CAR Options History — February 2020

In February 2020, CAR traded between $31.56 and $50.30. ATM implied volatility averaged 60.2%, placing in the 52.1% IV rank vs the trailing year. The 30-day expected move averaged 16.1%. IV traded above realized volatility by 1.3% (HV 20d: 58.9%). Max pain ranged from $34.00 to $43.00. Net GEX was positive for 8 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 4.69.

Notable Days

  • 2020-02-27: Highest Volume — 16,238 contracts
  • 2020-02-12: Largest IV drop — 32.6% change
  • 2020-02-28: Highest IV Rank — 96.5%
  • 2020-02-28: Largest Expected Move — 24.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.89$31.56$50.30$32.82$31.56
Max Pain$37.68$34.00$43.00$34.00$41.00
ATM IV60.2%44.9%84.7%60.8%84.7%
Expected Move16.1%12.9%24.3%17.4%24.3%
HV 20d58.9%35.7%104.8%35.7%104.8%
HV 60d45.2%35.8%65.7%35.8%65.7%
IV Rank52.1%24.3%96.5%53.2%96.5%
IV Percentile85.2%62.3%99.6%90.5%99.6%
Term Structure-6.2%-14.2%1.8%-11.9%-13.5%
VWIV57.2%45.8%89.3%60.5%85.4%
Skew 25d7.1%4.5%16.9%7.7%16.9%
Skew 10d17.6%9.0%34.9%16.8%33.8%
Call IV 25d53.0%42.9%78.5%57.0%77.0%
Put IV 25d60.1%47.5%93.9%64.7%93.9%
Bid-Ask Spread %24.9715.4460.5560.5520.06
Gamma HHI0.090.060.150.100.06
Net GEX-229.0K-738.0K333.8K-713.4K-738.0K
Net DEX-13.2M-85.4M33.1M16.1M33.1M
Net VEX-248.1K-356.7K-180.6K-263.7K-356.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.690.5957.612.831.61
Total Volume4,393.26311116,2381113,227
Total OI60,252.57953,07972,97757,45670,931

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-02-03$32.82$34.0060.8%17.4%35.7%53.2%60.5%7.7%-11.9%-713.4K16.1M-263.7K2.8360.55298212,03645,420
2020-02-04$34.48$34.0060.7%17.4%39.7%53.0%60.1%7.8%-11.9%-529.6K7.5M-263.1K0.6625.2720613612,03145,443
2020-02-05$35.49$34.0062.5%17.9%40.8%56.3%62.4%6.5%-14.0%-433.3K2.2M-258.9K1.4655.9522833412,16845,557
2020-02-06$34.72$34.0061.9%13.8%41.0%55.3%48.9%5.3%-2.5%-504.0K5.8M-256.0K1.2623.2010513212,21345,675
2020-02-07$34.91$34.0064.5%13.9%37.4%59.9%51.0%6.2%-3.1%-497.4K5.3M-255.4K57.6120.42593,39912,25045,734
2020-02-10$37.32$34.0070.2%13.8%42.5%70.2%48.9%6.2%-3.5%-157.0K-10.1M-228.3K3.8519.089043,48012,27844,212
2020-02-11$38.64$34.0072.4%13.7%41.8%74.3%50.1%5.3%-3.3%9.2K-18.3M-218.5K0.6527.241,46094812,86343,696
2020-02-12$40.89$35.0048.8%14.0%45.5%31.5%49.0%5.9%-4.0%102.0K-29.3M-207.4K0.6419.951,7601,12913,65644,247
2020-02-13$41.39$36.0049.3%14.1%44.6%32.3%49.9%5.7%-4.4%110.0K-31.3M-217.8K1.8724.297561,41314,56544,756
2020-02-14$41.26$36.0048.6%13.9%44.7%31.2%49.3%5.3%-3.7%79.9K-30.8M-221.0K1.4725.1950173514,84645,961
2020-02-18$41.18$37.0052.8%15.1%42.8%38.8%53.1%5.7%-6.2%68.1K-30.7M-217.9K1.1725.3279793315,00846,340
2020-02-19$42.52$39.0053.6%15.4%43.2%40.2%54.4%5.1%-7.2%140.2K-38.4M-204.9K0.5919.267,8054,59415,47046,853
2020-02-20$50.30$40.0045.4%13.0%70.4%25.2%45.8%4.8%1.3%309.5K-85.4M-180.6K0.8918.497,6256,78120,26650,236
2020-02-21$47.86$43.0044.9%12.9%74.3%24.3%46.0%4.5%1.8%333.8K-69.5M-225.8K1.1016.411,3021,42621,11951,858
2020-02-24$44.22$43.0053.4%15.3%81.1%39.9%55.2%5.3%-6.2%-100.7K-18.7M-246.2K5.0316.597213,62611,96741,112
2020-02-25$40.50$43.0058.7%16.8%87.2%49.4%58.9%7.3%-5.4%-472.3K-2.0M-275.0K1.6915.441,1471,93712,20843,231
2020-02-26$36.08$43.0066.6%19.1%97.7%63.7%69.0%10.0%-6.8%-633.4K15.1M-293.0K2.4621.982,1755,34212,79643,857
2020-02-27$32.69$42.0083.6%24.0%104.2%94.6%89.3%13.4%-14.2%-724.8K29.2M-324.0K2.2819.814,94511,29314,67147,269
2020-02-28$31.56$41.0084.7%24.3%104.8%96.5%85.4%16.9%-13.5%-738.0K33.1M-356.7K1.6120.061,2351,99218,10452,827