CAR Options History — March 2020

In March 2020, CAR traded between $7.31 and $31.73. ATM implied volatility averaged 188.7%, placing in the 83.4% IV rank vs the trailing year. The 30-day expected move averaged 53.5%. IV traded above realized volatility by 3.2% (HV 20d: 185.5%). Max pain ranged from $21.00 to $40.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 3.96.

Notable Days

  • 2020-03-17: Highest Volume — 34,477 contracts
  • 2020-03-12: Largest IV spike — 33.8% change
  • 2020-03-05: Highest IV Rank — 100.0%
  • 2020-03-18: Largest Expected Move — 93.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.89$7.31$31.73$31.73$13.64
Max Pain$26.73$21.00$40.00$40.00$21.00
ATM IV188.7%80.2%325.6%84.2%189.9%
Expected Move53.5%23.0%93.3%24.1%54.4%
HV 20d185.5%104.8%286.7%104.8%286.7%
HV 60d119.1%65.7%177.0%65.7%177.0%
IV Rank83.4%52.8%100.0%95.6%53.8%
IV Percentile98.8%95.6%100.0%99.2%95.6%
Term Structure-20.4%-58.5%3.5%-12.9%3.5%
VWIV183.9%78.8%299.0%84.3%193.3%
Skew 25d53.4%16.9%104.2%18.2%53.2%
Skew 10d95.8%-1.4%281.2%34.4%104.5%
Call IV 25d154.0%73.0%256.7%75.6%163.1%
Put IV 25d207.3%89.9%361.0%93.8%216.2%
Bid-Ask Spread %46.0712.9174.6218.7721.92
Gamma HHI0.100.060.190.060.09
Net GEX-409.1K-884.0K-96.7K-714.1K-203.9K
Net DEX45.9M25.2M67.2M30.8M35.5M
Net VEX-279.5K-384.8K-103.4K-344.1K-221.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.960.3315.240.330.71
Total Volume9,477.9092,08934,4775,3763,813
Total OI99,530.18270,264116,75970,264102,127

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-03-02$31.73$40.0084.2%24.1%104.8%95.6%84.3%18.2%-12.9%-714.1K30.8M-344.1K0.3318.774,0421,33418,24952,015
2020-03-03$30.41$36.0086.5%24.8%105.8%99.9%84.6%18.0%-12.7%-682.0K35.9M-344.4K3.1720.411,4254,52420,02252,668
2020-03-04$28.97$37.0080.2%23.0%105.0%88.4%78.8%16.9%-5.0%-821.9K44.1M-341.1K1.0512.914,0294,25019,91354,642
2020-03-05$24.91$30.00106.2%27.0%115.3%100.0%91.8%21.4%-3.5%-693.9K56.6M-330.7K6.0025.564,43226,58322,24256,550
2020-03-06$23.71$30.00121.5%32.8%115.9%100.0%121.0%27.5%-7.5%-884.0K63.5M-373.7K0.7233.307,2605,24425,27768,613
2020-03-09$21.38$30.00161.2%39.2%119.2%100.0%130.2%37.4%-13.6%-723.1K66.2M-377.7K5.3036.261,4877,88631,77971,299
2020-03-10$22.01$30.00136.2%38.8%116.1%80.7%137.3%42.5%-11.3%-766.4K63.2M-384.8K0.8525.062,0931,77031,95371,692
2020-03-11$19.51$30.00140.3%40.2%118.3%83.9%136.3%51.0%-8.0%-607.7K67.2M-346.6K12.5913.781,86923,53233,21671,799
2020-03-12$15.64$27.00187.8%53.9%130.5%100.0%180.1%54.7%-23.3%-415.5K65.5M-293.9K8.2467.021,1959,84234,43379,384
2020-03-13$16.35$26.00211.5%60.6%133.0%100.0%204.4%73.9%-31.0%-388.2K61.4M-324.5K2.7757.108792,43234,74680,600
2020-03-16$14.01$26.00247.3%70.9%137.2%100.0%252.7%79.5%-43.1%-311.3K60.2M-275.9K13.0658.845467,13034,94581,814
2020-03-17$12.34$25.00256.5%73.5%138.1%100.0%242.5%78.2%-48.8%-249.0K58.0M-218.7K15.2458.592,12332,35435,14479,003
2020-03-18$7.31$25.00325.6%93.3%210.6%100.0%299.0%104.2%-47.3%-96.7K37.4M-103.4K3.8774.622,3829,22836,81074,615
2020-03-19$9.36$25.00322.8%92.5%224.8%99.1%281.6%63.4%-58.5%-120.3K40.6M-151.7K1.8471.662,8955,32338,38576,161
2020-03-20$10.84$22.00261.4%75.0%239.1%78.2%250.0%91.3%-37.0%-138.5K43.7M-172.4K0.7573.631,4711,10739,66774,319
2020-03-23$13.20$22.00236.6%67.8%257.8%69.8%241.8%77.6%-26.4%-170.3K31.3M-219.5K0.6668.032,7901,85030,28062,607
2020-03-24$17.62$22.00186.7%53.5%285.6%52.8%193.7%56.8%-13.5%-210.7K26.3M-297.0K1.2357.952,3362,86232,08562,991
2020-03-25$16.89$21.00197.9%56.7%284.3%56.6%212.1%47.5%-13.7%-194.4K25.2M-292.1K2.4957.431,5733,91233,03563,504
2020-03-26$16.06$21.00201.0%57.6%283.4%57.6%201.6%51.3%-12.5%-208.4K28.5M-278.5K2.7855.561,0022,78533,30966,421
2020-03-27$14.58$21.00206.5%59.2%284.3%59.5%214.4%58.0%-16.0%-202.1K32.1M-248.1K2.1168.496721,41733,41666,676
2020-03-30$13.03$21.00203.3%58.3%284.9%58.4%213.7%51.7%-5.9%-196.6K36.1M-207.9K1.4036.731,1831,65233,91367,345
2020-03-31$13.64$21.00189.9%54.4%286.7%53.8%193.3%53.2%3.5%-203.9K35.5M-221.9K0.7121.922,2291,58434,37267,755