0%11.2%54.9%13.6%39.0%5.2%1.1%-861.4K9.9M-292.2K2.2613.7221548614,18957,050
2019-11-19$30.01$29.0040.5%11.6%55.6%16.3%44.6%5.6%0.1%-900.9K14.6M-288.2K16.968.831412,39114,33457,434
2019-11-20$28.62$29.0042.3%12.1%56.2%19.6%42.9%4.8%-1.5%-1.0M25.4M-307.1K4.5811.2017278814,48058,627
2019-11-21$28.74$29.0041.9%12.0%55.0%18.8%42.4%5.9%-0.3%-1.0M24.7M-310.2K3.0813.634915114,60558,768
2019-11-22$29.12$29.0040.4%11.6%55.3%16.2%37.2%6.0%-0.3%-1.0M21.7M-296.3K19.5912.721052,05714,64358,802
2019-11-25$30.40$29.0041.2%11.8%56.9%17.6%40.3%5.4%-0.2%-972.5K14.4M-302.1K0.3711.5186231814,62060,850
2019-11-26$30.30$29.0039.9%11.4%56.9%15.2%41.1%5.3%1.2%-974.3K14.1M-308.4K1.5713.01284415,16560,836
2019-11-27$30.60$29.0039.4%11.3%56.9%14.4%40.2%4.8%-0.4%-938.3K11.6M-305.5K5.0413.8019296815,17260,851
2019-11-29$29.76$29.0040.0%11.5%57.6%15.4%39.9%5.0%0.3%-1.0M18.2M-307.3K0.8014.7912710215,14561,714