TSLA Options History — February 2016

In February 2016, TSLA traded between $9.60 and $13.12. ATM implied volatility averaged 62.6%, placing in the 64.4% IV rank vs the trailing year. The 30-day expected move averaged 18.0%. IV traded above realized volatility by 3.4% (HV 20d: 59.2%). Max pain ranged from $13.00 to $14.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.13.

Notable Days

2016-02-05: Highest Volume — 2,922,090 contracts
2016-02-11: Largest IV drop — 28.2% change
2016-02-02: Highest IV Rank — 100.0%
2016-02-10: Largest Expected Move — 24.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.31	$9.60	$13.12	$13.12	$12.79
Max Pain	$13.42	$13.00	$14.00	$13.67	$13.33
ATM IV	62.6%	51.3%	91.7%	58.6%	56.0%
Expected Move	18.0%	14.7%	24.7%	19.2%	14.9%
HV 20d	59.2%	39.0%	73.2%	39.1%	73.2%
HV 60d	46.8%	39.2%	51.5%	41.1%	51.0%
IV Rank	64.4%	35.7%	100.0%	92.8%	43.2%
IV Percentile	93.5%	84.1%	100.0%	98.8%	91.3%
Term Structure	-0.5%	-5.0%	6.1%	-2.1%	-0.1%
VWIV	63.2%	52.0%	85.3%	67.4%	53.2%
Skew 25d	8.5%	6.1%	13.0%	7.2%	6.4%
Skew 10d	18.0%	12.8%	27.0%	13.7%	16.3%
Call IV 25d	59.1%	48.7%	85.9%	54.9%	54.7%
Put IV 25d	67.6%	56.0%	98.1%	62.1%	61.1%
Bid-Ask Spread %	28.27	9.17	50.09	16.32	34.20
Gamma HHI	0.07	0.03	0.26	0.04	0.04
Net GEX	-8.0M	-25.4M	37.6M	-8.0M	8.7M
Net DEX	795.6M	-486.8M	1.69B	399.7M	-312.9M
Net VEX	-11.7M	-14.2M	-9.8M	-11.8M	-14.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.13	0.82	1.83	0.85	0.95
Total Volume	1,667,412	1,097,370	2,922,090	1,295,910	1,194,810
Total OI	7,697,669.25	5,809,140	9,660,015	5,809,140	7,725,855

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
2016-02-01	$13.12	$13.67	58.6%	19.2%	39.1%	92.8%	67.4%	7.2%	-2.1%	-8.0M	399.7M	-11.8M	0.85	16.32	N/A	N/A	700,695	595,215	2,513,355	3,295,785
2016-02-02	$12.20	$13.33	66.8%	22.6%	39.0%	100.0%	77.4%	7.9%	-3.4%	-18.7M	898.9M	-11.3M	0.93	48.46	N/A	N/A	722,520	669,870	2,695,410	3,452,145
2016-02-03	$11.57	$13.33	68.2%	23.6%	41.6%	100.0%	80.8%	6.9%	-3.5%	-23.2M	1.24B	-10.8M	0.86	50.09	N/A	N/A	917,265	791,850	2,904,480	3,589,095
2016-02-04	$11.68	$14.00	64.6%	17.4%	42.1%	91.1%	61.1%	6.1%	-3.2%	-19.8M	1.14B	-11.3M	1.16	27.89	N/A	N/A	597,675	693,015	3,181,785	3,772,650
2016-02-05	$10.85	$14.00	73.9%	19.4%	47.6%	100.0%	68.3%	10.3%	-4.2%	-22.9M	1.65B	-10.5M	1.19	30.23	N/A	N/A	1,332,015	1,590,075	3,279,990	3,956,550
2016-02-08	$9.92	$14.00	81.5%	21.9%	54.7%	100.0%	76.4%	12.3%	-3.8%	-16.8M	1.55B	-9.8M	1.63	33.00	N/A	N/A	731,190	1,193,385	3,120,720	3,890,895
2016-02-09	$9.91	$13.67	84.0%	22.6%	55.0%	100.0%	75.7%	13.0%	-3.9%	-17.1M	1.61B	-10.4M	1.83	32.70	N/A	N/A	594,345	1,087,275	3,449,985	4,388,805
2016-02-10	$9.60	$13.33	91.7%	24.7%	54.5%	100.0%	85.3%	12.2%	-5.0%	-16.7M	1.69B	-10.3M	1.49	36.35	N/A	N/A	1,164,255	1,737,075	3,624,300	4,613,055
2016-02-11	$10.07	$13.33	65.9%	18.7%	58.5%	58.9%	64.4%	10.6%	-0.5%	-18.4M	1.49B	-10.9M	1.21	21.40	N/A	N/A	1,196,610	1,448,175	4,119,900	5,264,565
2016-02-12	$10.07	$13.33	60.6%	17.4%	56.6%	50.5%	61.0%	9.3%	-0.1%	-25.4M	1.52B	-10.9M	0.99	20.24	N/A	N/A	1,211,370	1,205,310	4,295,625	5,364,390
2016-02-16	$10.32	$13.33	54.6%	15.6%	58.4%	41.0%	55.4%	8.5%	-0.6%	-14.6M	1.26B	-10.7M	1.10	19.76	N/A	N/A	523,380	573,990	3,783,345	4,396,230
2016-02-17	$11.24	$13.33	52.4%	15.0%	68.1%	37.5%	55.6%	8.6%	0.5%	-4.8M	674.1M	-11.9M	0.82	9.17	N/A	N/A	866,610	713,910	3,816,195	4,492,800
2016-02-18	$11.10	$13.33	52.5%	15.1%	67.6%	37.7%	53.4%	8.0%	-1.1%	-6.3M	786.0M	-11.7M	1.26	17.27	N/A	N/A	518,955	655,755	3,917,595	4,607,445
2016-02-19	$11.11	$13.33	51.3%	14.9%	67.4%	35.7%	52.0%	7.7%	-1.4%	-19.7M	822.1M	-11.5M	0.96	16.38	N/A	N/A	658,095	630,945	3,959,910	4,683,765
2016-02-22	$11.83	$13.33	52.6%	15.4%	71.9%	37.8%	55.7%	7.2%	2.3%	2.9M	154.1M	-12.6M	0.91	24.05	N/A	N/A	622,635	569,070	3,358,755	3,568,350
2016-02-23	$11.82	$13.00	54.9%	16.2%	71.5%	41.6%	57.5%	6.8%	3.7%	4.4M	116.2M	-13.1M	1.03	30.47	N/A	N/A	550,500	567,180	3,535,620	3,749,415
2016-02-24	$11.91	$13.00	55.6%	16.1%	71.4%	42.6%	57.0%	6.9%	4.8%	2.7M	85.2M	-13.3M	1.47	31.15	N/A	N/A	454,680	670,260	3,712,110	3,914,910
2016-02-25	$12.47	$13.00	53.4%	15.2%	73.0%	39.1%	53.7%	7.7%	5.2%	15.8M	-367.6M	-13.7M	0.98	35.13	N/A	N/A	770,985	752,160	3,791,115	4,021,050
2016-02-26	$12.69	$13.33	53.3%	14.7%	73.2%	38.9%	53.1%	6.7%	6.1%	37.6M	-486.8M	-14.2M	0.99	31.07	N/A	N/A	944,460	930,675	3,907,050	4,238,385
2016-02-29	$12.79	$13.33	56.0%	14.9%	73.2%	43.2%	53.2%	6.4%	-0.1%	8.7M	-312.9M	-14.1M	0.95	34.20	N/A	N/A	613,920	580,890	3,765,045	3,960,810