CAR Options History — May 2020

In May 2020, CAR traded between $10.45 and $21.78. ATM implied volatility averaged 144.4%, placing in the 38.4% IV rank vs the trailing year. The 30-day expected move averaged 39.7%. IV traded below realized volatility by 7.0% (HV 20d: 151.3%). Max pain ranged from $14.00 to $21.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.58.

Notable Days

  • 2020-05-04: Highest Volume — 60,068 contracts
  • 2020-05-11: Largest IV spike — 29.6% change
  • 2020-05-12: Highest IV Rank — 54.2%
  • 2020-05-01: Largest Expected Move — 50.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.05$10.45$21.78$13.93$21.40
Max Pain$18.55$14.00$21.00$21.00$20.00
ATM IV144.4%100.4%191.0%176.1%105.3%
Expected Move39.7%28.8%50.5%50.5%30.2%
HV 20d151.3%127.1%173.7%148.2%173.7%
HV 60d202.8%196.9%210.8%196.9%210.8%
IV Rank38.4%23.4%54.2%49.2%25.1%
IV Percentile84.2%77.4%94.4%93.3%77.4%
Term Structure-5.1%-32.8%4.3%-32.8%-2.1%
VWIV139.8%107.4%186.9%176.6%110.3%
Skew 25d37.8%23.9%50.6%37.9%24.6%
Skew 10d76.7%49.1%129.2%71.4%49.1%
Call IV 25d117.2%87.9%156.9%156.9%92.4%
Put IV 25d155.0%115.2%194.8%194.8%117.0%
Bid-Ask Spread %17.879.4229.369.4221.07
Gamma HHI0.080.070.100.070.07
Net GEX74.2K-439.1K850.8K-198.3K832.0K
Net DEX7.9M-116.6M69.0M38.1M-101.8M
Net VEX-604.2K-992.0K-342.0K-347.9K-992.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.580.474.042.652.26
Total Volume24,012.156,29460,06813,35720,859
Total OI265,419.25157,607345,657157,607345,657

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-05-01$13.93$21.00176.1%50.5%148.2%49.2%176.6%37.9%-32.8%-198.3K38.1M-347.9K2.659.423,6639,69457,062100,545
2020-05-04$13.89$14.00185.7%42.1%144.0%52.4%156.1%45.1%-8.8%-212.1K40.5M-342.0K0.9923.9930,13529,93359,015104,728
2020-05-05$13.86$14.00150.9%39.7%133.2%40.6%138.7%44.8%-5.0%-146.4K36.5M-474.8K0.7125.117,1465,10585,163133,626
2020-05-06$12.51$19.00156.0%40.7%127.1%42.3%141.9%45.5%-8.6%-203.9K48.7M-425.3K0.6225.457,1974,49089,116136,755
2020-05-07$13.01$17.00150.0%39.7%128.0%40.3%136.2%44.0%-3.8%-201.3K46.9M-442.9K1.1426.062,9453,34994,311137,775
2020-05-08$14.68$20.00121.0%34.6%129.6%30.4%107.4%38.0%4.3%-69.2K36.0M-519.0K0.6520.968,1355,31399,969142,607
2020-05-11$13.38$20.00156.7%40.1%130.9%42.6%140.5%41.8%-3.1%-236.6K51.7M-456.2K4.0417.143,14612,703102,522145,213
2020-05-12$12.41$20.00191.0%48.2%133.2%54.2%186.9%50.6%-18.4%-304.8K54.5M-456.2K3.3118.956,03920,008104,372153,583
2020-05-13$10.45$20.00172.9%49.6%145.4%48.1%169.7%45.2%-15.0%-439.1K69.0M-384.8K2.0929.369,07518,998104,621167,375
2020-05-14$11.88$20.00169.3%48.5%148.9%46.9%180.6%41.7%-8.2%-417.2K58.0M-463.1K3.5719.136,35722,701109,716168,305
2020-05-15$11.78$20.00162.3%46.5%144.7%44.5%150.9%34.4%-4.5%-101.6K60.6M-486.0K1.5313.536,60610,101112,418183,135
2020-05-18$14.74$15.00144.0%41.3%166.2%38.3%178.3%44.0%-2.3%20.4K6.0M-587.0K1.1511.5327,44431,66591,514139,590
2020-05-19$13.97$15.00147.3%42.2%165.5%39.4%134.2%39.1%-1.1%114.4K2.2M-641.0K1.3114.134,4905,869114,288152,196
2020-05-20$15.36$16.00138.2%39.6%167.3%36.3%126.0%36.1%-2.3%212.7K-9.1M-700.0K0.479.9616,2127,620117,931156,516
2020-05-21$16.64$20.00123.9%35.5%168.9%31.4%117.1%34.5%2.9%391.4K-24.5M-778.1K1.6710.2710,91218,171129,479164,088
2020-05-22$16.80$20.00122.3%35.1%165.0%30.9%118.1%29.3%2.5%342.6K-17.6M-797.6K0.9110.718,7007,959134,002176,817
2020-05-26$18.63$20.00105.1%30.1%163.5%25.0%110.1%27.7%1.3%615.6K-50.5M-862.5K0.7014.6622,57715,696139,240180,518
2020-05-27$21.78$20.00100.4%28.8%169.9%23.4%107.8%27.3%4.0%850.8K-116.6M-974.4K1.0115.8518,77619,024143,747188,574
2020-05-28$19.98$20.00108.9%31.2%173.3%26.3%108.7%23.9%-1.3%633.5K-71.2M-953.5K0.7920.206,4005,030144,740197,556
2020-05-29$21.40$20.00105.3%30.2%173.7%25.1%110.3%24.6%-2.1%832.0K-101.8M-992.0K2.2621.076,40014,459146,846198,811