TSLA Options History — March 2015 In March 2015, TSLA traded between $12.33 and $13.49. ATM implied volatility averaged 38.7%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 3.4% (HV 20d: 35.3%). Max pain ranged from $12.67 to $14.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.03.
Notable Days 2015-03-27 : Highest Volume — 3,350,445 contracts2015-03-30 : Largest IV spike — 6.6% change2015-03-31 : Highest IV Rank — 28.0%2015-03-30 : Largest Expected Move — 11.5%Monthly Statistics Metric Avg Min Max Open Close Price $12.98 $12.33 $13.49 $13.16 $12.59 Max Pain $13.30 $12.67 $14.00 $14.00 $12.67 ATM IV 38.7% 35.4% 43.6% 39.3% 43.6% Expected Move 10.9% 10.1% 11.5% 11.3% 11.4% HV 20d 35.3% 31.3% 39.6% 39.6% 34.7% HV 60d 36.5% 34.8% 38.1% 37.9% 36.6% IV Rank 17.9% 11.1% 28.0% 19.0% 28.0% IV Percentile 34.1% 15.9% 60.7% 36.5% 60.7% Term Structure 0.9% -1.1% 7.2% -1.1% 7.2% VWIV 39.0% 36.0% 40.9% 40.0% 40.3% Skew 25d 3.4% 2.5% 4.5% 2.6% 3.9% Skew 10d 6.9% 5.3% 8.1% 5.5% 7.1% Call IV 25d 37.6% 34.6% 42.6% 38.1% 42.4% Put IV 25d 41.1% 37.6% 46.4% 40.7% 46.3% Bid-Ask Spread % 31.23 5.95 45.74 5.95 25.83 Gamma HHI 0.06 0.04 0.20 0.06 0.04 Net GEX -15.7M -54.8M 13.4M -24.6M 1.4M Net DEX 500.8M -178.0M 1.13B 605.7M 284.9M Net VEX -14.7M -16.3M -13.2M -13.5M -16.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.03 0.73 1.50 1.14 0.86 Total Volume 1,642,527.955 857,850 3,350,445 1,754,895 1,569,645 Total OI 8,505,803.182 7,153,695 9,910,230 7,844,265 8,377,755
Daily Data (22 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 2015-03-02 $13.16 $14.00 39.3% 11.3% 39.6% 19.0% 40.0% 2.6% -1.1% -24.6M 605.7M -13.5M 1.14 5.95 N/A N/A 821,430 933,465 3,590,535 4,253,730 2015-03-03 $13.31 $14.00 38.6% 11.2% 37.5% 17.7% 39.7% 3.5% -0.6% -15.6M 422.3M -14.1M 1.08 6.32 N/A N/A 571,140 619,380 3,823,545 4,443,420 2015-03-04 $13.49 $14.00 37.0% 10.6% 35.0% 14.5% 37.3% 3.9% -1.0% -2.4M 203.0M -14.2M 0.76 6.16 N/A N/A 747,180 564,570 3,901,305 4,542,330 2015-03-05 $13.38 $13.33 37.9% 10.7% 35.1% 16.1% 37.5% 2.5% -0.4% -2.7M 274.3M -14.1M 0.73 38.85 N/A N/A 863,655 632,250 4,142,550 4,609,590 2015-03-06 $12.93 $13.33 39.0% 11.1% 36.1% 18.4% 39.8% 3.5% -0.5% -19.7M 921.1M -13.7M 1.30 35.93 N/A N/A 1,005,315 1,303,095 4,227,210 4,676,265 2015-03-09 $12.73 $13.33 40.2% 11.4% 36.0% 20.9% 40.5% 3.6% -0.8% -30.1M 902.0M -13.2M 1.21 35.79 N/A N/A 671,475 813,345 3,900,375 4,384,185 2015-03-10 $12.69 $13.33 40.0% 11.5% 35.9% 20.4% 40.9% 3.7% 0.1% -28.1M 898.3M -13.7M 0.99 36.33 N/A N/A 769,215 762,795 4,063,125 4,558,155 2015-03-11 $12.92 $13.33 39.4% 11.2% 36.9% 19.3% 40.5% 4.5% -0.6% -15.1M 643.0M -14.2M 0.93 40.85 N/A N/A 656,460 610,650 4,187,865 4,719,180 2015-03-12 $12.74 $13.33 39.2% 11.3% 36.7% 18.9% 40.3% 3.2% -0.1% -37.3M 906.0M -14.0M 1.05 41.83 N/A N/A 563,430 591,570 4,231,935 4,833,840 2015-03-13 $12.58 $13.33 38.8% 11.1% 33.0% 18.1% 39.5% 3.8% -0.3% -34.3M 1.13B -13.6M 1.50 42.16 N/A N/A 743,685 1,113,525 4,303,170 4,901,175 2015-03-16 $13.05 $13.33 38.3% 11.0% 35.9% 17.0% 38.7% 3.5% 0.5% -19.8M 486.4M -14.6M 0.84 32.83 N/A N/A 785,085 663,405 4,047,660 4,685,970 2015-03-17 $12.98 $13.33 38.9% 11.1% 35.9% 18.3% 40.0% 3.8% 0.0% -19.0M 506.1M -15.0M 1.07 36.65 N/A N/A 739,305 789,210 4,231,950 4,829,730 2015-03-18 $13.38 $13.33 37.5% 10.7% 37.7% 15.4% 38.4% 3.9% 0.6% 4.3M 30.5M -15.4M 0.99 45.74 N/A N/A 667,980 660,315 4,335,075 4,987,080 2015-03-19 $13.04 $13.33 37.6% 10.8% 36.1% 15.6% 37.6% 3.6% 0.1% -23.4M 501.9M -14.9M 0.82 36.08 N/A N/A 1,574,445 1,290,555 4,421,940 5,075,715 2015-03-20 $13.21 $13.33 35.4% 10.1% 35.0% 11.1% 36.3% 3.0% 1.1% 12.5M 366.1M -15.2M 1.28 37.93 N/A N/A 788,445 1,006,995 4,625,970 5,284,260 2015-03-23 $13.31 $13.00 35.7% 10.2% 31.4% 11.6% 36.7% 3.3% 0.6% 3.1M -38.5M -15.5M 0.80 31.93 N/A N/A 477,615 380,235 3,160,410 3,993,285 2015-03-24 $13.45 $13.00 35.4% 10.1% 31.3% 11.1% 36.0% 3.1% 1.6% 13.4M -178.0M -15.5M 0.95 30.71 N/A N/A 471,435 447,630 3,283,740 4,136,040 2015-03-25 $12.95 $13.17 37.3% 10.5% 34.0% 15.1% 37.6% 2.6% 2.4% -15.1M 344.3M -15.4M 1.31 27.30 N/A N/A 638,220 837,390 3,341,190 4,236,180 2015-03-26 $12.72 $13.00 38.6% 10.8% 33.5% 17.6% 38.2% 2.8% 2.3% -35.6M 576.5M -15.4M 1.11 32.11 N/A N/A 605,670 673,350 3,498,060 4,410,000 2015-03-27 $12.33 $13.00 40.5% 11.3% 34.5% 21.6% 40.1% 3.6% 1.0% -54.8M 993.1M -14.9M 1.22 29.05 N/A N/A 1,508,580 1,841,865 3,576,330 4,468,950 2015-03-30 $12.69 $12.67 43.2% 11.5% 35.0% 27.0% 40.9% 3.8% 6.9% -3.1M 241.2M -16.2M 0.74 30.71 N/A N/A 1,356,120 1,004,490 3,537,285 4,289,610 2015-03-31 $12.59 $12.67 43.6% 11.4% 34.7% 28.0% 40.3% 3.9% 7.2% 1.4M 284.9M -16.3M 0.86 25.83 N/A N/A 845,295 724,350 3,856,125 4,521,630
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