TSLA Options History — October 2015 In October 2015, TSLA traded between $13.70 and $16.48. ATM implied volatility averaged 51.4%, placing in the 70.1% IV rank vs the trailing year. The 30-day expected move averaged 14.7%. IV traded above realized volatility by 12.5% (HV 20d: 38.9%). Max pain ranged from $14.67 to $16.50. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 1.02.
Notable Days 2015-10-16 : Highest Volume — 2,075,775 contracts2015-10-20 : Largest IV spike — 21.9% change2015-10-20 : Highest IV Rank — 97.9%2015-10-20 : Largest Expected Move — 17.1%Monthly Statistics Metric Avg Min Max Open Close Price $14.78 $13.70 $16.48 $16.02 $13.84 Max Pain $15.45 $14.67 $16.50 $16.50 $14.67 ATM IV 51.4% 45.7% 60.3% 45.7% 50.6% Expected Move 14.7% 12.2% 17.1% 13.1% 16.0% HV 20d 38.9% 27.4% 50.8% 27.4% 48.4% HV 60d 46.2% 44.1% 48.4% 44.8% 44.3% IV Rank 70.1% 52.2% 97.9% 52.2% 67.8% IV Percentile 86.4% 65.9% 99.6% 65.9% 86.5% Term Structure -1.1% -3.0% 9.5% 7.5% -1.9% VWIV 51.8% 44.0% 59.7% 46.2% 55.6% Skew 25d 8.5% 6.6% 10.7% 8.7% 9.3% Skew 10d 16.0% 8.7% 18.9% 18.0% 18.1% Call IV 25d 47.7% 39.7% 55.1% 40.4% 47.5% Put IV 25d 56.2% 47.3% 65.8% 49.1% 56.8% Bid-Ask Spread % 32.75 15.68 40.69 15.68 20.82 Gamma HHI 0.06 0.03 0.17 0.04 0.17 Net GEX -20.1M -60.4M 23.4M -30.9M -45.2M Net DEX 535.2M -563.7M 1.07B 134.0M 909.2M Net VEX -13.8M -15.7M -12.7M -15.1M -12.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.02 0.80 1.28 1.06 1.13 Total Volume 1,316,837.045 620,370 2,075,775 989,940 1,664,940 Total OI 8,450,417.727 7,581,285 9,148,635 8,485,095 8,579,940
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 2015-10-01 $16.02 $16.50 45.7% 13.1% 27.4% 52.2% 46.2% 8.7% 7.5% -30.9M 134.0M -15.1M 1.06 15.68 N/A N/A 479,475 510,465 3,620,655 4,864,440 2015-10-02 $16.48 $16.50 46.1% 12.2% 29.3% 53.5% 44.0% 7.6% 9.5% 6.1M -516.7M -15.7M 1.04 27.45 N/A N/A 911,475 950,955 3,789,045 4,988,955 2015-10-05 $16.41 $16.33 48.6% 13.7% 28.9% 61.1% 48.7% 7.4% -1.4% 4.0M -563.7M -15.4M 0.80 40.69 N/A N/A 533,535 428,130 3,401,820 4,569,465 2015-10-06 $16.09 $16.00 49.0% 13.7% 28.7% 62.4% 48.8% 7.9% -1.8% -13.2M -190.9M -15.2M 1.01 36.88 N/A N/A 704,985 711,960 3,522,915 4,692,480 2015-10-07 $15.43 $16.00 50.8% 13.9% 32.0% 67.9% 50.1% 7.6% -1.5% -36.9M 491.9M -14.7M 1.09 36.49 N/A N/A 919,380 1,000,665 3,616,110 4,799,475 2015-10-08 $15.11 $16.00 51.3% 14.0% 32.6% 69.4% 48.9% 8.8% -1.8% -48.6M 864.3M -14.3M 0.88 36.47 N/A N/A 1,061,430 935,955 3,780,780 4,939,455 2015-10-09 $14.82 $16.00 53.9% 14.7% 32.7% 77.4% 50.9% 9.2% -2.1% -60.4M 1.07B -14.1M 1.05 36.05 N/A N/A 817,470 862,305 3,960,450 5,023,080 2015-10-12 $14.37 $15.33 54.4% 14.8% 33.3% 78.8% 52.0% 8.9% -2.0% -33.8M 1.04B -13.7M 1.02 32.54 N/A N/A 529,050 540,795 3,613,470 4,737,840 2015-10-13 $14.61 $15.33 53.2% 14.4% 34.2% 75.1% 51.0% 8.2% -2.3% -26.1M 829.0M -14.0M 0.98 34.79 N/A N/A 678,570 668,310 3,759,060 4,869,390 2015-10-14 $14.45 $15.33 52.6% 14.5% 30.5% 73.4% 49.8% 7.6% -2.0% -35.8M 990.1M -13.7M 0.84 35.32 N/A N/A 486,720 410,055 3,881,310 5,004,165 2015-10-15 $14.72 $15.33 51.6% 14.3% 31.9% 70.3% 50.4% 7.5% -2.3% -16.1M 709.3M -13.6M 1.10 34.01 N/A N/A 491,700 539,340 3,920,895 5,027,460 2015-10-16 $15.15 $15.33 50.0% 14.0% 34.6% 65.9% 50.4% 6.6% -1.8% 23.4M 122.3M -14.0M 0.87 34.37 N/A N/A 1,108,845 966,930 3,999,765 5,148,870 2015-10-19 $15.20 $15.33 49.4% 14.0% 33.9% 64.2% 50.1% 7.2% -2.3% 2.1M -62.2M -13.6M 0.96 35.56 N/A N/A 434,730 415,455 3,219,450 4,361,835 2015-10-20 $13.70 $15.33 60.3% 17.1% 48.1% 97.9% 59.7% 10.7% -2.7% -25.3M 1.06B -12.7M 1.13 40.54 N/A N/A 910,785 1,033,020 3,287,130 4,451,790 2015-10-21 $14.00 $15.33 55.5% 15.9% 48.9% 83.2% 56.7% 10.1% -3.0% -24.1M 863.7M -13.1M 1.28 38.79 N/A N/A 579,795 741,840 3,613,545 4,755,855 2015-10-22 $14.14 $15.17 53.1% 15.4% 49.1% 75.5% 53.2% 9.7% -3.0% -23.2M 750.9M -13.3M 1.18 33.29 N/A N/A 561,795 664,440 3,673,635 4,879,800 2015-10-23 $13.94 $15.00 52.7% 15.4% 49.0% 74.2% 53.3% 10.0% -3.0% -18.2M 1.00B -13.0M 1.09 33.36 N/A N/A 681,615 746,265 3,773,850 4,993,575 2015-10-26 $14.38 $14.67 50.2% 15.2% 50.3% 66.5% 53.5% 9.2% -1.6% -8.8M 434.8M -13.4M 0.85 30.25 N/A N/A 467,910 397,590 3,374,565 4,527,210 2015-10-27 $14.03 $15.00 51.8% 16.0% 50.7% 71.5% 55.7% 8.7% -1.4% -17.4M 707.4M -13.1M 0.85 30.15 N/A N/A 575,700 489,315 3,461,805 4,629,405 2015-10-28 $14.19 $14.67 50.6% 15.8% 50.8% 68.0% 54.9% 8.6% -1.8% -6.3M 546.4M -13.1M 1.14 33.10 N/A N/A 343,620 392,730 3,641,130 4,696,635 2015-10-29 $14.14 $14.67 49.8% 15.5% 49.9% 65.3% 55.2% 8.0% -1.9% -8.1M 584.3M -13.1M 0.97 23.92 N/A N/A 315,135 305,235 3,700,965 4,755,720 2015-10-30 $13.84 $14.67 50.6% 16.0% 48.4% 67.8% 55.6% 9.3% -1.9% -45.2M 909.2M -12.8M 1.13 20.82 N/A N/A 782,400 882,540 3,761,775 4,818,165
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