CAR Options History — February 2021

In February 2021, CAR traded between $40.67 and $56.31. ATM implied volatility averaged 79.5%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 22.1%. IV traded above realized volatility by 19.1% (HV 20d: 60.5%). Max pain ranged from $37.00 to $42.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.72.

Notable Days

  • 2021-02-17: Highest Volume — 23,828 contracts
  • 2021-02-10: Largest IV drop — 14.0% change
  • 2021-02-01: Highest IV Rank — 17.7%
  • 2021-02-01: Largest Expected Move — 27.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.36$40.67$56.31$42.30$56.31
Max Pain$40.53$37.00$42.00$37.00$42.00
ATM IV79.5%67.2%94.4%94.4%68.0%
Expected Move22.1%19.3%27.1%27.1%19.5%
HV 20d60.5%54.4%68.3%60.7%64.1%
HV 60d56.7%50.2%72.6%72.6%56.9%
IV Rank11.4%2.6%17.7%17.7%2.6%
IV Percentile39.1%11.5%60.3%60.3%13.5%
Term Structure-2.0%-9.4%4.1%-6.2%0.9%
VWIV77.8%68.2%94.1%94.1%68.9%
Skew 25d2.1%-1.9%5.9%2.6%-0.4%
Skew 10d3.2%-5.3%10.1%-1.5%9.7%
Call IV 25d76.7%66.2%93.0%93.0%69.2%
Put IV 25d78.8%68.6%95.6%95.6%68.8%
Bid-Ask Spread %30.4819.1050.3839.6950.38
Gamma HHI0.120.090.270.100.14
Net GEX1.0M606.4K1.8M724.1K1.1M
Net DEX-103.8M-187.3M-52.3M-64.1M-187.3M
Net VEX-556.1K-590.1K-508.1K-519.9K-546.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.231.670.230.54
Total Volume5,010.89585923,8281,0451,146
Total OI88,919.31674,684110,77274,68493,474

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-02-01$42.30$37.0094.4%27.1%60.7%17.7%94.1%2.6%-6.2%724.1K-64.1M-519.9K0.2339.6985119439,85634,828
2021-02-02$40.67$37.0089.9%25.8%57.7%16.0%90.3%2.6%-7.4%606.4K-52.3M-511.1K0.4940.731,38368139,86234,882
2021-02-03$41.19$37.0091.4%26.2%57.4%16.6%91.5%0.8%-9.4%671.0K-55.9M-508.1K0.8543.177,2346,17640,29835,010
2021-02-04$43.47$41.0088.5%22.7%59.7%15.5%80.4%3.7%-1.6%925.2K-80.7M-590.1K0.4825.631,94492945,96440,781
2021-02-05$43.26$41.0087.8%22.4%59.7%15.3%80.2%0.3%-0.5%921.9K-78.8M-587.4K1.6723.2250484046,20241,322
2021-02-08$42.95$41.0092.4%22.6%59.7%16.9%80.1%2.9%-1.0%898.3K-75.0M-575.4K0.3824.151,51356846,33441,876
2021-02-09$43.86$41.0093.0%22.5%58.3%17.2%78.6%1.9%-3.1%945.1K-81.9M-570.9K0.6523.9755235946,03942,194
2021-02-10$43.27$41.0080.0%22.9%58.4%12.5%79.9%3.3%-3.4%895.0K-77.4M-563.5K0.7619.9253340446,11242,309
2021-02-11$42.53$41.0079.4%22.8%57.3%12.3%80.1%3.1%-3.4%814.0K-69.1M-557.1K0.5324.6056129846,20442,426
2021-02-12$44.51$41.0078.8%22.6%57.1%12.1%80.2%5.9%-2.3%1.1M-89.2M-555.9K0.9928.071,4031,38546,30042,447
2021-02-16$45.53$41.0081.9%23.5%57.1%13.2%80.2%3.6%-6.1%1.2M-100.8M-540.6K0.4535.415,0192,28246,67042,699
2021-02-17$42.74$41.0072.5%20.8%60.9%9.8%75.1%1.8%4.1%1.0M-72.2M-529.1K1.5439.569,38114,44749,40944,360
2021-02-18$44.14$41.0067.2%19.3%54.4%7.9%68.2%3.4%0.5%1.8M-94.7M-589.5K0.6635.371,9691,30154,15154,719
2021-02-19$48.54$41.0067.3%19.3%63.3%8.0%68.5%2.4%0.3%1.5M-154.6M-578.4K1.0819.102,3462,53655,10355,669
2021-02-22$50.56$41.0068.5%19.7%63.3%8.4%68.6%0.7%0.4%744.0K-125.8M-563.8K0.3023.754,8251,45141,20141,800
2021-02-23$54.98$41.0069.9%20.0%68.3%6.1%70.0%0.7%-0.8%896.1K-163.4M-545.8K0.5833.378,2954,79042,43141,677
2021-02-24$56.09$42.0068.4%19.6%64.7%3.6%69.8%-1.9%2.3%1.1M-185.5M-555.0K0.9022.321,7211,54647,17744,659
2021-02-25$53.85$42.0071.7%20.5%66.5%4.0%72.8%1.9%-0.4%1.1M-163.3M-576.7K0.6326.812,3531,48747,70845,314
2021-02-26$56.31$42.0068.0%19.5%64.1%2.6%68.9%-0.4%0.9%1.1M-187.3M-546.9K0.5450.3874540147,63845,836