CAR Options History — June 2021

In June 2021, CAR traded between $77.65 and $94.36. ATM implied volatility averaged 53.0%, placing in the 6.9% IV rank vs the trailing year. The 30-day expected move averaged 15.3%. IV traded below realized volatility by 3.6% (HV 20d: 56.6%). Max pain ranged from $80.00 to $85.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.39.

Notable Days

  • 2021-06-11: Highest Volume — 12,004 contracts
  • 2021-06-28: Largest IV spike — 9.8% change
  • 2021-06-18: Highest IV Rank — 14.3%
  • 2021-06-18: Largest Expected Move — 16.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.35$77.65$94.36$89.83$77.65
Max Pain$80.91$80.00$85.00$80.00$80.00
ATM IV53.0%49.5%58.8%50.0%51.6%
Expected Move15.3%14.2%16.8%14.3%14.8%
HV 20d56.6%51.9%62.3%61.8%55.2%
HV 60d52.1%48.8%54.5%52.6%52.4%
IV Rank6.9%2.3%14.3%3.0%5.0%
IV Percentile6.7%0.8%16.3%1.2%5.2%
Term Structure6.1%1.1%9.7%1.1%9.7%
VWIV54.2%50.8%56.8%53.7%53.7%
Skew 25d3.7%0.3%6.9%6.6%4.3%
Skew 10d8.5%1.5%14.8%14.8%6.8%
Call IV 25d52.2%48.2%56.1%48.4%52.2%
Put IV 25d55.9%52.6%60.5%55.0%56.5%
Bid-Ask Spread %41.8030.9552.7846.0052.78
Gamma HHI0.090.080.100.100.10
Net GEX807.5K-523.4K2.7M1.7M-523.4K
Net DEX-146.0M-232.7M-77.5M-196.0M-78.4M
Net VEX-797.4K-860.6K-755.5K-755.5K-767.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.390.206.990.716.99
Total Volume3,287.36445312,0042,6314,466
Total OI89,029.54581,08698,71281,08691,128

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-06-01$89.83$80.0050.0%14.3%61.8%3.0%53.7%6.6%1.1%1.7M-196.0M-755.5K0.7146.001,5371,09437,67443,412
2021-06-02$86.36$80.0049.5%14.2%58.7%2.3%51.7%4.9%2.2%1.3M-172.1M-758.8K1.2738.0360476738,22044,167
2021-06-03$86.92$80.0050.9%15.1%58.7%4.1%54.3%5.3%6.0%1.4M-173.6M-784.1K2.1132.4729562338,33944,751
2021-06-04$85.69$80.0051.5%14.8%58.9%5.0%54.7%5.2%6.7%1.1M-165.1M-773.8K4.9833.906463,21538,44044,967
2021-06-07$89.01$80.0050.7%14.6%60.0%3.9%50.8%5.7%6.7%1.8M-187.1M-785.6K1.9437.511,0321,99838,76744,581
2021-06-08$91.72$80.0050.1%14.9%60.7%3.0%53.2%4.6%7.0%2.2M-209.1M-783.6K1.4035.531,1991,68439,27246,121
2021-06-09$88.44$80.0052.9%15.2%62.3%6.7%53.6%4.0%5.9%1.6M-183.4M-798.5K0.4338.201,45062239,74446,285
2021-06-10$86.61$80.0050.8%14.6%53.7%4.0%51.8%3.7%7.0%1.4M-170.0M-783.9K0.4644.281,53670640,38246,686
2021-06-11$94.36$80.0051.7%14.8%58.3%5.1%52.6%2.3%6.8%2.7M-232.7M-789.7K1.1642.885,5586,44640,16447,122
2021-06-14$91.22$80.0054.2%15.5%51.9%8.4%55.4%3.7%6.4%1.6M-192.6M-860.6K0.7430.952,3331,72342,82454,334
2021-06-15$90.79$82.5053.6%15.4%51.9%7.7%54.5%1.8%6.1%1.6M-189.5M-844.9K0.7441.381,09781044,01754,695
2021-06-16$88.25$85.0053.9%15.5%52.6%8.0%54.5%3.4%7.7%996.0K-162.5M-859.1K0.2049.682,80756043,94554,607
2021-06-17$83.41$85.0055.6%15.9%53.3%10.2%56.8%6.9%6.6%-69.0K-112.6M-796.4K1.1740.011,3481,57843,24854,616
2021-06-18$81.21$82.5058.8%16.8%53.9%14.3%56.7%4.3%3.0%-135.4K-92.3M-796.4K0.5941.884,2562,52843,79154,684
2021-06-21$82.84$82.5055.0%15.8%54.4%9.4%56.0%1.8%5.4%72.8K-111.7M-812.3K0.3544.601,18241739,63646,423
2021-06-22$80.06$82.5054.4%15.6%55.2%8.6%55.9%2.9%7.2%-269.0K-91.6M-801.8K0.4940.061,23760640,10646,629
2021-06-23$83.59$80.0055.0%15.8%56.8%9.5%56.0%0.3%8.9%273.5K-122.1M-805.3K0.9845.231,8181,78340,92546,764
2021-06-24$82.44$80.0053.6%15.4%56.7%7.6%54.1%1.1%6.9%44.9K-111.5M-809.7K0.8047.2525120241,03646,863
2021-06-25$80.64$80.0052.5%15.1%56.5%6.3%52.4%1.1%8.9%-277.3K-96.3M-798.3K0.3146.112,51578041,16146,878
2021-06-28$77.72$80.0057.7%16.5%57.0%12.9%55.6%1.6%2.1%-462.0K-77.5M-774.9K0.7547.661,3341,00443,16047,330
2021-06-29$78.97$80.0052.8%15.2%56.4%6.7%54.2%5.3%6.3%-416.2K-85.2M-802.4K1.9943.141,5643,11143,51947,237
2021-06-30$77.65$80.0051.6%14.8%55.2%5.0%53.7%4.3%9.7%-523.4K-78.4M-767.2K6.9952.785593,90743,84547,283