TSLA Options History — November 2015 In November 2015, TSLA traded between $13.81 and $15.49. ATM implied volatility averaged 38.0%, placing in the 28.7% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded below realized volatility by 14.6% (HV 20d: 52.6%). Max pain ranged from $14.67 to $15.67. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.04.
Notable Days 2015-11-04 : Highest Volume — 3,029,475 contracts2015-11-04 : Largest IV drop — 30.7% change2015-11-03 : Highest IV Rank — 71.0%2015-11-03 : Largest Expected Move — 17.7%Monthly Statistics Metric Avg Min Max Open Close Price $14.72 $13.81 $15.49 $14.22 $15.35 Max Pain $15.32 $14.67 $15.67 $14.67 $15.33 ATM IV 38.0% 34.3% 51.6% 51.1% 34.8% Expected Move 11.3% 10.0% 17.7% 17.0% 10.4% HV 20d 52.6% 45.2% 60.0% 50.1% 47.5% HV 60d 45.9% 42.9% 48.6% 44.7% 42.9% IV Rank 28.7% 17.0% 71.0% 69.5% 18.5% IV Percentile 32.7% 15.5% 92.1% 90.1% 15.5% Term Structure -0.2% -2.3% 2.3% -1.9% 2.3% VWIV 40.1% 35.2% 61.5% 59.9% 37.7% Skew 25d 5.3% 4.2% 8.6% 8.2% 4.8% Skew 10d 10.7% 8.2% 16.8% 16.8% 10.8% Call IV 25d 36.0% 32.7% 47.1% 46.6% 33.0% Put IV 25d 41.3% 37.5% 55.7% 54.8% 37.8% Bid-Ask Spread % 16.81 5.77 32.12 21.48 8.29 Gamma HHI 0.07 0.04 0.31 0.04 0.05 Net GEX 6.6M -58.8M 95.4M -6.9M 16.9M Net DEX 71.8M -905.3M 1.30B 411.2M -409.7M Net VEX -12.9M -13.8M -12.1M -13.1M -13.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.04 0.76 1.47 1.10 0.85 Total Volume 1,273,323 650,145 3,029,475 1,063,965 650,145 Total OI 8,751,738.75 7,924,470 9,876,300 8,107,950 8,084,505
Daily Data (20 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 2015-11-02 $14.22 $14.67 51.1% 17.0% 50.1% 69.5% 59.9% 8.2% -1.9% -6.9M 411.2M -13.1M 1.10 21.48 N/A N/A 506,520 557,445 3,540,870 4,567,080 2015-11-03 $14.08 $14.67 51.6% 17.7% 49.9% 71.0% 61.5% 8.6% -2.3% -10.6M 521.3M -13.1M 1.09 32.11 N/A N/A 695,340 758,205 3,687,270 4,767,690 2015-11-04 $15.40 $14.67 35.8% 10.6% 58.7% 21.7% 38.7% 5.3% 0.1% 57.7M -900.4M -13.8M 1.01 5.77 N/A N/A 1,506,540 1,522,935 4,124,400 5,313,375 2015-11-05 $15.46 $15.67 34.4% 10.1% 58.1% 17.4% 36.1% 5.6% 0.6% 61.0M -905.3M -13.5M 0.99 15.10 N/A N/A 702,555 698,940 4,228,440 5,529,885 2015-11-06 $15.49 $15.67 34.3% 10.0% 57.6% 17.0% 35.2% 4.9% -0.0% 95.4M -898.1M -13.4M 0.86 28.56 N/A N/A 694,560 600,735 4,262,235 5,614,065 2015-11-09 $15.02 $15.67 37.1% 10.6% 57.6% 25.8% 37.5% 4.6% -0.0% -2.6M -61.1M -13.2M 1.31 24.95 N/A N/A 458,730 602,595 3,636,270 4,804,995 2015-11-10 $14.43 $15.67 38.1% 10.9% 59.3% 28.7% 38.9% 4.5% -0.0% -34.1M 603.7M -12.8M 1.20 19.14 N/A N/A 732,090 880,425 3,729,990 4,986,210 2015-11-11 $14.44 $15.67 37.8% 11.0% 59.1% 27.9% 39.0% 4.5% 0.4% -23.0M 532.8M -13.0M 1.47 32.12 N/A N/A 296,445 434,370 3,840,195 5,041,185 2015-11-12 $14.19 $15.33 37.0% 10.5% 59.0% 25.4% 37.7% 5.0% -0.1% -38.6M 817.3M -12.4M 0.86 19.43 N/A N/A 563,190 486,405 3,942,345 5,108,460 2015-11-13 $13.81 $15.33 39.7% 11.5% 58.5% 33.8% 40.1% 5.1% 0.9% -58.8M 1.30B -12.1M 1.32 14.51 N/A N/A 774,000 1,024,530 4,037,220 5,163,495 2015-11-16 $14.29 $15.33 38.6% 11.1% 60.0% 30.6% 39.5% 5.4% -1.0% -14.8M 531.3M -12.4M 1.21 15.47 N/A N/A 403,350 487,350 3,701,415 4,901,685 2015-11-17 $14.27 $15.33 38.0% 10.9% 46.8% 28.4% 38.7% 5.1% -0.7% -13.1M 523.7M -12.5M 0.92 19.77 N/A N/A 364,920 336,285 3,757,800 4,963,350 2015-11-18 $14.74 $15.33 36.2% 10.4% 47.5% 22.9% 36.8% 5.1% -0.5% 17.5M -23.7M -12.6M 0.78 12.69 N/A N/A 596,340 465,960 3,811,380 4,992,990 2015-11-19 $14.79 $15.33 36.5% 10.5% 47.4% 23.9% 38.4% 5.6% -1.1% 25.7M -59.7M -12.9M 0.84 12.80 N/A N/A 653,820 550,875 3,838,290 5,029,035 2015-11-20 $14.68 $15.33 37.5% 10.9% 47.2% 27.1% 39.3% 5.3% -0.9% 22.7M 125.3M -12.8M 1.39 20.07 N/A N/A 872,835 1,216,860 3,893,310 5,166,705 2015-11-23 $14.52 $15.33 36.1% 10.5% 46.2% 22.5% 37.5% 4.9% 0.1% -16.9M 337.1M -12.8M 0.93 5.79 N/A N/A 389,280 361,755 3,330,450 4,594,020 2015-11-24 $14.55 $15.33 35.4% 10.3% 45.2% 20.4% 36.2% 4.5% 0.2% -15.1M 285.7M -12.6M 0.97 10.95 N/A N/A 353,100 342,675 3,432,660 4,693,920 2015-11-25 $15.30 $15.33 35.6% 10.4% 48.3% 21.0% 37.3% 4.2% -0.0% 31.4M -556.1M -13.3M 0.86 6.86 N/A N/A 1,008,060 863,445 3,492,525 4,764,525 2015-11-27 $15.44 $15.33 35.3% 10.3% 48.2% 20.3% 37.1% 4.3% -0.1% 38.9M -739.4M -13.3M 0.76 10.33 N/A N/A 597,990 454,860 3,659,850 5,000,685 2015-11-30 $15.35 $15.33 34.8% 10.4% 47.5% 18.5% 37.7% 4.8% 2.3% 16.9M -409.7M -13.0M 0.85 8.29 N/A N/A 351,660 298,485 3,448,545 4,635,960
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