CAR Options History — December 2020

In December 2020, CAR traded between $34.66 and $40.07. ATM implied volatility averaged 67.5%, placing in the 10.7% IV rank vs the trailing year. The 30-day expected move averaged 19.3%. IV traded above realized volatility by 7.8% (HV 20d: 59.7%). Max pain ranged from $28.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.57.

Notable Days

  • 2020-12-03: Highest Volume — 7,920 contracts
  • 2020-12-04: Largest IV drop — 6.0% change
  • 2020-12-03: Highest IV Rank — 11.7%
  • 2020-12-21: Largest Expected Move — 20.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.48$34.66$40.07$36.58$37.65
Max Pain$28.64$28.00$35.00$35.00$28.00
ATM IV67.5%63.8%70.3%67.7%64.4%
Expected Move19.3%18.3%20.1%19.4%18.5%
HV 20d59.7%43.1%103.3%103.0%43.1%
HV 60d82.1%79.5%83.8%83.2%79.5%
IV Rank10.7%9.4%11.7%10.7%9.6%
IV Percentile25.4%14.3%34.9%28.6%14.3%
Term Structure4.7%-0.5%8.0%0.3%7.6%
VWIV67.6%63.1%71.9%68.7%64.8%
Skew 25d5.0%3.9%6.7%3.9%4.0%
Skew 10d9.1%5.1%12.4%9.1%7.1%
Call IV 25d65.1%61.6%67.5%66.6%62.7%
Put IV 25d70.1%66.2%72.8%70.5%66.7%
Bid-Ask Spread %11.227.7814.4213.6311.46
Gamma HHI0.110.090.170.100.10
Net GEX1.6M1.2M2.6M1.3M1.5M
Net DEX-158.5M-205.3M-108.4M-140.5M-155.3M
Net VEX-561.1K-627.5K-482.3K-626.8K-482.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.151.220.840.61
Total Volume3,414.5916837,9202,6361,842
Total OI172,354.182161,634182,902171,470164,729

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-12-01$36.58$35.0067.7%19.4%103.0%10.7%68.7%3.9%0.3%1.3M-140.5M-626.8K0.8413.631,4351,20178,63492,836
2020-12-02$37.66$35.0068.7%19.7%103.3%11.1%67.8%4.2%-0.5%1.4M-158.3M-627.5K1.0714.421,3951,48678,75093,363
2020-12-03$38.03$28.0070.3%19.7%98.2%11.7%68.1%6.6%4.7%1.4M-166.0M-622.9K0.4712.795,3942,52678,72693,969
2020-12-04$39.67$28.0066.1%19.4%89.3%10.2%66.9%5.8%3.9%1.7M-194.2M-618.6K0.3511.043,4921,20681,74793,885
2020-12-07$38.30$28.0069.3%19.9%88.5%11.3%68.4%5.2%3.8%1.7M-173.7M-620.3K0.4110.402,4521,00582,64194,477
2020-12-08$37.66$28.0069.3%19.4%50.8%11.3%69.1%4.6%4.9%1.6M-163.7M-609.5K0.6710.922,8261,88882,52594,773
2020-12-09$39.26$28.0068.9%19.8%51.7%11.2%71.6%4.7%4.0%1.7M-191.1M-602.2K0.429.314,5841,91482,38194,801
2020-12-10$40.07$28.0069.4%19.9%49.9%11.3%71.9%4.7%3.4%1.8M-205.3M-598.6K0.578.922,1961,24483,21195,009
2020-12-11$39.11$28.0069.0%19.8%50.4%11.2%70.3%4.9%3.8%1.8M-192.3M-591.5K1.2211.629041,10783,81095,257
2020-12-14$37.22$28.0069.6%20.0%51.4%11.4%69.3%4.2%3.5%1.9M-161.8M-568.8K0.259.004,0861,01784,34595,759
2020-12-15$37.42$28.0069.0%19.8%51.4%11.2%70.0%4.9%4.8%2.4M-168.4M-572.8K0.7111.931,9011,34686,80796,094
2020-12-16$37.60$28.0067.6%19.4%51.0%10.7%68.1%5.6%4.2%2.6M-173.6M-559.6K0.1510.865,04977286,89596,007
2020-12-17$37.35$28.0067.2%19.3%49.5%10.6%66.7%4.5%4.8%2.4M-160.1M-547.3K0.5310.161,49679584,28296,306
2020-12-18$36.39$28.0066.5%19.1%50.2%10.3%66.5%6.5%5.4%1.2M-141.2M-538.7K0.8410.632,0951,75684,02596,477
2020-12-21$35.24$28.0070.2%20.1%50.4%11.6%69.4%5.7%4.0%1.2M-117.5M-526.7K0.837.781,3991,15875,17586,459
2020-12-22$34.66$28.0066.2%19.0%45.5%10.2%66.3%5.9%6.2%1.2M-108.4M-521.7K0.5611.252,7641,53575,35086,981
2020-12-23$36.62$28.0064.9%18.6%48.8%9.8%65.7%6.7%7.5%1.3M-136.2M-522.0K0.4412.991,34159274,83387,330
2020-12-24$36.51$28.0063.8%18.3%48.5%9.4%63.1%4.6%8.0%1.3M-135.3M-516.5K0.3314.2351317074,87987,543
2020-12-28$36.77$28.0065.7%18.8%48.5%10.1%64.6%4.1%6.9%1.3M-142.0M-490.1K0.2711.961,83050374,99787,627
2020-12-29$37.17$28.0066.5%19.1%45.5%10.3%66.0%5.3%6.4%1.4M-146.9M-492.4K0.3210.681,60851275,85887,644
2020-12-30$37.65$28.0065.5%18.8%44.4%10.0%64.9%4.5%6.8%1.5M-154.7M-487.2K0.7710.8244534176,65487,941
2020-12-31$37.65$28.0064.4%18.5%43.1%9.6%64.8%4.0%7.6%1.5M-155.3M-482.3K0.6111.461,14669676,76187,968