TSLA Options History — May 2016 In May 2016, TSLA traded between $13.82 and $16.14. ATM implied volatility averaged 41.9%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 7.8% (HV 20d: 34.1%). Max pain ranged from $14.33 to $16.67. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.98.
Notable Days 2016-05-05 : Highest Volume — 3,508,200 contracts2016-05-05 : Largest IV drop — 17.5% change2016-05-04 : Highest IV Rank — 42.9%2016-05-04 : Largest Expected Move — 19.2%Monthly Statistics Metric Avg Min Max Open Close Price $14.45 $13.82 $16.14 $16.14 $14.88 Max Pain $14.72 $14.33 $16.67 $16.67 $14.50 ATM IV 41.9% 35.3% 55.8% 51.2% 36.3% Expected Move 12.3% 9.7% 19.2% 16.8% 10.0% HV 20d 34.1% 32.1% 36.4% 32.6% 35.2% HV 60d 40.3% 35.9% 47.9% 47.9% 35.9% IV Rank 20.8% 10.3% 42.9% 35.5% 11.9% IV Percentile 38.2% 11.1% 85.7% 66.7% 14.3% Term Structure 0.1% -2.3% 1.6% -1.5% -0.7% VWIV 44.1% 34.4% 66.9% 59.5% 36.1% Skew 25d 4.4% 3.2% 6.6% 5.9% 3.8% Skew 10d 8.7% 6.3% 12.8% 12.8% 8.5% Call IV 25d 40.4% 33.7% 53.7% 48.3% 34.8% Put IV 25d 44.8% 36.8% 60.2% 54.1% 38.6% Bid-Ask Spread % 25.39 13.43 35.97 28.38 21.90 Gamma HHI 0.08 0.03 0.63 0.04 0.06 Net GEX 9.4M -40.6M 198.4M 17.0M 26.0M Net DEX -41.0M -1.12B 820.2M -1.12B -742.7M Net VEX -15.7M -17.0M -15.0M -17.0M -15.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.98 0.71 1.29 0.78 1.10 Total Volume 1,478,003.571 316,410 3,508,200 851,895 761,025 Total OI 9,348,442.857 8,172,435 10,425,435 8,172,435 8,846,340
Daily Data (21 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 2016-05-02 $16.14 $16.67 51.2% 16.8% 32.6% 35.5% 59.5% 5.9% -1.5% 17.0M -1.12B -17.0M 0.78 28.38 N/A N/A 477,930 373,965 4,040,655 4,131,780 2016-05-03 $15.49 $16.67 53.6% 18.1% 33.0% 39.4% 63.3% 5.4% -2.3% 8.1M -612.8M -16.7M 1.08 20.86 N/A N/A 480,360 516,795 4,164,405 4,243,515 2016-05-04 $14.81 $16.67 55.8% 19.2% 32.1% 42.9% 66.9% 6.6% -2.3% -4.2M -29.7M -16.5M 1.22 17.90 N/A N/A 1,225,815 1,493,190 4,317,600 4,421,580 2016-05-05 $14.08 $14.67 46.0% 13.1% 34.6% 27.3% 46.9% 5.1% -0.3% -40.6M 820.2M -15.6M 1.07 21.24 N/A N/A 1,695,885 1,812,315 4,682,940 4,972,785 2016-05-06 $14.33 $14.67 42.3% 12.1% 35.2% 21.4% 45.1% 4.4% 0.0% 4.3M 537.6M -16.2M 1.29 35.97 N/A N/A 937,125 1,207,305 5,116,830 5,308,605 2016-05-09 $13.93 $14.67 43.1% 12.2% 35.7% 22.8% 43.5% 4.7% -0.5% -24.1M 599.5M -15.5M 0.91 33.32 N/A N/A 551,085 499,635 4,358,835 4,712,730 2016-05-10 $13.91 $14.33 41.9% 11.9% 35.8% 20.8% 43.4% 4.3% -0.5% -23.1M 591.3M -15.2M 0.93 30.03 N/A N/A 515,205 477,105 4,492,500 4,804,830 2016-05-11 $13.92 $14.33 41.8% 11.9% 33.3% 20.6% 42.2% 4.8% -0.3% -20.2M 533.0M -15.4M 0.83 29.14 N/A N/A 748,920 618,840 4,608,225 4,882,575 2016-05-12 $13.82 $14.33 41.5% 12.1% 33.3% 20.2% 42.9% 4.5% 1.3% -32.2M 680.2M -15.2M 0.89 34.28 N/A N/A 760,725 678,075 4,717,830 5,024,865 2016-05-13 $13.84 $14.33 40.9% 11.7% 32.8% 19.1% 41.8% 4.0% -0.1% -21.5M 639.0M -15.3M 0.98 30.02 N/A N/A 646,500 635,355 4,839,435 5,102,610 2016-05-16 $13.89 $14.33 39.8% 11.4% 32.9% 17.5% 41.1% 4.7% 1.4% -13.7M 488.9M -15.2M 1.04 27.23 N/A N/A 411,555 426,585 4,503,615 4,732,545 2016-05-17 $13.84 $14.33 40.2% 11.5% 32.3% 18.1% 41.7% 4.9% 1.2% -18.5M 545.1M -15.1M 0.98 35.35 N/A N/A 159,930 156,480 4,565,340 4,842,600 2016-05-18 $14.06 $14.33 39.0% 11.2% 32.7% 16.2% 39.7% 4.0% 0.0% -7.8M 259.1M -15.0M 1.03 13.43 N/A N/A 820,005 844,905 4,641,750 4,952,310 2016-05-19 $14.33 $14.33 40.2% 11.5% 34.1% 18.0% 41.8% 3.7% -0.0% 10.6M -36.0M -15.8M 1.21 20.66 N/A N/A 978,720 1,188,750 4,765,005 5,080,365 2016-05-20 $14.66 $14.33 38.2% 10.9% 34.2% 15.0% 39.5% 3.5% 0.7% 198.4M -625.0M -16.0M 0.79 20.75 N/A N/A 1,370,655 1,085,235 4,948,995 5,299,275 2016-05-23 $14.40 $14.33 39.7% 11.3% 34.4% 17.3% 40.8% 4.3% 1.4% 7.0M -350.8M -15.7M 0.90 21.36 N/A N/A 711,015 639,360 4,230,960 4,414,260 2016-05-24 $14.52 $14.33 39.0% 11.1% 34.5% 16.2% 39.7% 4.2% 0.9% 15.9M -460.3M -15.9M 1.00 26.63 N/A N/A 451,170 450,045 4,490,160 4,626,495 2016-05-25 $14.66 $14.33 37.1% 10.6% 35.0% 13.2% 37.9% 3.9% 1.3% 27.3M -608.7M -15.8M 1.05 24.36 N/A N/A 487,725 511,980 4,550,445 4,750,755 2016-05-26 $15.01 $14.33 37.1% 10.5% 36.4% 13.1% 37.6% 3.5% 0.7% 67.7M -1.10B -15.7M 0.88 18.50 N/A N/A 778,590 688,140 4,616,265 4,779,015 2016-05-27 $14.87 $14.33 35.3% 9.7% 35.4% 10.3% 34.4% 3.2% 1.6% 20.7M -875.9M -15.5M 0.71 21.85 N/A N/A 1,030,005 734,070 4,784,055 4,951,620 2016-05-31 $14.88 $14.50 36.3% 10.0% 35.2% 11.9% 36.1% 3.8% -0.7% 26.0M -742.7M -15.2M 1.10 21.90 N/A N/A 361,560 399,465 4,342,320 4,504,020
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