TSLA Options History — September 2015 In September 2015, TSLA traded between $15.90 and $17.62. ATM implied volatility averaged 43.7%, placing in the 45.8% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded below realized volatility by 2.3% (HV 20d: 46.0%). Max pain ranged from $15.67 to $16.67. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.06.
Notable Days 2015-09-21 : Highest Volume — 2,058,030 contracts2015-09-02 : Largest IV drop — 12.5% change2015-09-01 : Highest IV Rank — 80.8%2015-09-01 : Largest Expected Move — 16.1%Monthly Statistics Metric Avg Min Max Open Close Price $16.86 $15.90 $17.62 $15.90 $16.58 Max Pain $16.14 $15.67 $16.67 $16.00 $16.67 ATM IV 43.7% 38.4% 55.0% 55.0% 42.8% Expected Move 12.6% 11.1% 16.1% 16.1% 12.4% HV 20d 46.0% 27.6% 61.9% 60.5% 27.6% HV 60d 46.3% 45.3% 46.8% 46.0% 45.3% IV Rank 45.8% 29.6% 80.8% 80.8% 43.2% IV Percentile 60.4% 40.5% 95.2% 95.2% 56.7% Term Structure 0.7% -1.4% 8.2% -0.9% 8.2% VWIV 44.8% 39.0% 56.5% 56.5% 43.2% Skew 25d 7.4% 5.2% 10.4% 10.4% 8.4% Skew 10d 14.3% 10.7% 19.9% 17.9% 12.6% Call IV 25d 40.7% 36.1% 49.9% 49.9% 39.3% Put IV 25d 48.1% 41.7% 60.4% 60.4% 47.7% Bid-Ask Spread % 28.12 11.18 44.75 21.49 22.42 Gamma HHI 0.05 0.03 0.13 0.03 0.03 Net GEX 27.5M -13.2M 82.7M 6.7M -9.2M Net DEX -1.27B -2.33B -389.8M -552.8M -454.6M Net VEX -16.0M -17.3M -15.1M -17.3M -15.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.06 0.73 1.55 1.31 0.92 Total Volume 1,273,147.143 773,715 2,058,030 1,286,670 1,404,390 Total OI 8,559,257.143 7,036,380 9,525,420 8,910,615 8,155,425
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 2015-09-01 $15.90 $16.00 55.0% 16.1% 60.5% 80.8% 56.5% 10.4% -0.9% 6.7M -552.8M -17.3M 1.31 21.49 N/A N/A 556,155 730,515 4,059,870 4,850,745 2015-09-02 $16.47 $16.00 48.1% 13.5% 61.9% 59.6% 48.8% 9.4% -1.0% 28.4M -1.18B -17.3M 1.09 18.63 N/A N/A 583,170 633,855 4,117,860 4,911,120 2015-09-03 $16.41 $15.67 47.1% 13.1% 52.5% 56.4% 45.9% 9.0% -0.7% 27.0M -1.13B -17.1M 0.73 39.83 N/A N/A 945,870 690,015 4,188,300 5,037,750 2015-09-04 $16.19 $15.67 47.9% 13.3% 52.4% 58.8% 48.6% 9.8% -0.6% 530.2K -784.6M -17.1M 1.06 44.75 N/A N/A 828,825 878,955 4,366,410 5,159,010 2015-09-08 $16.54 $16.00 46.8% 13.0% 52.9% 55.3% 46.3% 8.2% -1.4% 29.8M -1.23B -16.6M 1.04 41.57 N/A N/A 409,305 425,790 3,929,580 4,790,010 2015-09-09 $16.59 $16.00 44.8% 12.8% 52.5% 49.4% 45.5% 7.4% 0.2% 35.4M -1.33B -16.3M 1.12 36.46 N/A N/A 475,530 530,895 3,993,345 4,878,570 2015-09-10 $16.57 $16.00 44.7% 12.6% 52.6% 49.0% 45.6% 7.6% -1.3% 29.4M -1.23B -16.2M 1.03 43.61 N/A N/A 555,630 574,275 4,057,230 4,980,435 2015-09-11 $16.67 $16.00 42.8% 12.2% 52.2% 43.2% 43.9% 7.1% -0.7% 39.6M -1.35B -16.0M 1.06 41.85 N/A N/A 583,590 616,530 4,099,530 5,090,850 2015-09-14 $16.84 $16.00 43.1% 12.3% 52.3% 44.1% 45.1% 7.0% -0.1% 33.7M -1.52B -15.5M 1.19 40.68 N/A N/A 407,925 487,320 3,866,775 4,790,505 2015-09-15 $16.90 $16.00 41.5% 11.9% 49.5% 39.3% 43.3% 6.6% -0.2% 37.7M -1.60B -15.6M 1.34 20.37 N/A N/A 330,345 443,370 3,969,390 4,915,680 2015-09-16 $17.49 $16.00 40.4% 11.6% 50.5% 35.8% 41.1% 6.9% -0.9% 79.3M -2.33B -15.1M 0.91 17.59 N/A N/A 786,240 717,630 4,011,765 4,983,405 2015-09-17 $17.49 $16.00 38.5% 11.1% 49.9% 29.7% 39.0% 5.7% -0.8% 82.7M -2.33B -15.4M 0.98 33.41 N/A N/A 567,675 553,950 4,119,870 5,118,990 2015-09-18 $17.37 $16.00 38.4% 11.1% 46.0% 29.6% 39.3% 5.2% -0.7% 60.3M -2.13B -15.2M 0.90 33.74 N/A N/A 846,480 764,730 4,159,200 5,205,840 2015-09-21 $17.62 $16.00 38.6% 11.2% 41.8% 30.1% 40.1% 6.1% 1.0% 39.9M -1.57B -15.3M 0.99 17.44 N/A N/A 1,033,365 1,024,665 3,036,855 3,999,525 2015-09-22 $17.23 $16.33 42.1% 12.4% 38.7% 41.1% 44.5% 6.6% 0.3% 15.8M -1.15B -15.9M 1.00 19.24 N/A N/A 482,790 481,665 3,296,985 4,319,340 2015-09-23 $17.42 $16.33 40.0% 11.8% 38.6% 34.6% 41.5% 6.0% 1.0% 23.6M -1.37B -15.4M 0.92 11.18 N/A N/A 434,280 399,765 3,371,460 4,447,440 2015-09-24 $17.52 $16.33 40.7% 11.9% 38.5% 36.7% 42.3% 6.2% 0.4% 35.6M -1.49B -15.6M 0.94 16.29 N/A N/A 619,875 585,150 3,411,360 4,499,175 2015-09-25 $17.15 $16.67 41.4% 12.1% 30.7% 38.8% 42.1% 5.6% -0.1% -13.2M -1.03B -15.6M 0.85 20.20 N/A N/A 941,385 798,105 3,492,525 4,627,365 2015-09-28 $16.59 $16.67 45.7% 13.7% 31.8% 52.0% 49.4% 7.3% 6.7% 3.6M -621.5M -15.4M 1.55 29.52 N/A N/A 563,850 873,510 3,221,970 4,299,045 2015-09-29 $16.45 $16.67 46.3% 13.7% 31.9% 54.0% 48.6% 8.7% 6.2% -8.6M -389.8M -15.6M 1.22 20.32 N/A N/A 525,480 643,245 3,327,930 4,585,965 2015-09-30 $16.58 $16.67 42.8% 12.4% 27.6% 43.2% 43.2% 8.4% 8.2% -9.2M -454.6M -15.6M 0.92 22.42 N/A N/A 732,675 671,715 3,439,965 4,715,460
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