CAR Options History — January 2020

In January 2020, CAR traded between $32.58 and $36.51. ATM implied volatility averaged 44.1%, placing in the 22.9% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 10.4% (HV 20d: 33.7%). Max pain ranged from $31.00 to $34.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 4.32.

Notable Days

  • 2020-01-16: Highest Volume — 2,691 contracts
  • 2020-01-23: Largest IV spike — 24.3% change
  • 2020-01-31: Highest IV Rank — 49.3%
  • 2020-01-31: Largest Expected Move — 16.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.22$32.58$36.51$33.33$32.88
Max Pain$32.62$31.00$34.00$31.00$34.00
ATM IV44.1%36.6%58.7%39.7%58.7%
Expected Move12.8%10.5%16.8%11.4%16.8%
HV 20d33.7%29.0%37.8%30.8%36.7%
HV 60d42.3%37.2%43.5%43.5%37.2%
IV Rank22.9%9.3%49.3%14.9%49.3%
IV Percentile44.4%6.0%88.9%25.0%88.9%
Term Structure0.9%-10.2%8.7%4.4%-10.2%
VWIV45.1%35.1%59.7%41.3%59.0%
Skew 25d6.0%4.8%7.8%4.9%7.8%
Skew 10d10.7%-10.8%29.2%20.9%15.0%
Call IV 25d41.7%33.7%55.0%37.7%55.0%
Put IV 25d47.7%38.6%62.7%42.6%62.7%
Bid-Ask Spread %34.946.8872.347.2460.55
Gamma HHI0.170.110.640.140.11
Net GEX-743.6K-3.0M-139.0K-1.0M-676.1K
Net DEX-1.4M-26.1M15.6M1.4M15.6M
Net VEX-260.8K-279.8K-240.4K-278.1K-273.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.320.0753.363.138.79
Total Volume986.193102,691318832
Total OI73,758.09550,24991,09486,48057,058

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-01-02$33.33$31.0039.7%11.4%30.8%14.9%41.3%4.9%4.4%-1.0M1.4M-278.1K3.137.247724118,22668,254
2020-01-03$32.58$31.0039.0%11.2%32.0%13.6%42.0%5.3%5.6%-1.1M6.5M-279.8K1.786.8813824518,23968,316
2020-01-06$32.86$32.0041.5%12.5%32.0%18.2%41.1%6.2%3.3%-1.1M4.6M-267.9K0.558.0058632418,34768,533
2020-01-07$33.09$32.0041.1%12.5%29.1%17.5%44.3%6.5%3.2%-1.1M1.8M-265.9K1.268.8224530818,80468,600
2020-01-08$33.88$32.0038.7%12.2%29.0%13.1%44.8%6.1%4.2%-944.0K-4.4M-263.3K1.4610.5414421018,99568,733
2020-01-09$35.50$32.0039.5%12.0%32.9%14.5%42.4%6.0%4.4%-470.7K-18.2M-254.0K0.6911.621,05372719,03768,696
2020-01-10$34.36$32.0039.6%12.3%35.3%14.7%43.8%5.6%3.7%-843.9K-8.8M-263.5K1.4415.4123934519,43969,172
2020-01-13$35.80$32.0043.0%11.9%31.5%20.8%42.8%5.3%4.3%-396.3K-20.7M-247.5K1.6218.7729748119,45269,329
2020-01-14$36.51$32.0042.4%11.5%31.7%19.8%40.3%5.6%5.6%-139.0K-26.1M-240.4K0.3317.7293230519,55469,625
2020-01-15$35.81$32.0039.7%11.4%32.3%14.9%39.3%6.7%5.2%-422.5K-21.8M-247.5K0.2517.413639020,01269,792
2020-01-16$35.84$32.0036.6%10.5%32.3%9.3%35.1%4.8%8.7%-192.9K-23.2M-246.4K0.0769.342,51217920,09969,833
2020-01-17$34.83$32.0036.8%10.5%34.4%9.6%36.2%5.5%7.4%-3.0M-10.9M-249.5K1.4171.1937452821,14969,945
2020-01-21$34.57$33.0038.4%11.0%34.4%12.6%38.8%5.6%5.2%-427.8K5.9M-247.3K1.8472.348631,5869,69040,559
2020-01-22$34.52$33.0038.7%11.1%34.2%13.1%39.3%5.6%3.9%-450.5K6.3M-259.8K1.0749.6823825410,41442,067
2020-01-23$34.60$33.0048.1%13.8%34.2%30.2%48.5%6.6%-3.1%-449.8K5.5M-262.4K6.0663.372531,53310,57942,236
2020-01-24$34.11$34.0050.1%14.4%34.7%33.9%49.1%6.3%-5.7%-579.5K9.6M-266.7K1.8739.2710820210,72343,494
2020-01-27$32.92$34.0054.5%15.6%36.9%41.8%52.1%6.2%-7.6%-687.0K15.2M-271.3K0.2350.891,53335110,75243,654
2020-01-28$33.75$34.0051.8%14.9%37.8%37.0%53.9%5.9%-6.3%-531.3K10.2M-267.7K2.0852.6716133511,94343,836
2020-01-29$33.66$34.0053.4%15.3%37.7%39.7%53.7%6.9%-8.4%-531.3K10.2M-262.8K1.4825.8513019211,98943,787
2020-01-30$33.24$34.0054.9%15.8%37.8%42.6%59.7%7.0%-8.6%-585.8K12.6M-262.3K53.3656.30221,17412,02843,930
2020-01-31$32.88$34.0058.7%16.8%36.7%49.3%59.0%7.8%-10.2%-676.1K15.6M-273.0K8.7960.558574712,02945,029