CAR Options History — August 2021

In August 2021, CAR traded between $75.17 and $93.85. ATM implied volatility averaged 56.6%, placing in the 19.1% IV rank vs the trailing year. The 30-day expected move averaged 16.3%. IV traded below realized volatility by 27.5% (HV 20d: 84.1%). Max pain ranged from $80.00 to $85.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.80.

Notable Days

  • 2021-08-04: Highest Volume — 24,350 contracts
  • 2021-08-04: Largest IV drop — 20.3% change
  • 2021-08-03: Highest IV Rank — 53.0%
  • 2021-08-03: Largest Expected Move — 20.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$88.27$75.17$93.85$86.28$90.65
Max Pain$82.50$80.00$85.00$80.00$85.00
ATM IV56.6%51.6%72.5%69.9%51.9%
Expected Move16.3%14.8%20.8%20.0%14.9%
HV 20d84.1%61.1%91.3%61.1%82.0%
HV 60d67.2%59.1%71.0%59.1%67.2%
IV Rank19.1%8.3%53.0%47.6%9.0%
IV Percentile20.3%6.0%73.8%63.9%7.1%
Term Structure1.4%-8.6%5.7%-8.6%2.3%
VWIV57.9%52.1%72.4%70.8%53.2%
Skew 25d3.4%1.4%6.6%1.6%4.5%
Skew 10d7.7%4.3%12.1%4.5%9.3%
Call IV 25d56.4%50.7%72.2%72.2%51.0%
Put IV 25d59.8%54.8%73.8%73.8%55.5%
Bid-Ask Spread %32.0722.3955.6454.2435.41
Gamma HHI0.130.090.230.100.10
Net GEX3.0M-485.3K5.8M2.4M3.1M
Net DEX-210.7M-315.5M-66.0M-199.3M-196.2M
Net VEX-838.5K-887.6K-760.3K-800.4K-859.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.132.480.511.97
Total Volume5,758.22765124,35018,737977
Total OI105,525.90982,060130,364104,42888,159

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-08-02$86.28$80.0069.9%20.0%61.1%47.6%70.8%1.6%-8.6%2.4M-199.3M-800.4K0.5154.2412,3796,35848,90955,519
2021-08-03$88.83$80.0072.5%20.8%61.1%53.0%72.4%2.3%-6.8%2.8M-221.5M-804.1K1.0650.691,8381,95648,89855,917
2021-08-04$75.17$80.0057.7%16.6%85.9%21.5%61.7%6.6%-1.1%-485.3K-66.0M-760.3K0.6055.6415,1799,17149,57856,900
2021-08-05$82.12$80.0053.6%15.8%88.0%12.5%54.9%3.0%3.3%1.1M-140.4M-785.0K0.1333.627,39098549,30257,999
2021-08-06$84.06$80.0052.3%15.5%86.7%9.8%55.3%3.4%4.9%1.9M-172.6M-852.0K0.6326.131,6541,05052,83859,578
2021-08-09$80.06$80.0055.2%15.7%88.8%16.1%55.3%3.8%4.9%671.0K-124.4M-851.9K0.4831.621,51772354,61059,439
2021-08-10$85.83$80.0054.6%15.7%91.3%14.8%55.3%1.4%4.6%2.8M-200.5M-872.1K0.2029.433,62173754,32160,450
2021-08-11$86.21$80.0054.8%15.7%90.9%15.1%55.4%2.6%5.7%2.8M-202.2M-845.0K0.5122.391,9981,01654,67260,753
2021-08-12$89.13$80.0054.9%15.7%91.2%15.4%55.4%2.5%4.4%3.9M-243.9M-829.1K0.6726.8584756754,47260,952
2021-08-13$91.76$80.0054.9%15.7%90.1%15.3%56.8%1.8%4.0%5.1M-282.5M-815.7K1.1324.403,6404,12755,19161,360
2021-08-16$92.92$80.0056.1%16.1%87.6%18.0%57.0%2.5%3.7%5.7M-298.6M-799.2K0.9827.022,5992,56055,82461,461
2021-08-17$91.23$85.0057.4%16.5%84.5%20.8%57.6%3.2%3.5%4.7M-274.1M-814.7K0.7628.809,5637,24056,49462,499
2021-08-18$93.85$85.0058.5%16.8%83.9%23.1%59.0%3.6%3.1%5.8M-315.5M-787.2K0.3724.187,4602,79257,27363,753
2021-08-19$90.73$85.0060.4%17.3%85.2%27.2%61.1%5.5%-3.5%2.8M-261.7M-873.8K0.6630.703,0762,02959,46265,264
2021-08-20$89.21$85.0058.0%16.6%85.5%22.0%59.0%4.9%0.3%4.7M-238.5M-878.4K0.4825.182,4581,17562,75067,614
2021-08-23$90.89$85.0057.3%16.4%85.6%20.5%58.0%3.6%-0.8%2.6M-201.8M-875.0K2.4822.878051,99445,07536,985
2021-08-24$91.87$85.0054.5%15.6%85.4%14.6%58.5%3.7%0.5%3.0M-211.8M-872.0K1.2623.9235845146,08637,352
2021-08-25$91.43$85.0052.5%15.0%85.4%10.2%55.2%2.8%1.8%2.9M-207.1M-887.6K0.4133.7863926246,57438,845
2021-08-26$88.81$85.0054.6%15.6%84.6%14.7%55.7%4.7%0.6%2.5M-182.8M-882.2K0.8131.5535929246,69338,990
2021-08-27$91.22$85.0051.6%14.8%83.6%8.3%52.1%4.2%3.8%2.9M-203.5M-867.6K0.7124.951,17483947,12339,115
2021-08-30$89.59$85.0052.7%15.1%82.5%10.7%54.7%3.7%0.3%2.7M-189.5M-834.2K0.6842.2049133547,28239,239
2021-08-31$90.65$85.0051.9%14.9%82.0%9.0%53.2%4.5%2.3%3.1M-196.2M-859.1K1.9735.4132964848,21339,946