TSLA Options History — December 2015 In December 2015, TSLA traded between $14.47 and $16.00. ATM implied volatility averaged 38.8%, placing in the 31.2% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 2.3% (HV 20d: 36.6%). Max pain ranged from $15.33 to $15.33. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.93.
Notable Days 2015-12-30 : Highest Volume — 1,375,935 contracts2015-12-11 : Largest IV spike — 14.7% change2015-12-11 : Highest IV Rank — 50.2%2015-12-11 : Largest Expected Move — 13.2%Monthly Statistics Metric Avg Min Max Open Close Price $15.34 $14.47 $16.00 $15.81 $16.00 Max Pain $15.33 $15.33 $15.33 $15.33 $15.33 ATM IV 38.8% 33.7% 44.9% 33.7% 38.6% Expected Move 11.5% 10.1% 13.2% 10.1% 11.9% HV 20d 36.6% 32.6% 48.3% 47.6% 32.8% HV 60d 44.1% 42.9% 45.3% 43.3% 44.3% IV Rank 31.2% 15.2% 50.2% 15.2% 30.5% IV Percentile 38.3% 12.3% 62.7% 12.3% 40.9% Term Structure 0.5% -1.3% 3.3% 2.5% 0.1% VWIV 41.2% 36.2% 48.1% 36.2% 42.1% Skew 25d 5.4% 4.5% 6.9% 4.8% 5.5% Skew 10d 10.8% 8.6% 15.0% 10.4% 10.8% Call IV 25d 36.8% 31.8% 42.4% 31.9% 36.8% Put IV 25d 42.2% 36.6% 49.3% 36.8% 42.3% Bid-Ask Spread % 18.45 8.79 25.77 9.13 17.36 Gamma HHI 0.06 0.04 0.27 0.05 0.27 Net GEX 9.2M -36.7M 78.0M 38.8M 78.0M Net DEX -343.7M -990.0M 729.2M -918.1M -990.0M Net VEX -12.1M -13.1M -11.0M -13.1M -11.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.93 0.70 1.50 0.79 0.78 Total Volume 891,327.273 567,570 1,375,935 1,266,270 1,127,760 Total OI 8,250,297.955 7,420,020 8,937,255 8,265,435 8,104,035
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 2015-12-01 $15.81 $15.33 33.7% 10.1% 47.6% 15.2% 36.2% 4.8% 2.5% 38.8M -918.1M -13.1M 0.79 9.13 N/A N/A 705,705 560,565 3,533,055 4,732,380 2015-12-02 $15.46 $15.33 34.9% 10.6% 48.3% 18.9% 37.9% 4.5% 3.0% 14.6M -488.4M -12.9M 0.89 8.79 N/A N/A 533,340 474,825 3,641,055 4,877,445 2015-12-03 $15.52 $15.33 35.6% 10.8% 36.4% 21.0% 38.2% 4.7% 2.3% 13.5M -536.5M -12.8M 0.78 18.82 N/A N/A 520,680 403,890 3,697,545 4,950,420 2015-12-04 $15.36 $15.33 35.0% 10.8% 36.6% 19.1% 38.2% 4.8% 3.3% -19.6M -331.0M -12.8M 0.83 17.40 N/A N/A 569,610 474,765 3,758,100 5,004,060 2015-12-07 $15.41 $15.33 38.5% 11.5% 36.6% 30.2% 39.8% 5.4% 0.9% 12.4M -413.9M -12.4M 0.73 12.67 N/A N/A 559,125 406,335 3,512,700 4,709,070 2015-12-08 $15.09 $15.33 39.3% 11.7% 35.7% 32.6% 41.7% 5.2% 1.0% -7.1M -38.1M -12.5M 0.91 23.21 N/A N/A 377,715 344,055 3,612,660 4,821,135 2015-12-09 $14.96 $15.33 40.7% 11.8% 32.6% 36.9% 42.5% 5.6% 0.6% -19.1M 137.4M -12.4M 1.01 24.98 N/A N/A 401,160 404,445 3,656,715 4,875,570 2015-12-10 $15.11 $15.33 39.2% 11.6% 32.8% 32.2% 41.7% 5.4% 1.5% -11.5M -69.7M -12.1M 1.11 18.12 N/A N/A 337,170 373,980 3,692,475 4,943,715 2015-12-11 $14.47 $15.33 44.9% 13.2% 35.9% 50.2% 48.1% 6.8% 1.6% -36.7M 729.2M -11.9M 1.35 23.77 N/A N/A 505,905 683,160 3,726,990 5,035,230 2015-12-14 $14.53 $15.33 44.9% 12.9% 34.3% 50.1% 46.8% 6.9% -0.9% -28.4M 459.4M -11.9M 1.03 25.77 N/A N/A 284,475 294,075 3,514,335 4,826,130 2015-12-15 $14.75 $15.33 43.2% 12.4% 32.6% 44.8% 43.9% 6.6% -1.3% -19.8M 253.0M -11.8M 1.22 19.45 N/A N/A 258,555 315,240 3,556,770 4,869,870 2015-12-16 $15.65 $15.33 41.6% 11.9% 38.5% 39.7% 42.7% 6.5% -1.0% 30.7M -745.2M -12.1M 0.81 25.02 N/A N/A 667,365 542,220 3,609,090 4,945,305 2015-12-17 $15.58 $15.33 40.2% 11.6% 37.2% 35.5% 41.3% 5.6% -0.7% 37.4M -733.6M -12.0M 0.89 16.92 N/A N/A 588,945 525,015 3,708,135 5,042,085 2015-12-18 $15.35 $15.33 41.0% 11.9% 37.7% 38.0% 41.9% 5.5% -1.0% 7.7M -437.7M -12.3M 0.79 19.10 N/A N/A 622,455 488,985 3,795,510 5,141,745 2015-12-21 $15.49 $15.33 39.3% 11.6% 37.7% 32.5% 40.9% 5.6% 0.0% 13.8M -464.2M -12.1M 0.76 19.34 N/A N/A 392,745 300,120 3,152,490 4,267,530 2015-12-22 $15.34 $15.33 38.8% 11.4% 37.6% 31.2% 40.5% 5.2% -0.5% 7.6M -312.6M -11.8M 1.05 17.03 N/A N/A 324,555 341,910 3,253,185 4,353,975 2015-12-23 $15.30 $15.33 36.6% 10.8% 37.7% 24.1% 39.1% 4.8% -0.1% -1.5M -269.7M -11.6M 0.86 19.61 N/A N/A 313,740 270,330 3,330,720 4,438,920 2015-12-24 $15.37 $15.33 36.5% 10.9% 33.2% 24.1% 42.3% 4.7% -0.0% 6.0M -364.5M -11.4M 1.50 22.16 N/A N/A 237,660 355,515 3,371,625 4,506,480 2015-12-28 $15.27 $15.33 37.1% 11.3% 33.1% 25.9% 39.6% 5.0% 0.4% 4.0M -267.0M -11.0M 0.88 16.84 N/A N/A 302,130 265,440 3,156,615 4,313,070 2015-12-29 $15.81 $15.33 37.2% 11.4% 35.4% 26.1% 41.1% 4.9% 0.1% 35.3M -811.7M -11.5M 0.84 14.28 N/A N/A 421,605 355,995 3,274,785 4,384,875 2015-12-30 $15.89 $15.33 37.7% 11.5% 33.8% 27.7% 40.6% 4.8% -0.2% 47.1M -948.9M -11.4M 0.70 16.05 N/A N/A 810,060 565,875 3,338,760 4,470,195 2015-12-31 $16.00 $15.33 38.6% 11.9% 32.8% 30.5% 42.1% 5.5% 0.1% 78.0M -990.0M -11.8M 0.78 17.36 N/A N/A 633,150 494,610 3,456,630 4,647,405
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