CAR Options History — March 2021

In March 2021, CAR traded between $58.46 and $75.09. ATM implied volatility averaged 63.2%, placing in the 1.7% IV rank vs the trailing year. The 30-day expected move averaged 18.1%. IV traded above realized volatility by 1.9% (HV 20d: 61.3%). Max pain ranged from $42.00 to $65.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 2.09.

Notable Days

  • 2021-03-26: Highest Volume — 18,023 contracts
  • 2021-03-26: Largest IV spike — 12.7% change
  • 2021-03-26: Highest IV Rank — 4.6%
  • 2021-03-04: Largest Expected Move — 20.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.26$58.46$75.09$58.46$73.30
Max Pain$57.11$42.00$65.00$42.00$65.00
ATM IV63.2%55.3%69.8%65.6%60.1%
Expected Move18.1%15.8%20.0%18.8%17.2%
HV 20d61.3%52.0%72.2%64.1%60.0%
HV 60d58.0%56.2%60.7%57.0%59.2%
IV Rank1.7%0.0%4.6%1.7%3.4%
IV Percentile4.2%0.0%23.8%2.8%2.0%
Term Structure5.3%0.2%11.1%2.0%8.9%
VWIV64.5%56.4%70.3%67.6%61.1%
Skew 25d2.8%-0.6%7.1%0.5%0.7%
Skew 10d5.9%-0.7%9.5%-0.7%5.7%
Call IV 25d62.4%54.2%68.8%66.6%60.3%
Put IV 25d65.2%58.2%71.9%67.1%61.1%
Bid-Ask Spread %46.8026.2871.6359.0262.39
Gamma HHI0.130.090.170.160.10
Net GEX752.5K-551.8K1.4M1.2M215.1K
Net DEX-215.0M-311.0M-110.8M-209.3M-147.4M
Net VEX-524.0K-689.7K-434.7K-510.6K-642.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.090.598.860.591.43
Total Volume3,869.60986718,0232,9341,791
Total OI89,387.26164,170109,75193,77480,753

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-03-01$58.46$42.0065.6%18.8%64.1%1.7%67.6%0.5%2.0%1.2M-209.3M-510.6K0.5959.021,8501,08447,71746,057
2021-03-02$59.35$42.0065.3%18.7%64.0%1.6%66.1%0.7%1.7%1.3M-217.3M-509.1K0.8156.061,8111,45848,48346,550
2021-03-03$61.14$42.0067.6%19.4%60.6%2.5%68.1%-0.3%0.2%1.3M-232.8M-494.3K0.7663.881,26295348,61645,715
2021-03-04$60.13$50.0068.5%20.0%61.9%2.8%69.8%3.9%4.0%1.3M-225.5M-503.4K1.5727.918241,29749,06045,904
2021-03-05$61.84$52.5064.9%19.2%60.7%1.4%68.9%3.7%4.4%1.4M-240.2M-493.9K4.5026.285402,42849,34946,145
2021-03-08$65.27$52.5069.8%19.9%61.4%3.3%70.3%5.0%2.3%1.1M-268.0M-462.1K1.4635.371,2391,80549,36447,265
2021-03-09$62.60$55.0067.0%19.1%64.6%2.2%67.0%2.3%1.7%1.2M-241.6M-486.2K0.9333.311,3371,23849,27348,084
2021-03-10$65.03$55.0064.9%18.6%65.0%1.4%65.8%3.4%5.2%1.1M-260.9M-468.8K0.7131.5766947349,07747,795
2021-03-11$66.99$55.0065.0%18.6%63.8%1.5%65.5%2.8%4.1%1.1M-276.8M-451.2K1.0943.691,0151,10549,10647,883
2021-03-12$68.95$55.0064.5%18.5%62.1%1.3%66.8%3.7%4.9%940.6K-292.2M-438.3K1.5932.537951,26549,38248,510
2021-03-15$72.04$60.0065.6%18.8%62.1%1.7%66.4%4.0%4.2%823.6K-311.0M-434.7K1.5451.691,8112,78949,50649,114
2021-03-16$66.52$60.0064.4%18.5%72.2%1.2%64.4%1.9%5.0%424.7K-269.8M-450.3K0.6153.512,9651,81349,85851,176
2021-03-17$68.90$62.5063.1%18.1%65.5%0.7%63.8%3.5%5.9%470.6K-287.7M-453.4K0.8543.754,1803,54551,08552,107
2021-03-18$67.44$62.5064.0%18.3%67.3%1.1%64.2%3.0%4.2%359.7K-282.6M-560.2K1.2233.289301,13454,21354,842
2021-03-19$67.77$62.5061.2%17.5%61.6%0.0%61.5%2.8%6.7%569.0K-287.3M-539.5K0.9439.694,1633,92254,26355,488
2021-03-22$67.56$62.5058.9%16.9%61.2%0.0%59.2%1.1%7.2%656.1K-131.0M-561.9K0.9042.5845741030,80033,370
2021-03-23$65.92$62.5057.6%16.5%56.9%0.0%56.9%3.6%6.8%583.2K-121.5M-554.6K1.1547.739151,05530,95733,577
2021-03-24$65.88$62.5057.0%16.3%56.9%0.0%56.4%3.5%6.0%636.4K-121.3M-558.1K6.1646.514202,58731,31433,548
2021-03-25$66.47$62.5055.3%15.8%53.9%0.0%57.1%4.0%6.8%512.5K-121.0M-572.4K1.4939.467341,09031,44135,878
2021-03-26$68.61$62.5062.3%17.8%53.0%4.6%64.0%4.7%9.4%670.3K-133.7M-575.7K8.8669.851,82716,19631,83436,108
2021-03-29$68.83$62.5061.6%17.7%52.0%4.2%65.7%7.1%11.1%-551.8K-110.8M-689.7K3.0571.6324474332,55249,925
2021-03-30$75.09$65.0059.6%17.1%59.0%2.9%67.1%-0.6%8.8%24.2K-156.2M-641.5K5.8364.791,2937,53932,62250,241
2021-03-31$73.30$65.0060.1%17.2%60.0%3.4%61.1%0.7%8.9%215.1K-147.4M-642.7K1.4362.397361,05533,16647,587