TSLA Options History — August 2015 In August 2015, TSLA traded between $14.72 and $17.97. ATM implied volatility averaged 44.5%, placing in the 48.5% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded below realized volatility by 7.0% (HV 20d: 51.5%). Max pain ranged from $15.67 to $17.33. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.01.
Notable Days 2015-08-06 : Highest Volume — 4,167,705 contracts2015-08-24 : Largest IV spike — 25.0% change2015-08-24 : Highest IV Rank — 99.2%2015-08-24 : Largest Expected Move — 18.1%Monthly Statistics Metric Avg Min Max Open Close Price $16.30 $14.72 $17.97 $17.33 $16.61 Max Pain $16.17 $15.67 $17.33 $17.33 $16.00 ATM IV 44.5% 36.3% 60.9% 46.9% 49.5% Expected Move 13.3% 10.4% 18.1% 15.4% 14.4% HV 20d 51.5% 39.9% 59.9% 45.2% 59.5% HV 60d 38.9% 31.6% 45.5% 31.6% 45.5% IV Rank 48.5% 23.0% 99.2% 55.7% 63.8% IV Percentile 64.1% 32.1% 99.2% 76.6% 81.3% Term Structure -0.7% -3.0% 0.8% -2.3% -1.0% VWIV 46.7% 36.6% 62.7% 54.0% 51.5% Skew 25d 4.8% 1.7% 10.0% 2.4% 8.7% Skew 10d 9.5% 4.3% 22.7% 5.2% 16.8% Call IV 25d 42.6% 35.6% 55.9% 45.7% 45.9% Put IV 25d 47.4% 38.0% 65.8% 48.1% 54.6% Bid-Ask Spread % 18.54 10.25 37.65 13.01 14.94 Gamma HHI 0.05 0.03 0.16 0.05 0.04 Net GEX 8.8M -46.9M 60.1M 31.2M 33.3M Net DEX -641.4M -2.14B 719.3M -1.48B -1.36B Net VEX -16.8M -18.1M -15.5M -16.8M -17.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.01 0.79 1.38 0.79 0.97 Total Volume 1,815,673.571 723,150 4,167,705 723,150 1,402,365 Total OI 8,820,537.857 7,957,980 9,749,850 7,957,980 8,665,140
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 2015-08-03 $17.33 $17.33 46.9% 15.4% 45.2% 55.7% 54.0% 2.4% -2.3% 31.2M -1.48B -16.8M 0.79 13.01 N/A N/A 403,260 319,890 3,669,345 4,288,635 2015-08-04 $17.72 $17.33 46.2% 15.5% 43.2% 53.6% 54.9% 1.7% -2.6% 40.3M -1.87B -16.9M 0.83 14.68 N/A N/A 421,980 351,405 3,739,755 4,403,295 2015-08-05 $17.97 $17.33 49.7% 17.4% 39.9% 64.5% 60.8% 3.2% -3.0% 46.1M -2.14B -17.2M 0.83 23.38 N/A N/A 1,297,065 1,073,220 3,847,320 4,504,515 2015-08-06 $16.39 $16.00 38.1% 10.7% 52.1% 28.7% 37.9% 2.8% -1.0% -46.9M 70.3M -15.5M 0.92 18.02 N/A N/A 2,176,185 1,991,520 4,241,835 4,980,615 2015-08-07 $16.15 $16.00 38.6% 11.0% 52.2% 30.1% 39.2% 2.1% -0.9% -23.5M 122.2M -16.5M 1.21 17.57 N/A N/A 1,058,070 1,276,005 4,557,855 5,191,995 2015-08-10 $16.06 $16.00 37.4% 10.8% 51.9% 26.5% 38.2% 3.1% 0.2% -10.1M -148.5M -16.4M 1.38 12.63 N/A N/A 511,935 707,220 3,786,870 4,663,710 2015-08-11 $15.82 $16.00 37.7% 11.0% 51.6% 27.4% 38.2% 2.8% 0.8% -22.8M 109.9M -16.2M 1.01 15.97 N/A N/A 555,195 563,520 3,879,300 4,772,325 2015-08-12 $15.88 $16.00 38.4% 11.1% 51.6% 29.7% 38.8% 3.2% 0.1% -11.0M -13.4M -16.5M 0.95 19.45 N/A N/A 704,190 671,280 4,023,060 4,828,635 2015-08-13 $16.17 $16.00 37.8% 10.9% 51.9% 27.6% 38.5% 3.4% 0.2% 13.5M -417.4M -17.0M 0.94 20.11 N/A N/A 968,580 905,670 4,109,505 4,907,910 2015-08-14 $16.21 $16.00 37.4% 10.7% 50.2% 26.4% 38.2% 3.0% -0.2% 10.9M -518.8M -16.4M 0.99 12.28 N/A N/A 878,625 867,885 4,240,110 5,049,075 2015-08-17 $17.00 $16.00 38.3% 11.0% 52.4% 29.2% 39.1% 2.5% -0.1% 45.6M -1.53B -16.9M 0.83 10.25 N/A N/A 928,020 770,520 3,961,050 4,675,275 2015-08-18 $17.35 $16.00 37.2% 10.7% 49.2% 25.8% 38.1% 2.9% -0.2% 60.1M -1.98B -17.2M 0.97 18.60 N/A N/A 792,585 765,900 4,106,895 4,842,225 2015-08-19 $17.02 $16.00 36.3% 10.4% 49.6% 23.0% 36.6% 2.4% -0.1% 33.9M -1.42B -17.2M 0.94 13.18 N/A N/A 705,210 660,615 4,185,225 4,991,295 2015-08-20 $16.16 $16.00 41.7% 12.0% 52.6% 39.7% 42.0% 4.2% -1.0% -24.8M -89.2M -16.5M 1.07 12.81 N/A N/A 1,031,145 1,099,410 4,215,510 5,037,495 2015-08-21 $15.40 $16.00 48.7% 14.1% 54.8% 61.5% 49.0% 7.0% -1.5% -43.3M 719.3M -16.3M 1.18 37.65 N/A N/A 1,200,225 1,418,070 4,332,975 5,106,825 2015-08-24 $14.72 $16.00 60.9% 18.1% 54.2% 99.2% 62.7% 10.0% -1.1% -10.6M 498.3M -16.2M 1.29 25.57 N/A N/A 881,715 1,138,860 3,614,445 4,482,735 2015-08-25 $14.74 $16.00 59.3% 17.6% 50.4% 94.2% 60.5% 9.6% -1.1% -7.2M 378.5M -16.6M 1.14 23.81 N/A N/A 606,315 688,830 3,861,165 4,604,115 2015-08-26 $14.97 $16.00 55.5% 16.4% 51.2% 82.3% 58.6% 8.0% -0.0% -5.0M 245.5M -17.0M 1.01 26.69 N/A N/A 729,450 739,995 3,990,570 4,713,585 2015-08-27 $16.13 $15.67 50.3% 14.7% 58.8% 66.3% 53.0% 8.6% 0.0% 29.8M -1.07B -17.5M 1.05 19.32 N/A N/A 1,221,150 1,287,735 4,075,485 4,807,785 2015-08-28 $16.58 $16.00 49.1% 14.4% 59.9% 62.5% 49.9% 9.7% 0.6% 45.0M -1.57B -18.1M 0.90 19.45 N/A N/A 1,238,460 1,119,870 4,244,265 5,031,570 2015-08-31 $16.61 $16.00 49.5% 14.4% 59.5% 63.8% 51.5% 8.7% -1.0% 33.3M -1.36B -17.8M 0.97 14.94 N/A N/A 710,610 691,755 3,966,630 4,698,510
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