CAR Options History — October 2020

In October 2020, CAR traded between $28.51 and $40.32. ATM implied volatility averaged 77.5%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 23.4%. IV traded above realized volatility by 14.9% (HV 20d: 62.6%). Max pain ranged from $27.00 to $31.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.83.

Notable Days

  • 2020-10-20: Highest Volume — 29,512 contracts
  • 2020-10-14: Largest IV spike — 18.0% change
  • 2020-10-28: Highest IV Rank — 19.8%
  • 2020-10-28: Largest Expected Move — 26.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.96$28.51$40.32$28.52$33.22
Max Pain$29.86$27.00$31.00$27.00$31.00
ATM IV77.5%61.1%93.7%71.0%82.0%
Expected Move23.4%20.3%26.9%20.3%23.5%
HV 20d62.6%54.5%77.2%59.9%77.2%
HV 60d57.8%54.3%63.3%59.1%63.3%
IV Rank14.1%8.5%19.8%11.9%15.7%
IV Percentile50.3%29.8%60.3%45.2%55.6%
Term Structure-4.1%-8.6%11.0%11.0%-3.4%
VWIV81.9%70.8%94.9%71.4%80.9%
Skew 25d7.6%2.9%9.2%2.9%9.2%
Skew 10d13.5%7.9%18.6%7.9%11.7%
Call IV 25d77.3%69.6%90.0%69.6%76.4%
Put IV 25d84.9%72.6%97.5%72.6%85.5%
Bid-Ask Spread %12.527.3719.4010.8114.89
Gamma HHI0.100.080.220.080.11
Net GEX1.8M839.1K2.6M933.6K1.9M
Net DEX-145.8M-266.9M-62.7M-62.7M-130.4M
Net VEX-748.6K-812.6K-683.0K-711.6K-774.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.193.530.711.67
Total Volume7,393.0911,81129,51214,5568,018
Total OI224,060.273207,773234,066214,107231,783

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-10-01$28.52$27.0071.0%20.3%59.9%11.9%71.4%2.9%11.0%933.6K-62.7M-711.6K0.7110.818,4996,05794,185119,922
2020-10-02$28.51$27.0071.8%20.6%58.6%12.2%70.8%5.5%10.7%839.1K-64.0M-746.8K0.2614.921,44037196,190124,663
2020-10-05$29.13$30.0073.2%23.6%59.2%12.7%80.7%9.2%-5.1%957.1K-72.8M-732.9K0.2912.961,50443896,093124,763
2020-10-06$29.43$30.0071.2%24.0%59.6%12.0%84.1%8.6%-5.5%1.0M-81.8M-729.1K0.7116.614,2253,01795,965124,888
2020-10-07$30.72$30.0065.6%23.2%62.3%10.0%81.5%7.1%-4.9%1.2M-102.7M-738.1K0.5311.912,6991,43495,824125,295
2020-10-08$31.13$30.0065.9%23.0%62.6%10.1%81.8%7.6%-5.5%1.5M-115.3M-736.6K1.5213.281,0561,60597,510125,412
2020-10-09$31.55$30.0061.1%22.7%61.9%8.5%79.5%8.5%-4.9%1.6M-123.3M-726.2K0.5113.312,1731,10097,444125,347
2020-10-12$30.60$30.0067.7%22.5%61.5%10.7%78.2%7.4%-3.8%1.5M-104.7M-698.9K0.2616.492,59366697,893125,356
2020-10-13$29.50$30.0068.3%23.4%60.1%11.0%79.0%7.1%-5.9%1.3M-85.9M-683.0K0.1919.4010,3841,92299,979125,292
2020-10-14$29.99$30.0080.6%23.1%60.2%15.2%78.9%7.0%-6.2%2.2M-106.9M-705.3K0.3014.112,260682107,650125,151
2020-10-15$30.52$30.0080.7%23.1%60.2%15.3%83.0%7.9%-4.0%2.6M-117.4M-709.6K0.2615.294,7411,211108,336125,561
2020-10-16$32.05$29.0078.5%22.5%60.8%14.5%78.5%7.8%-3.8%2.6M-147.5M-717.7K0.4112.315,5302,265108,165125,901
2020-10-19$33.08$29.0082.1%23.5%54.5%15.8%81.3%9.2%-5.9%1.9M-146.5M-713.9K0.789.934,0733,17894,517113,256
2020-10-20$36.50$30.0082.4%23.6%63.5%15.8%82.7%7.5%-6.0%2.2M-210.5M-733.8K0.4010.6621,0718,44197,332114,780
2020-10-21$37.62$30.0080.9%23.2%60.9%15.3%82.1%6.0%-5.1%2.3M-258.6M-794.1K0.3110.397,6322,335108,274118,804
2020-10-22$38.07$30.0080.7%23.1%59.1%15.3%83.2%9.2%-4.7%2.2M-227.8M-796.8K1.908.359201,74899,213119,931
2020-10-23$40.32$30.0080.5%23.1%60.3%15.2%81.0%9.0%-5.2%2.1M-266.9M-782.6K0.538.8210,0175,32799,318121,082
2020-10-26$36.48$31.0089.1%25.5%73.8%18.2%88.7%8.2%-8.6%2.2M-202.6M-812.6K1.597.371,9393,080105,638122,922
2020-10-27$36.11$31.0088.8%25.5%67.4%18.1%89.6%8.0%-8.1%2.2M-195.9M-807.8K1.0812.211,2371,336105,258123,811
2020-10-28$35.33$31.0093.7%26.9%68.7%19.8%94.9%7.5%-7.9%2.0M-175.8M-810.6K3.5310.311,7416,139105,135124,506
2020-10-29$36.84$31.0088.5%25.4%65.3%18.0%89.7%7.8%-7.6%2.2M-206.9M-806.6K0.5611.134,1932,351105,809125,172
2020-10-30$33.22$31.0082.0%23.5%77.2%15.7%80.9%9.2%-3.4%1.9M-130.4M-774.3K1.6714.893,0085,010104,429127,354