TSLA Options History — March 2014 In March 2014, TSLA traded between $13.82 and $16.99. ATM implied volatility averaged 55.7%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded below realized volatility by 1.1% (HV 20d: 56.8%). Max pain ranged from $10.00 to $12.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.91.
Notable Days 2014-03-14 : Highest Volume — 3,319,710 contracts2014-03-05 : Largest IV spike — 6.3% change2014-03-05 : Highest IV Rank — 19.9%2014-03-28 : Largest Expected Move — 15.9%Monthly Statistics Metric Avg Min Max Open Close Price $15.54 $13.82 $16.99 $16.70 $13.90 Max Pain $11.32 $10.00 $12.00 $10.00 $12.00 ATM IV 55.7% 51.4% 60.6% 57.5% 55.4% Expected Move 15.4% 14.6% 15.9% 14.6% 15.7% HV 20d 56.8% 34.2% 66.7% 65.2% 34.2% HV 60d 59.0% 58.1% 59.8% 59.8% 59.1% IV Rank 15.2% 11.4% 19.9% 17.8% 11.5% IV Percentile 37.8% 19.0% 55.6% 48.0% 34.9% Term Structure 0.9% -2.6% 13.5% -0.5% 13.5% VWIV 53.9% 51.3% 60.8% 52.5% 55.3% Skew 25d 2.6% 0.7% 4.0% 0.7% 2.0% Skew 10d 6.4% 2.3% 9.7% 2.3% 5.2% Call IV 25d 55.3% 50.9% 59.6% 58.0% 55.7% Put IV 25d 57.9% 53.2% 63.2% 58.6% 57.8% Bid-Ask Spread % 10.90 7.18 14.70 14.70 9.61 Gamma HHI 0.06 0.03 0.23 0.05 0.04 Net GEX 8.4M -43.1M 54.1M 32.1M -6.1M Net DEX -2.60B -4.62B -412.4M -4.08B -843.0M Net VEX -18.4M -19.1M -17.6M -17.6M -17.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.91 0.80 1.10 0.97 0.83 Total Volume 2,277,774.286 1,334,685 3,319,710 3,227,325 1,758,795 Total OI 11,664,800.714 9,033,150 13,251,855 11,137,410 9,420,885
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2014-03-03 $16.70 $10.00 57.5% 14.6% 65.2% 17.8% 52.5% 0.7% -0.5% 32.1M -4.08B -17.6M 0.97 14.70 N/A N/A 1,636,995 1,590,330 4,984,185 6,153,225 2014-03-04 $16.99 $10.00 57.0% 14.8% 63.5% 17.4% 51.7% 0.8% 0.0% 54.1M -4.62B -18.1M 0.93 14.70 N/A N/A 1,116,120 1,035,885 5,335,965 6,510,870 2014-03-05 $16.84 $10.00 60.6% 15.0% 64.1% 19.9% 55.0% 3.1% 0.3% 44.6M -4.34B -18.6M 1.10 10.63 N/A N/A 769,290 845,535 5,523,420 6,727,980 2014-03-06 $16.86 $10.33 60.5% 15.1% 62.6% 19.9% 51.3% 3.9% 0.1% 47.4M -4.32B -18.9M 0.98 12.42 N/A N/A 1,125,225 1,104,870 5,677,215 6,937,275 2014-03-07 $16.41 $10.33 57.9% 15.3% 64.6% 18.0% 52.5% 3.8% 0.5% 19.8M -3.46B -18.7M 0.98 11.98 N/A N/A 1,611,285 1,579,500 5,797,440 7,211,970 2014-03-10 $15.92 $11.33 58.6% 15.4% 65.7% 18.5% 54.0% 3.8% -1.8% 4.3M -2.94B -18.6M 0.86 11.28 N/A N/A 1,110,345 952,455 5,173,125 6,490,755 2014-03-11 $15.63 $11.33 57.6% 15.3% 64.8% 17.2% 53.3% 4.0% -2.0% -913.8K -2.65B -18.6M 0.80 11.78 N/A N/A 1,369,980 1,097,985 5,442,000 6,734,235 2014-03-12 $16.10 $11.33 57.7% 15.4% 65.1% 17.2% 55.1% 3.4% -1.1% 22.2M -3.33B -19.0M 0.84 12.30 N/A N/A 1,727,940 1,451,760 5,621,940 6,903,855 2014-03-13 $15.85 $11.33 58.3% 15.3% 65.5% 17.6% 52.0% 3.8% -2.6% 10.2M -3.00B -19.1M 0.85 11.81 N/A N/A 1,025,940 874,770 5,893,680 7,110,855 2014-03-14 $15.40 $11.33 55.6% 15.5% 66.7% 15.4% 52.2% 3.2% -2.1% -43.1M -2.23B -18.8M 1.00 11.25 N/A N/A 1,656,915 1,662,795 6,029,325 7,222,530 2014-03-17 $15.60 $11.67 54.4% 15.4% 66.5% 14.4% 51.3% 2.6% 1.3% 13.8M -2.83B -18.8M 0.86 10.15 N/A N/A 856,215 736,050 5,394,525 6,605,355 2014-03-18 $16.00 $11.67 53.5% 15.4% 66.5% 13.8% 54.1% 2.5% 1.5% 35.4M -3.44B -18.9M 0.80 9.11 N/A N/A 878,100 700,425 5,580,585 6,719,460 2014-03-19 $15.72 $11.67 52.7% 15.5% 63.6% 13.2% 60.8% 1.8% 1.5% 23.0M -2.93B -18.6M 0.89 9.80 N/A N/A 720,495 638,925 5,748,240 6,882,630 2014-03-20 $15.66 $11.67 52.0% 15.6% 57.8% 12.7% 52.7% 1.9% 1.5% 14.4M -2.78B -18.1M 0.82 8.95 N/A N/A 732,825 601,860 5,699,610 6,868,560 2014-03-21 $15.26 $11.67 51.4% 15.5% 58.9% 12.2% 53.6% 2.3% 2.1% -35.3M -2.09B -18.1M 0.94 7.18 N/A N/A 1,478,175 1,396,680 5,796,690 6,978,240 2014-03-24 $14.68 $12.00 54.4% 15.7% 59.4% 14.4% 53.6% 2.1% 0.6% -3.0M -1.23B -17.8M 0.81 10.73 N/A N/A 1,557,930 1,259,730 4,097,205 4,935,945 2014-03-25 $14.70 $12.00 52.9% 15.7% 34.3% 11.5% 54.8% 2.3% 1.0% 4.1M -1.31B -18.4M 0.95 8.07 N/A N/A 857,760 815,805 4,486,665 5,222,055 2014-03-26 $14.20 $12.00 52.8% 15.8% 34.3% 11.4% 54.4% 1.3% 2.1% -15.7M -799.4M -18.2M 1.06 13.34 N/A N/A 977,355 1,038,780 4,637,130 5,363,700 2014-03-27 $13.82 $12.00 55.5% 15.9% 34.8% 13.0% 54.8% 2.5% 1.0% -28.4M -412.4M -18.0M 0.94 9.19 N/A N/A 1,302,960 1,218,285 4,811,940 5,520,780 2014-03-28 $14.16 $12.00 54.6% 15.9% 35.8% 12.1% 56.5% 2.4% 1.5% -16.4M -853.7M -18.3M 0.97 9.84 N/A N/A 1,505,295 1,454,895 5,022,015 5,686,755 2014-03-31 $13.90 $12.00 55.4% 15.7% 34.2% 11.5% 55.3% 2.0% 13.5% -6.1M -843.0M -17.8M 0.83 9.61 N/A N/A 961,020 797,775 4,281,870 5,139,015
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