CAR Options History — December 2019

In December 2019, CAR traded between $29.26 and $32.97. ATM implied volatility averaged 40.2%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 2.1% (HV 20d: 38.2%). Max pain ranged from $29.00 to $31.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 2.59.

Notable Days

  • 2019-12-16: Highest Volume — 8,783 contracts
  • 2019-12-12: Largest IV spike — 18.8% change
  • 2019-12-12: Highest IV Rank — 25.9%
  • 2019-12-12: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.74$29.26$32.97$29.66$32.40
Max Pain$30.24$29.00$31.00$29.00$31.00
ATM IV40.2%37.3%45.8%42.7%41.0%
Expected Move11.5%10.7%13.1%12.3%11.8%
HV 20d38.2%30.1%46.0%46.0%30.5%
HV 60d46.0%43.1%49.2%49.2%43.2%
IV Rank15.9%10.5%25.9%20.4%17.3%
IV Percentile26.7%7.9%57.5%42.9%35.3%
Term Structure3.5%-1.5%5.9%-0.5%4.3%
VWIV41.6%34.4%47.2%42.9%41.5%
Skew 25d5.2%4.1%7.2%4.4%4.6%
Skew 10d10.4%7.8%14.8%8.9%11.3%
Call IV 25d38.0%35.2%41.3%41.1%38.4%
Put IV 25d43.2%40.3%48.5%45.5%43.0%
Bid-Ask Spread %10.125.8029.7414.856.63
Gamma HHI0.120.100.130.120.13
Net GEX-976.9K-1.1M-785.0K-1.0M-1.1M
Net DEX7.7M-2.1M21.3M18.0M8.9M
Net VEX-287.7K-307.4K-263.9K-297.4K-279.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.590.088.941.021.55
Total Volume1,664.048718,783475834
Total OI81,787.76276,94288,62776,94286,066

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-12-02$29.66$29.0042.7%12.3%46.0%20.4%42.9%4.4%-0.5%-1.0M18.0M-297.4K1.0214.8523524015,24161,701
2019-12-03$29.26$29.0044.1%12.7%43.9%23.0%44.0%5.5%-1.5%-1.0M21.3M-302.2K2.0212.3312024315,31961,790
2019-12-04$29.87$29.0041.9%12.0%40.5%18.9%43.1%4.2%-0.1%-1.0M16.9M-299.1K2.137.8921044715,31661,893
2019-12-05$29.88$30.0041.2%11.7%39.8%17.6%47.2%5.4%3.0%-1.0M16.8M-297.9K0.0810.7466515,38262,302
2019-12-06$31.11$30.0037.5%11.0%42.1%10.9%46.6%5.8%4.2%-919.3K7.7M-282.2K8.948.423132,79815,38862,298
2019-12-09$31.89$30.0040.0%11.1%40.6%15.5%40.3%5.6%3.8%-804.3K1.2M-268.9K1.098.5733035915,54562,337
2019-12-10$32.03$30.0039.0%11.1%40.6%13.6%44.8%5.2%3.4%-785.0K-33.8K-268.6K4.309.686628415,78762,454
2019-12-11$32.52$30.0038.5%11.0%40.8%12.8%38.4%5.7%3.9%-796.1K-2.1M-266.3K0.879.1734429815,80962,606
2019-12-12$30.89$30.0045.8%13.1%42.7%25.9%45.3%7.2%1.0%-949.1K10.7M-291.6K7.7629.743702,87315,80562,686
2019-12-13$31.30$30.0039.4%11.3%42.5%14.4%41.4%5.0%3.3%-1.0M7.2M-274.2K2.6710.865731,52815,89963,757
2019-12-16$32.15$30.0042.1%12.1%41.5%19.3%34.4%5.5%2.8%-876.9K462.4K-263.9K2.358.622,6206,16315,83963,180
2019-12-17$32.25$30.0042.0%12.0%40.6%19.1%42.6%5.6%3.6%-1.1M7.7M-300.9K3.068.418732,67415,94568,299
2019-12-18$32.60$30.0041.1%11.8%39.2%17.5%41.4%5.0%3.9%-1.0M5.2M-295.4K0.5110.731,54978516,49369,009
2019-12-19$32.34$31.0041.2%11.8%34.6%17.7%41.6%4.1%4.9%-1.1M7.7M-307.4K1.3010.049851,27917,86369,652
2019-12-20$32.75$31.0038.1%10.9%34.6%12.0%43.4%5.5%5.9%-895.7K3.4M-298.6K3.158.755231,65018,50670,121
2019-12-23$32.92$31.0038.1%10.9%34.6%12.0%37.7%4.9%5.8%-947.4K4.5M-293.9K0.5411.0950927617,58267,212
2019-12-24$32.97$31.0037.3%10.7%31.7%10.5%37.9%5.1%5.7%-978.2K4.6M-295.1K2.975.9821764517,74767,347
2019-12-26$32.59$31.0037.4%10.7%32.1%10.8%38.0%5.1%5.4%-1.1M7.2M-289.3K2.187.1810823517,88367,732
2019-12-27$32.40$31.0038.1%10.9%32.2%12.0%37.8%4.4%5.1%-1.1M8.7M-288.3K0.725.8016111617,91667,913
2019-12-30$32.73$31.0038.5%11.0%30.1%12.7%42.7%5.0%5.3%-1.1M6.2M-280.9K5.277.1316687517,94467,979
2019-12-31$32.40$31.0041.0%11.8%30.5%17.3%41.5%4.6%4.3%-1.1M8.9M-279.8K1.556.6332750717,97068,096