CAR Options History — September 2021

In September 2021, CAR traded between $87.23 and $120.95. ATM implied volatility averaged 58.1%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 16.7%. IV traded above realized volatility by 5.4% (HV 20d: 52.7%). Max pain ranged from $85.00 to $110.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.36.

Notable Days

  • 2021-09-27: Highest Volume — 24,400 contracts
  • 2021-09-20: Largest IV spike — 10.6% change
  • 2021-09-28: Highest IV Rank — 38.7%
  • 2021-09-28: Largest Expected Move — 18.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$99.80$87.23$120.95$93.67$116.61
Max Pain$94.64$85.00$110.00$85.00$110.00
ATM IV58.1%50.7%65.8%50.7%63.9%
Expected Move16.7%14.5%18.9%14.5%18.3%
HV 20d52.7%39.4%66.7%53.3%66.7%
HV 60d67.2%64.8%70.1%67.3%69.2%
IV Rank22.3%6.5%38.7%6.5%34.6%
IV Percentile29.3%4.0%55.2%4.0%46.0%
Term Structure5.4%2.5%7.2%2.5%4.5%
VWIV60.2%53.4%73.9%53.4%64.9%
Skew 25d7.6%2.2%11.7%2.2%7.9%
Skew 10d15.5%8.8%22.3%8.8%15.4%
Call IV 25d55.9%51.5%63.9%52.1%61.0%
Put IV 25d63.6%54.3%72.9%54.3%68.9%
Bid-Ask Spread %30.2317.6644.6238.5844.62
Gamma HHI0.120.080.310.110.09
Net GEX2.3M160.8K5.9M3.7M870.3K
Net DEX-249.6M-431.3M-137.4M-225.0M-353.4M
Net VEX-893.7K-1.0M-821.8K-854.2K-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.360.355.711.451.38
Total Volume7,559.191,12224,4001,7513,639
Total OI100,504.04888,512122,83388,512122,833

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-09-01$93.67$85.0050.7%14.5%53.3%6.5%53.4%2.2%2.5%3.7M-225.0M-854.2K1.4538.587141,03748,41440,098
2021-09-02$95.02$90.0051.1%14.7%44.9%7.2%56.2%5.6%6.8%4.1M-241.3M-835.5K1.6521.713,5915,93148,56140,557
2021-09-03$92.61$90.0051.5%15.5%45.9%8.1%53.5%7.0%6.6%3.4M-212.7M-848.3K0.5024.003,7231,84948,88741,249
2021-09-07$94.74$92.5055.0%15.7%41.7%15.5%55.6%6.5%6.0%3.3M-225.2M-866.3K1.2026.6276091249,22745,041
2021-09-08$90.40$95.0056.7%16.3%39.4%19.3%56.9%9.7%5.7%2.0M-175.8M-870.7K0.7825.474,1113,19150,16846,288
2021-09-09$92.06$95.0056.2%16.1%39.8%18.2%58.7%10.4%6.2%2.7M-195.3M-895.8K1.2932.4868187850,43746,411
2021-09-10$87.23$95.0056.8%16.3%43.0%19.4%56.2%8.6%6.2%607.5K-137.4M-903.6K0.7029.3566046253,04349,057
2021-09-13$90.34$95.0057.5%16.5%43.6%21.0%58.3%10.0%5.2%1.8M-169.0M-887.1K0.3533.662,03470753,25149,061
2021-09-14$90.14$95.0057.3%16.4%43.3%20.6%55.5%8.8%5.9%1.7M-168.6M-871.3K0.5117.661,61883153,30348,992
2021-09-15$90.07$95.0056.4%16.2%42.9%18.5%57.7%11.7%6.3%1.1M-165.2M-842.6K1.8537.293,4786,41852,75049,469
2021-09-16$99.18$92.5057.5%16.5%54.3%21.0%57.5%8.0%5.7%5.9M-278.2M-856.8K0.6424.8411,0887,11453,74550,103
2021-09-17$94.39$92.5058.0%16.6%55.9%22.0%59.6%6.5%5.5%4.6M-219.9M-857.6K1.4226.867,98111,30754,17849,226
2021-09-20$94.32$95.0064.2%18.4%55.5%35.2%67.2%10.8%4.1%791.1K-187.6M-905.8K1.9023.865771,09942,63747,493
2021-09-21$94.67$95.0061.8%17.7%55.2%30.2%61.8%7.6%3.5%160.8K-171.7M-955.2K0.3628.463,0201,07842,52452,774
2021-09-22$100.01$95.0060.5%17.3%58.2%27.3%63.6%7.2%5.3%374.4K-211.0M-1.0M1.2736.792,5853,27842,67158,886
2021-09-23$107.90$95.0058.7%16.8%63.4%23.5%61.1%5.3%5.7%2.1M-306.1M-926.3K1.2827.533,8394,90244,22153,962
2021-09-24$112.28$95.0057.0%16.3%62.7%19.8%59.0%7.4%7.2%2.6M-355.5M-870.0K0.9825.174,0944,02545,15355,777
2021-09-27$120.56$95.0061.6%17.7%66.0%29.7%66.9%5.4%4.6%2.3M-422.1M-821.8K1.4431.3910,00514,39545,30558,802
2021-09-28$120.95$95.0065.8%18.9%65.1%38.7%73.9%6.6%5.0%2.4M-431.3M-847.4K5.7137.182,28313,04646,82261,383
2021-09-29$118.69$100.0062.5%17.9%66.2%31.7%66.1%7.1%5.4%2.0M-389.2M-1.0M1.8241.352,0603,74249,25768,569
2021-09-30$116.61$110.0063.9%18.3%66.7%34.6%64.9%7.9%4.5%870.3K-353.4M-1.0M1.3844.621,5312,10849,27973,554