TSLA Options History — March 2016 In March 2016, TSLA traded between $12.40 and $15.93. ATM implied volatility averaged 54.6%, placing in the 41.0% IV rank vs the trailing year. The 30-day expected move averaged 15.8%. IV traded above realized volatility by 8.6% (HV 20d: 46.0%). Max pain ranged from $12.33 to $14.67. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 1.00.
Notable Days 2016-03-24 : Highest Volume — 2,700,930 contracts2016-03-04 : Largest IV drop — 8.0% change2016-03-09 : Highest IV Rank — 53.3%2016-03-31 : Largest Expected Move — 17.9%Monthly Statistics Metric Avg Min Max Open Close Price $14.40 $12.40 $15.93 $12.40 $15.33 Max Pain $13.79 $12.33 $14.67 $13.33 $14.67 ATM IV 54.6% 49.4% 62.3% 59.1% 53.7% Expected Move 15.8% 14.7% 17.9% 15.9% 17.9% HV 20d 46.0% 31.2% 73.2% 73.2% 36.9% HV 60d 52.3% 51.1% 53.6% 51.2% 51.1% IV Rank 41.0% 32.7% 53.3% 48.1% 39.6% IV Percentile 82.7% 65.9% 96.8% 95.2% 82.9% Term Structure 0.2% -2.7% 8.7% -0.1% 6.9% VWIV 56.0% 52.3% 62.6% 55.9% 62.6% Skew 25d 6.4% 5.0% 8.0% 7.5% 6.7% Skew 10d 13.0% 6.7% 22.5% 13.4% 11.6% Call IV 25d 52.3% 47.1% 59.5% 57.2% 50.2% Put IV 25d 58.8% 53.1% 66.5% 64.7% 56.9% Bid-Ask Spread % 27.52 13.87 43.26 43.26 25.40 Gamma HHI 0.07 0.04 0.25 0.04 0.05 Net GEX 30.7M -47.2K 86.1M 2.9M 34.0M Net DEX -1.35B -3.05B 77.1M 77.1M -1.48B Net VEX -15.4M -16.6M -13.7M -13.7M -16.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.00 0.54 1.50 1.46 0.83 Total Volume 1,629,192.955 923,520 2,700,930 1,783,665 2,290,665 Total OI 8,861,432.045 7,152,720 10,156,020 8,084,100 8,768,340
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 2016-03-01 $12.40 $13.33 59.1% 15.9% 73.2% 48.1% 55.9% 7.5% -0.1% 2.9M 77.1M -13.7M 1.46 43.26 N/A N/A 723,960 1,059,705 3,960,705 4,123,395 2016-03-02 $12.54 $13.33 57.7% 14.8% 68.5% 46.0% 52.3% 8.0% 0.3% 1.6M 22.1M -14.0M 1.21 38.24 N/A N/A 597,615 722,145 4,136,970 4,407,255 2016-03-03 $13.02 $12.33 60.9% 17.0% 66.4% 51.1% 60.0% 7.2% -2.0% 29.1M -641.6M -14.9M 1.06 29.56 N/A N/A 792,405 837,360 4,299,240 4,519,830 2016-03-04 $13.40 $12.67 56.0% 15.7% 67.0% 43.3% 55.6% 5.3% -1.1% 49.4M -1.14B -14.5M 1.00 33.05 N/A N/A 1,182,285 1,184,010 4,365,210 4,745,025 2016-03-07 $13.69 $13.00 60.2% 16.6% 60.0% 49.9% 58.6% 6.5% -1.2% 23.8M -1.10B -15.2M 0.93 28.64 N/A N/A 821,910 762,540 4,169,655 4,478,400 2016-03-08 $13.50 $13.33 61.7% 17.0% 47.7% 52.3% 60.2% 7.3% -1.5% 16.3M -800.2M -15.3M 1.50 31.72 N/A N/A 576,165 863,655 4,345,185 4,716,480 2016-03-09 $13.90 $13.33 62.3% 17.2% 47.5% 53.3% 61.1% 7.0% -2.7% 27.9M -1.21B -15.8M 1.11 26.49 N/A N/A 619,245 687,165 4,461,615 5,018,040 2016-03-10 $13.64 $13.67 58.3% 16.2% 45.9% 46.9% 55.7% 7.4% -1.4% 12.4M -814.6M -15.4M 0.79 26.91 N/A N/A 1,113,495 882,795 4,540,050 5,192,010 2016-03-11 $13.84 $13.67 55.0% 15.4% 44.5% 41.6% 54.8% 6.5% -2.0% 7.4M -1.16B -15.3M 0.98 27.22 N/A N/A 640,890 627,600 4,726,035 5,347,425 2016-03-14 $14.33 $13.67 56.5% 16.0% 44.5% 43.9% 55.8% 6.7% -1.3% 33.7M -1.65B -15.3M 0.54 24.00 N/A N/A 926,235 495,915 4,319,490 4,971,945 2016-03-15 $14.57 $13.67 52.8% 15.1% 44.4% 38.2% 54.4% 6.1% -1.6% 48.9M -2.02B -15.3M 0.87 19.32 N/A N/A 541,305 472,290 4,519,800 5,117,940 2016-03-16 $14.78 $13.67 52.1% 14.9% 36.4% 37.0% 52.9% 5.5% -1.4% 57.2M -2.13B -15.2M 0.87 18.62 N/A N/A 696,825 607,785 4,449,150 5,200,635 2016-03-17 $14.97 $13.67 51.2% 14.7% 35.0% 35.6% 52.3% 5.0% -1.5% 57.6M -2.38B -15.3M 1.14 17.55 N/A N/A 465,075 527,850 4,486,665 5,330,625 2016-03-18 $15.49 $13.67 51.2% 14.9% 35.3% 35.6% 53.0% 5.4% -2.6% 86.1M -3.05B -15.7M 0.74 13.87 N/A N/A 1,485,105 1,097,070 4,589,595 5,566,425 2016-03-21 $15.93 $14.00 50.4% 14.9% 31.2% 34.3% 53.8% 5.4% -1.4% 51.2M -2.28B -15.7M 0.81 29.05 N/A N/A 843,495 686,055 3,471,975 3,680,745 2016-03-22 $15.65 $14.33 49.4% 14.8% 33.0% 32.7% 52.5% 5.6% -1.3% 43.1M -1.88B -16.2M 1.23 31.49 N/A N/A 787,245 969,690 3,730,185 4,041,285 2016-03-23 $14.85 $14.67 51.3% 15.6% 40.5% 35.7% 54.8% 6.7% -1.3% -47.2K -769.5M -15.9M 1.18 29.81 N/A N/A 1,042,095 1,230,510 3,874,155 4,268,400 2016-03-24 $15.18 $14.67 50.2% 15.2% 38.7% 34.0% 54.4% 5.7% -1.5% 12.5M -1.21B -16.4M 1.13 26.71 N/A N/A 1,268,865 1,432,065 4,094,130 4,497,720 2016-03-28 $15.38 $14.67 50.7% 15.9% 38.6% 34.9% 57.1% 8.0% 7.3% 28.8M -1.48B -16.1M 0.98 29.93 N/A N/A 578,910 565,035 3,701,490 4,134,675 2016-03-29 $15.32 $14.67 49.8% 15.7% 38.9% 33.4% 55.6% 5.8% 8.7% 27.0M -1.42B -16.2M 0.82 26.97 N/A N/A 508,530 414,990 3,838,875 4,347,735 2016-03-30 $15.12 $14.67 50.2% 16.5% 36.9% 34.0% 58.0% 6.5% 6.7% 24.9M -1.25B -15.8M 0.76 27.70 N/A N/A 687,870 525,825 3,959,895 4,437,105 2016-03-31 $15.33 $14.67 53.7% 17.9% 36.9% 39.6% 62.6% 6.7% 6.9% 34.0M -1.48B -16.6M 0.83 25.40 N/A N/A 1,254,975 1,035,690 4,184,250 4,584,090
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