TSLA Options History — September 2014 In September 2014, TSLA traded between $16.18 and $19.07. ATM implied volatility averaged 35.3%, placing in the 10.5% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded below realized volatility by 3.3% (HV 20d: 38.6%). Max pain ranged from $17.33 to $18.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.88.
Notable Days 2014-09-05 : Highest Volume — 5,382,630 contracts2014-09-15 : Largest IV spike — 18.2% change2014-09-29 : Highest IV Rank — 19.7%2014-09-29 : Largest Expected Move — 12.2%Monthly Statistics Metric Avg Min Max Open Close Price $17.66 $16.18 $19.07 $18.94 $16.18 Max Pain $17.70 $17.33 $18.00 $17.33 $17.33 ATM IV 35.3% 32.2% 40.1% 34.0% 38.6% Expected Move 11.8% 11.4% 12.2% 11.4% 12.0% HV 20d 38.6% 27.4% 47.6% 30.1% 41.2% HV 60d 35.4% 30.7% 37.3% 34.9% 35.7% IV Rank 10.5% 4.3% 19.7% 7.8% 16.8% IV Percentile 8.0% 2.0% 21.0% 4.0% 17.1% Term Structure 1.6% -0.3% 8.2% 0.1% 8.2% VWIV 41.5% 40.2% 42.8% 40.2% 42.0% Skew 25d 2.1% 0.2% 3.2% 1.4% 2.9% Skew 10d 4.2% 1.8% 5.9% 3.0% 5.6% Call IV 25d 34.6% 32.2% 38.9% 33.7% 37.6% Put IV 25d 36.7% 33.4% 41.8% 35.1% 40.6% Bid-Ask Spread % 29.63 17.19 40.55 17.19 34.10 Gamma HHI 0.08 0.03 0.53 0.07 0.05 Net GEX 35.1M -155.2M 127.3M 113.0M -2.1M Net DEX -2.98B -5.32B -1.12B -5.28B -1.12B Net VEX -16.1M -16.8M -15.4M -15.8M -15.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.88 0.62 1.17 0.62 1.02 Total Volume 2,300,691.429 1,286,355 5,382,630 3,652,980 1,442,820 Total OI 11,467,506.429 9,526,950 12,578,400 10,973,850 10,337,625
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 2014-09-02 $18.94 $17.33 34.0% 11.4% 30.1% 7.8% 40.2% 1.4% 0.1% 113.0M -5.28B -15.8M 0.62 17.19 N/A N/A 2,251,500 1,401,480 4,748,010 6,225,840 2014-09-03 $18.75 $17.33 33.7% 11.5% 30.7% 7.2% 40.3% 0.2% 0.6% 90.5M -4.83B -16.1M 0.70 31.18 N/A N/A 1,186,005 830,325 5,055,975 6,648,000 2014-09-04 $19.07 $18.00 33.3% 11.4% 28.2% 6.6% 40.8% 1.3% 0.9% 127.3M -5.32B -16.6M 0.71 26.85 N/A N/A 2,015,040 1,424,355 5,194,395 6,841,620 2014-09-05 $18.49 $18.00 33.1% 11.4% 31.0% 6.1% 40.3% 1.5% 0.6% -155.2M -3.97B -16.5M 0.81 23.32 N/A N/A 2,966,220 2,416,410 5,411,265 7,094,850 2014-09-08 $18.81 $18.00 33.9% 11.5% 30.2% 7.8% 40.6% 1.6% -0.3% 88.6M -4.64B -16.7M 0.76 20.12 N/A N/A 951,090 725,295 5,005,200 6,602,340 2014-09-09 $18.57 $18.00 33.3% 11.4% 27.4% 6.5% 40.5% 1.6% -0.1% 57.2M -4.10B -16.8M 0.92 21.92 N/A N/A 713,355 656,985 5,079,105 6,792,180 2014-09-10 $18.74 $18.00 33.1% 11.5% 27.5% 6.2% 40.6% 1.4% 0.4% 75.8M -4.42B -16.3M 0.77 32.87 N/A N/A 971,130 746,805 5,143,170 6,916,305 2014-09-11 $18.69 $18.00 33.0% 11.6% 27.6% 5.8% 41.0% 1.5% 0.1% 66.8M -4.33B -16.4M 0.75 22.07 N/A N/A 1,023,630 769,830 5,234,745 7,043,160 2014-09-12 $18.61 $18.00 32.2% 11.6% 27.7% 4.3% 41.1% 1.2% 0.0% 45.2M -4.13B -16.0M 0.75 21.34 N/A N/A 1,255,710 935,760 5,338,095 7,128,105 2014-09-15 $16.92 $18.00 38.0% 12.1% 44.6% 15.7% 42.3% 2.4% 0.6% 7.6M -1.67B -15.9M 0.83 31.48 N/A N/A 2,493,480 2,068,650 4,836,750 6,627,240 2014-09-16 $17.38 $18.00 36.8% 11.9% 45.6% 13.3% 42.5% 3.0% 0.7% 40.7M -2.53B -16.8M 0.84 25.26 N/A N/A 1,294,710 1,090,170 5,353,065 6,944,295 2014-09-17 $17.43 $17.67 34.9% 12.0% 45.4% 9.6% 41.9% 2.8% 1.1% 46.3M -2.61B -16.7M 0.89 27.40 N/A N/A 822,465 729,555 5,421,090 7,070,115 2014-09-18 $17.59 $17.67 33.2% 11.9% 45.4% 6.4% 41.5% 2.2% 1.1% 63.9M -2.94B -16.0M 0.96 27.60 N/A N/A 799,305 765,225 5,355,135 7,051,350 2014-09-19 $17.29 $17.67 34.3% 11.9% 45.9% 8.5% 41.4% 2.4% 0.7% 37.9M -2.15B -15.7M 1.17 30.01 N/A N/A 1,451,535 1,697,865 5,428,545 7,149,855 2014-09-22 $16.67 $17.67 37.6% 12.0% 47.6% 15.0% 42.4% 2.3% 2.4% -3.8M -1.39B -15.5M 1.04 40.55 N/A N/A 1,297,275 1,347,510 3,984,270 5,542,680 2014-09-23 $16.69 $17.67 37.3% 12.0% 46.8% 14.4% 42.4% 2.7% 2.4% 14.0M -1.59B -16.0M 1.09 36.94 N/A N/A 764,685 831,105 4,329,780 5,807,550 2014-09-24 $16.81 $17.33 36.5% 12.0% 46.9% 12.7% 42.2% 3.2% 2.3% 19.5M -1.73B -16.1M 0.94 36.74 N/A N/A 780,120 735,465 4,468,905 5,956,455 2014-09-25 $16.46 $17.33 37.8% 12.2% 47.3% 15.2% 42.4% 3.0% 2.6% -12.6M -1.23B -16.0M 0.90 37.89 N/A N/A 853,260 770,580 4,618,140 6,098,130 2014-09-26 $16.44 $17.33 37.6% 12.1% 47.3% 15.0% 41.8% 3.0% 2.5% 9.6M -1.21B -15.7M 0.93 36.84 N/A N/A 908,385 843,075 4,737,645 6,162,735 2014-09-29 $16.35 $17.33 40.1% 12.2% 46.3% 19.7% 42.8% 2.9% 6.6% 7.3M -1.35B -15.6M 1.07 40.50 N/A N/A 621,765 664,590 4,272,765 5,761,155 2014-09-30 $16.18 $17.33 38.6% 12.0% 41.2% 16.8% 42.0% 2.9% 8.2% -2.1M -1.12B -15.4M 1.02 34.10 N/A N/A 713,205 729,615 4,440,660 5,896,965
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