CAR Options History — September 2020

In September 2020, CAR traded between $25.80 and $36.22. ATM implied volatility averaged 72.3%, placing in the 12.4% IV rank vs the trailing year. The 30-day expected move averaged 20.8%. IV traded above realized volatility by 24.6% (HV 20d: 47.7%). Max pain ranged from $26.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.67.

Notable Days

  • 2020-09-01: Highest Volume — 8,120 contracts
  • 2020-09-21: Largest IV spike — 11.6% change
  • 2020-09-21: Highest IV Rank — 14.4%
  • 2020-09-21: Largest Expected Move — 22.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.41$25.80$36.22$35.32$26.35
Max Pain$26.67$26.00$30.00$30.00$27.00
ATM IV72.3%67.2%78.3%69.2%73.0%
Expected Move20.8%19.3%22.5%19.8%20.9%
HV 20d47.7%39.9%55.7%55.7%51.5%
HV 60d71.1%59.9%86.3%86.3%60.4%
IV Rank12.4%10.6%14.4%11.3%12.6%
IV Percentile49.2%42.5%55.6%48.8%48.0%
Term Structure8.0%4.2%12.4%5.1%12.4%
VWIV72.3%65.0%78.1%68.0%70.8%
Skew 25d5.7%2.8%8.3%4.7%4.8%
Skew 10d10.7%3.8%16.4%8.0%9.7%
Call IV 25d69.6%64.6%74.7%65.6%68.8%
Put IV 25d75.3%70.1%81.6%70.3%73.5%
Bid-Ask Spread %15.599.3421.9110.0314.22
Gamma HHI0.080.070.090.080.09
Net GEX962.6K350.7K1.6M1.2M515.6K
Net DEX-123.4M-217.2M-16.0M-199.0M-24.6M
Net VEX-802.9K-943.9K-651.2K-933.2K-664.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.222.130.580.32
Total Volume4,210.9522,7008,1208,1203,081
Total OI233,865.619200,861255,250245,019213,190

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-09-01$35.32$30.0069.2%19.8%55.7%11.3%68.0%4.7%5.1%1.2M-199.0M-933.2K0.5810.035,1402,980103,836141,183
2020-09-02$36.22$30.0069.9%20.1%45.0%11.5%70.3%5.0%4.2%1.3M-217.2M-943.9K2.1318.078851,889105,471141,875
2020-09-03$34.58$26.0070.9%21.7%49.6%11.9%76.8%8.3%6.7%1.1M-185.3M-942.3K0.8316.971,4971,243105,764142,671
2020-09-04$34.94$26.0072.3%21.7%48.9%12.3%76.9%7.1%5.6%1.2M-191.9M-930.7K0.2521.912,491613106,176142,854
2020-09-08$34.80$26.0076.9%21.9%44.8%13.9%78.1%7.0%4.2%1.4M-194.1M-900.2K0.9613.731,5591,493107,474142,969
2020-09-09$34.42$26.0075.4%21.6%40.2%13.4%77.2%6.6%7.5%1.4M-185.8M-897.3K0.7218.501,7371,249107,737143,169
2020-09-10$34.44$26.0071.4%20.5%39.9%12.0%71.1%6.2%8.2%1.4M-188.5M-870.2K0.6019.792,1331,284107,183143,338
2020-09-11$33.23$26.0070.6%20.2%41.8%11.8%69.3%6.2%8.5%1.3M-161.8M-849.1K0.4117.992,204902107,475143,169
2020-09-14$34.17$26.0068.3%19.6%42.7%11.0%68.5%4.9%10.2%1.6M-185.6M-822.8K0.2712.222,392635107,949143,427
2020-09-15$32.40$26.0068.3%19.6%47.2%11.0%65.0%6.2%9.3%1.1M-144.4M-800.3K0.5316.151,845985107,660143,481
2020-09-16$31.76$26.0067.2%19.3%47.3%10.6%65.1%4.8%9.8%831.5K-132.0M-783.8K0.2219.254,498997108,063144,158
2020-09-17$32.37$26.0069.7%20.0%46.0%11.4%69.5%5.8%8.5%859.0K-146.8M-786.4K0.7812.903,8152,968108,404144,615
2020-09-18$30.99$26.0070.2%20.1%48.4%11.6%69.6%6.1%8.3%827.7K-123.7M-776.1K0.7510.552,1421,606110,021145,229
2020-09-21$28.76$26.0078.3%22.5%54.0%14.4%78.1%6.9%4.8%799.4K-62.7M-740.8K0.6416.044,5242,90087,139113,722
2020-09-22$29.01$26.0072.5%20.8%49.6%12.4%73.3%6.5%7.8%853.4K-65.8M-743.0K1.3716.382,5973,57088,570115,159
2020-09-23$27.91$27.0073.3%21.0%50.7%12.7%71.9%2.9%8.9%604.5K-48.0M-718.8K0.2914.902,34767587,992117,403
2020-09-24$27.24$27.0077.6%22.3%50.9%14.2%77.6%6.1%7.7%504.2K-36.3M-704.6K0.6416.722,7181,73087,738117,673
2020-09-25$27.12$27.0074.8%21.4%48.9%13.2%75.3%5.0%9.4%547.8K-36.8M-701.6K0.7314.671,5591,14189,326118,866
2020-09-28$27.70$27.0074.8%21.4%47.5%13.2%72.9%2.8%9.4%652.4K-45.6M-700.8K0.7817.052,2131,73790,120118,892
2020-09-29$25.80$27.0074.4%21.3%51.8%13.1%74.1%5.5%10.4%350.7K-16.0M-651.2K0.279.345,0761,38090,442119,595
2020-09-30$26.35$27.0073.0%20.9%51.5%12.6%70.8%4.8%12.4%515.6K-24.6M-664.0K0.3214.222,32875393,198119,992