CAR Options History — January 2021

In January 2021, CAR traded between $35.36 and $44.06. ATM implied volatility averaged 75.8%, placing in the 12.7% IV rank vs the trailing year. The 30-day expected move averaged 22.2%. IV traded above realized volatility by 25.7% (HV 20d: 50.1%). Max pain ranged from $35.00 to $37.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 0.90.

Notable Days

  • 2021-01-27: Highest Volume — 18,389 contracts
  • 2021-01-11: Largest IV spike — 14.6% change
  • 2021-01-29: Highest IV Rank — 17.4%
  • 2021-01-29: Largest Expected Move — 26.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.42$35.36$44.06$35.36$41.12
Max Pain$35.95$35.00$37.00$35.00$37.00
ATM IV75.8%63.3%93.7%72.6%93.7%
Expected Move22.2%20.5%26.9%21.6%26.9%
HV 20d50.1%43.0%60.2%48.3%60.2%
HV 60d78.4%72.4%80.3%80.2%72.4%
IV Rank12.7%9.2%17.4%12.5%17.4%
IV Percentile40.9%11.9%59.9%40.5%59.9%
Term Structure-2.8%-6.4%-0.6%-1.3%-6.4%
VWIV78.1%70.9%95.7%74.9%93.7%
Skew 25d6.1%-0.6%9.4%8.7%0.7%
Skew 10d11.0%-2.9%16.2%13.8%3.9%
Call IV 25d74.4%66.7%96.3%69.9%94.1%
Put IV 25d80.5%75.2%96.6%78.6%94.8%
Bid-Ask Spread %16.9511.4636.2811.4636.28
Gamma HHI0.100.080.170.120.09
Net GEX1.0M349.2K2.1M1.3M609.4K
Net DEX-106.0M-173.8M-32.5M-120.3M-57.7M
Net VEX-464.4K-542.6K-412.7K-449.7K-527.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.172.770.490.32
Total Volume4,136.52685118,3892,588851
Total OI119,163.21161,359166,312165,22174,624

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-01-04$35.36$35.0072.6%21.6%48.3%12.5%74.9%8.7%-1.3%1.3M-120.3M-449.7K0.4911.461,74184776,87188,350
2021-01-05$36.20$35.0071.2%21.3%46.4%12.0%73.4%9.4%-0.9%1.3M-133.5M-450.5K0.1713.473,04753077,01088,444
2021-01-06$36.87$35.0068.0%20.9%45.6%10.8%75.5%9.1%-1.2%1.4M-145.4M-449.1K1.6716.611,2732,12677,48688,526
2021-01-07$37.67$35.0063.4%20.5%46.0%9.3%73.8%9.1%-0.6%1.4M-156.8M-444.0K0.7618.9596173577,67588,637
2021-01-08$37.42$35.0063.3%20.5%43.3%9.2%70.9%9.1%-1.6%1.4M-150.6M-436.9K1.2015.6648558477,22988,964
2021-01-11$39.12$35.0072.6%21.1%45.7%12.4%73.7%8.6%-2.2%1.6M-173.8M-436.4K0.5417.151,80196876,22289,170
2021-01-12$38.65$35.0070.3%21.0%45.1%11.7%73.5%8.2%-1.7%1.5M-157.5M-429.2K0.5818.301,23971674,14089,250
2021-01-13$37.42$35.0073.5%21.1%43.0%12.8%74.3%7.2%-1.0%1.0M-138.3M-414.2K2.7718.443971,09974,69989,452
2021-01-14$39.27$36.0072.5%20.8%46.2%12.4%74.4%6.8%-1.3%2.1M-166.4M-427.4K1.2514.971,9642,46074,58688,875
2021-01-15$39.02$36.0072.3%20.7%46.3%12.3%72.0%7.9%-0.9%1.2M-155.9M-412.7K0.6613.645,3463,50374,13486,878
2021-01-19$37.75$36.0074.4%21.3%47.9%13.0%75.0%8.2%-3.7%349.2K-32.5M-430.9K1.5713.808941,40732,98128,378
2021-01-20$41.08$36.0074.2%21.3%55.3%12.4%73.4%6.6%-2.4%557.5K-52.6M-454.6K0.6816.685,6623,83333,31528,925
2021-01-21$41.76$37.0074.4%21.3%53.5%12.4%74.6%5.1%-2.9%668.7K-59.2M-497.4K0.5312.622,3921,26735,21432,003
2021-01-22$40.82$37.0075.3%21.6%53.9%10.8%75.1%5.4%-3.3%591.6K-51.5M-490.6K0.4813.7371033935,34832,193
2021-01-25$40.94$37.0080.8%23.2%51.0%12.8%82.3%6.1%-5.3%615.8K-53.3M-490.3K1.7416.021,5042,61735,95232,251
2021-01-26$44.06$37.0082.8%23.7%56.3%13.5%84.0%-0.6%-6.3%776.1K-75.5M-502.8K0.2212.154,25492336,21332,599
2021-01-27$43.17$37.0092.8%26.6%57.2%17.1%95.7%0.3%-4.3%719.1K-73.5M-536.2K0.6518.3311,1137,27639,16232,966
2021-01-28$41.31$37.0092.5%26.5%60.1%17.0%93.2%0.6%-5.6%632.5K-59.8M-542.6K0.8423.8494178940,61034,769
2021-01-29$41.12$37.0093.7%26.9%60.2%17.4%93.7%0.7%-6.4%609.4K-57.7M-527.8K0.3236.2864320839,87334,751