CAR Options History — November 2020

In November 2020, CAR traded between $28.51 and $38.07. ATM implied volatility averaged 71.1%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 20.3%. IV traded below realized volatility by 39.9% (HV 20d: 111.1%). Max pain ranged from $31.00 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.99.

Notable Days

  • 2020-11-16: Highest Volume — 15,198 contracts
  • 2020-11-09: Largest IV spike — 10.0% change
  • 2020-11-02: Highest IV Rank — 15.5%
  • 2020-11-02: Largest Expected Move — 23.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.01$28.51$38.07$30.59$35.42
Max Pain$34.35$31.00$35.00$31.00$35.00
ATM IV71.1%65.8%81.3%81.3%71.1%
Expected Move20.3%18.9%23.3%23.3%20.4%
HV 20d111.1%83.3%123.6%83.3%107.5%
HV 60d78.8%64.3%83.2%65.6%83.0%
IV Rank11.9%10.1%15.5%15.5%11.9%
IV Percentile36.7%25.4%55.2%55.2%36.9%
Term Structure-0.5%-3.3%2.4%-3.0%-1.5%
VWIV71.4%66.1%80.7%80.7%71.5%
Skew 25d5.3%2.3%7.8%7.6%3.2%
Skew 10d9.6%3.4%15.1%13.3%4.9%
Call IV 25d68.1%63.5%77.7%77.7%68.7%
Put IV 25d73.4%66.8%85.3%85.3%71.8%
Bid-Ask Spread %15.9812.0421.0014.2612.04
Gamma HHI0.140.100.670.110.10
Net GEX2.5M970.2K7.9M1.5M1.3M
Net DEX-157.1M-249.9M-30.1M-74.4M-123.8M
Net VEX-681.1K-732.4K-627.1K-717.4K-627.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.153.180.993.11
Total Volume6,093.051,32715,1988,5023,880
Total OI224,910.3164,485253,141235,128168,925

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-11-02$30.59$31.0081.3%23.3%83.3%15.5%80.7%7.6%-3.0%1.5M-74.4M-717.4K0.9914.264,2754,227105,324129,804
2020-11-03$30.75$31.0080.8%23.2%83.3%15.3%80.5%6.6%-3.3%1.6M-78.9M-713.4K1.0213.011,8431,871105,324129,804
2020-11-04$28.51$31.0075.1%21.5%86.1%13.3%74.8%3.7%-1.5%970.2K-30.1M-655.7K0.4614.986,8513,157106,123132,001
2020-11-05$32.41$35.0074.2%20.9%98.0%13.0%73.0%7.2%-1.5%2.2M-114.2M-730.3K0.4215.977,7253,258107,620131,911
2020-11-06$30.98$34.0070.8%20.7%99.3%11.8%71.6%7.8%-0.8%1.8M-78.9M-702.4K0.7012.851,400976108,383133,627
2020-11-09$38.04$35.0077.8%20.9%122.5%14.3%73.6%5.9%-1.2%2.9M-249.9M-732.4K0.6620.167,6135,043109,689133,788
2020-11-10$36.93$35.0075.7%20.8%122.2%13.5%73.3%4.8%-1.6%2.8M-220.7M-727.8K0.8918.804,6544,150109,005135,301
2020-11-11$35.61$35.0071.5%20.5%123.3%12.1%72.0%4.5%-1.6%2.9M-190.7M-724.2K0.3421.003,3721,147109,356135,574
2020-11-12$35.04$35.0071.4%20.5%123.6%12.0%73.4%5.9%-0.6%2.9M-175.6M-712.9K3.1812.961,5995,082109,450135,805
2020-11-13$36.76$35.0069.2%19.8%123.5%11.3%69.4%6.9%-0.5%3.0M-214.2M-715.8K1.0413.351,3611,416109,754137,852
2020-11-16$37.06$35.0068.7%19.7%123.2%11.1%71.1%6.6%-0.8%3.1M-227.1M-676.6K0.3318.0911,4253,773110,001137,976
2020-11-17$36.51$35.0066.5%19.1%118.4%10.4%70.7%5.4%0.0%3.1M-206.3M-663.5K1.7217.481,1942,053108,249140,408
2020-11-18$35.31$35.0067.4%19.3%118.4%10.7%68.4%4.8%0.9%3.2M-178.1M-660.2K1.2615.369821,233108,099140,811
2020-11-19$35.91$35.0066.8%19.2%118.5%10.5%68.2%5.9%0.5%3.1M-194.9M-651.0K0.1516.228,2931,214108,412141,316
2020-11-20$34.85$35.0065.8%18.9%116.6%10.1%66.1%3.3%2.4%7.9M-169.4M-643.8K0.8315.352,9722,457111,409141,732
2020-11-23$37.00$35.0065.8%18.9%113.5%10.1%66.9%4.3%1.2%1.4M-146.7M-640.8K0.5818.012,3541,37676,43688,049
2020-11-24$38.07$35.0067.2%19.3%113.8%10.6%67.5%2.3%0.1%1.4M-164.1M-641.1K0.4814.422,3671,14176,79088,990
2020-11-25$37.44$35.0067.6%19.4%113.7%10.7%67.9%4.7%0.4%1.4M-154.3M-644.6K1.1918.571,2791,52177,28289,599
2020-11-27$37.08$35.0068.2%19.6%112.8%10.9%68.2%3.9%1.3%1.4M-149.0M-641.3K0.4816.7289942877,91490,313
2020-11-30$35.42$35.0071.1%20.4%107.5%11.9%71.5%3.2%-1.5%1.3M-123.8M-627.1K3.1112.049442,93678,34990,576