TSLA Options History — November 2014 In November 2014, TSLA traded between $15.44 and $17.25. ATM implied volatility averaged 37.3%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded below realized volatility by 10.7% (HV 20d: 48.1%). Max pain ranged from $16.33 to $16.67. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 1.04.
Notable Days 2014-11-06 : Highest Volume — 4,106,805 contracts2014-11-06 : Largest IV drop — 32.3% change2014-11-05 : Highest IV Rank — 55.6%2014-11-05 : Largest Expected Move — 13.7%Monthly Statistics Metric Avg Min Max Open Close Price $16.44 $15.44 $17.25 $16.16 $16.30 Max Pain $16.65 $16.33 $16.67 $16.67 $16.67 ATM IV 37.3% 31.7% 57.2% 52.0% 31.7% Expected Move 11.9% 11.2% 13.7% 13.2% 11.2% HV 20d 48.1% 32.1% 59.1% 56.2% 32.7% HV 60d 45.6% 43.9% 46.8% 44.8% 45.3% IV Rank 15.1% 3.6% 55.6% 45.1% 3.6% IV Percentile 15.6% 1.2% 73.8% 50.8% 1.2% Term Structure -0.6% -2.3% 0.1% -2.0% -0.4% VWIV 41.7% 39.6% 47.3% 46.0% 39.7% Skew 25d 4.8% 3.4% 9.2% 8.1% 4.1% Skew 10d 10.2% 7.2% 20.8% 18.4% 8.8% Call IV 25d 35.6% 30.5% 53.4% 47.6% 30.7% Put IV 25d 40.4% 34.3% 62.6% 55.7% 34.7% Bid-Ask Spread % 40.37 32.47 47.15 39.06 44.53 Gamma HHI 0.07 0.03 0.19 0.04 0.12 Net GEX 43.5M -37.5M 130.6M 24.4M -1.9M Net DEX -1.99B -3.63B -935.8M -1.73B -1.42B Net VEX -14.8M -16.4M -13.7M -16.4M -13.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.04 0.72 1.34 1.05 1.14 Total Volume 1,788,232.105 924,360 4,106,805 974,475 1,114,110 Total OI 12,130,038.158 10,851,135 13,218,975 11,201,505 11,810,685
Daily Data (19 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 2014-11-03 $16.16 $16.67 52.0% 13.2% 56.2% 45.1% 46.0% 8.1% -2.0% 24.4M -1.73B -16.4M 1.05 39.06 N/A N/A 475,995 498,480 4,566,315 6,635,190 2014-11-04 $15.95 $16.67 52.2% 13.1% 56.3% 45.5% 45.0% 8.9% -2.3% 20.0M -1.48B -16.4M 1.00 39.67 N/A N/A 495,420 497,865 4,728,435 6,774,810 2014-11-05 $15.44 $16.67 57.2% 13.7% 57.2% 55.6% 47.3% 9.2% -2.3% 8.2M -935.8M -16.4M 1.28 42.90 N/A N/A 1,162,410 1,491,330 4,885,470 6,898,695 2014-11-06 $16.03 $16.67 38.7% 12.2% 59.1% 17.9% 42.4% 5.3% 0.1% 42.8M -1.69B -15.3M 1.27 44.60 N/A N/A 1,810,335 2,296,470 5,286,525 7,416,855 2014-11-07 $16.01 $16.67 37.3% 12.1% 51.4% 14.9% 42.9% 5.3% 0.0% 31.9M -1.61B -14.9M 0.98 44.17 N/A N/A 1,073,070 1,048,155 5,475,945 7,743,030 2014-11-10 $16.12 $16.67 35.9% 12.0% 47.3% 12.1% 42.7% 4.6% 0.0% 34.9M -1.72B -14.7M 0.90 47.15 N/A N/A 676,170 608,520 4,907,100 6,940,485 2014-11-11 $16.74 $16.33 36.0% 11.9% 48.1% 12.3% 41.0% 4.1% -0.5% 73.3M -2.65B -14.8M 0.84 45.32 N/A N/A 1,360,395 1,136,940 4,896,600 6,895,170 2014-11-12 $16.63 $16.67 34.7% 11.6% 48.1% 9.7% 39.6% 4.0% -0.5% 76.9M -2.52B -14.9M 0.91 38.33 N/A N/A 839,505 764,250 5,249,640 7,393,035 2014-11-13 $16.78 $16.67 33.9% 11.6% 47.6% 8.0% 40.6% 4.0% -0.2% 97.6M -2.79B -15.0M 0.92 38.59 N/A N/A 1,110,915 1,017,450 5,326,140 7,523,385 2014-11-14 $17.25 $16.67 33.3% 11.5% 48.2% 6.8% 40.4% 4.1% -0.5% 130.6M -3.63B -14.9M 0.72 37.59 N/A N/A 1,507,275 1,090,170 5,371,320 7,633,395 2014-11-17 $16.94 $16.67 34.0% 11.6% 48.9% 8.2% 41.4% 3.8% -0.3% 79.8M -2.71B -14.8M 1.07 32.47 N/A N/A 549,240 588,660 5,058,210 7,156,920 2014-11-18 $17.15 $16.67 33.2% 11.4% 48.8% 6.5% 40.7% 3.8% -0.6% 90.9M -3.03B -14.8M 1.07 33.20 N/A N/A 599,025 641,790 5,091,555 7,265,520 2014-11-19 $16.52 $16.67 34.2% 11.5% 50.8% 8.6% 40.4% 3.9% -0.3% 28.7M -1.79B -14.3M 1.08 39.83 N/A N/A 941,280 1,017,600 5,107,785 7,413,765 2014-11-20 $16.56 $16.67 34.0% 11.4% 50.5% 8.3% 40.1% 3.8% -0.3% 16.7M -1.78B -14.2M 1.07 38.69 N/A N/A 761,145 814,080 5,110,515 7,525,215 2014-11-21 $16.19 $16.67 34.8% 11.6% 51.3% 9.8% 41.4% 3.9% -0.6% -37.5M -1.09B -14.2M 1.06 38.75 N/A N/A 1,240,920 1,319,940 5,207,310 7,598,880 2014-11-24 $16.45 $16.67 32.7% 11.4% 45.9% 5.6% 40.5% 3.8% -0.3% 21.6M -1.65B -13.8M 0.96 38.37 N/A N/A 716,820 688,560 4,391,985 6,459,150 2014-11-25 $16.52 $16.67 32.0% 11.3% 33.0% 4.2% 40.5% 3.4% 0.0% 37.8M -1.80B -14.3M 1.03 38.40 N/A N/A 455,310 469,050 4,610,595 6,657,900 2014-11-26 $16.56 $16.67 31.8% 11.2% 32.1% 3.8% 40.0% 3.7% -0.2% 49.2M -1.88B -13.9M 1.34 45.33 N/A N/A 470,100 627,660 4,686,225 6,770,970 2014-11-28 $16.30 $16.67 31.7% 11.2% 32.7% 3.6% 39.7% 4.1% -0.4% -1.9M -1.42B -13.7M 1.14 44.53 N/A N/A 521,040 593,070 4,784,670 7,026,015
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