TSLA Options History — June 2016 In June 2016, TSLA traded between $12.86 and $15.71. ATM implied volatility averaged 38.9%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 2.1% (HV 20d: 36.8%). Max pain ranged from $14.33 to $15.33. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.91.
Notable Days 2016-06-22 : Highest Volume — 4,345,815 contracts2016-06-22 : Largest IV spike — 19.9% change2016-06-27 : Highest IV Rank — 23.1%2016-06-27 : Largest Expected Move — 13.7%Monthly Statistics Metric Avg Min Max Open Close Price $14.32 $12.86 $15.71 $14.62 $14.17 Max Pain $14.89 $14.33 $15.33 $14.67 $15.00 ATM IV 38.9% 34.9% 46.1% 36.3% 42.8% Expected Move 11.1% 9.9% 13.7% 9.9% 11.2% HV 20d 36.8% 21.3% 54.1% 32.8% 54.1% HV 60d 37.4% 34.4% 41.2% 35.9% 39.7% IV Rank 14.8% 9.7% 23.1% 11.9% 15.7% IV Percentile 25.2% 8.7% 50.0% 14.3% 40.9% Term Structure 1.8% -0.8% 10.5% -0.8% 10.5% VWIV 39.2% 35.8% 47.9% 35.8% 40.0% Skew 25d 4.0% 2.5% 5.7% 3.7% 3.4% Skew 10d 8.4% 5.2% 13.4% 7.6% 5.2% Call IV 25d 37.5% 33.6% 44.1% 35.1% 39.2% Put IV 25d 41.5% 36.8% 48.9% 38.8% 42.6% Bid-Ask Spread % 35.45 20.55 50.60 22.09 24.18 Gamma HHI 0.06 0.03 0.14 0.04 0.05 Net GEX -2.5M -50.5M 84.6M 7.6M 20.9M Net DEX 26.9M -1.80B 1.41B -430.5M -143.3M Net VEX -15.5M -17.2M -13.7M -15.1M -17.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.91 0.68 1.19 0.91 0.84 Total Volume 1,704,434.318 551,595 4,345,815 1,090,725 1,477,320 Total OI 9,272,762.045 6,950,220 10,607,265 9,043,155 9,745,620
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 2016-06-01 $14.62 $14.67 36.3% 9.9% 32.8% 11.9% 35.8% 3.7% -0.8% 7.6M -430.5M -15.1M 0.91 22.09 N/A N/A 569,985 520,740 4,431,690 4,611,465 2016-06-02 $14.59 $14.67 36.1% 10.1% 28.8% 11.6% 36.2% 3.7% -0.8% 4.9M -414.2M -14.8M 0.87 47.43 N/A N/A 449,760 389,355 4,544,235 4,741,260 2016-06-03 $14.61 $14.67 36.0% 10.1% 22.0% 11.4% 36.3% 3.6% -0.8% 4.3M -406.5M -15.1M 0.75 46.22 N/A N/A 736,470 554,625 4,607,850 4,840,695 2016-06-06 $14.71 $14.33 34.9% 9.9% 21.3% 9.7% 35.9% 3.3% -0.4% 14.3M -514.4M -14.9M 1.01 44.25 N/A N/A 431,145 435,000 4,355,115 4,616,490 2016-06-07 $15.46 $14.33 36.0% 10.3% 24.6% 11.5% 36.7% 2.6% 0.0% 51.1M -1.49B -15.4M 0.68 39.66 N/A N/A 1,355,685 926,805 4,465,320 4,720,320 2016-06-08 $15.71 $14.67 36.1% 10.3% 24.8% 11.6% 36.7% 2.5% -0.2% 84.6M -1.80B -15.7M 0.98 35.99 N/A N/A 1,190,280 1,168,170 4,729,140 4,951,875 2016-06-09 $15.31 $15.00 37.4% 10.6% 27.2% 13.7% 37.5% 2.8% -0.4% 13.3M -830.8M -16.2M 1.11 47.18 N/A N/A 765,030 847,710 4,855,305 5,383,605 2016-06-10 $14.58 $15.33 37.1% 10.5% 33.1% 13.1% 37.3% 4.3% -0.4% -22.2M 499.4M -15.7M 0.98 40.57 N/A N/A 1,468,875 1,436,790 4,926,975 5,568,735 2016-06-13 $14.52 $15.00 38.6% 11.0% 33.2% 15.5% 38.7% 4.2% 0.4% -18.3M 193.5M -15.6M 0.80 40.13 N/A N/A 764,025 608,970 4,559,310 5,199,075 2016-06-14 $14.32 $15.00 40.2% 11.5% 33.7% 18.0% 40.2% 4.9% -0.3% -25.7M 412.7M -15.3M 1.19 44.55 N/A N/A 632,325 750,435 4,733,340 5,330,490 2016-06-15 $14.49 $15.00 38.6% 11.1% 33.8% 15.5% 38.3% 5.0% -0.6% -20.6M 238.1M -15.4M 0.86 50.60 N/A N/A 643,245 550,710 4,832,805 5,455,980 2016-06-16 $14.52 $15.00 38.3% 11.0% 33.4% 15.1% 38.6% 4.3% 0.0% -18.2M 211.5M -15.6M 0.82 48.22 N/A N/A 696,420 574,560 4,943,325 5,558,910 2016-06-17 $14.34 $15.00 38.1% 10.9% 33.2% 14.7% 37.9% 4.2% -0.0% -28.7M 462.9M -15.1M 0.95 39.56 N/A N/A 813,300 775,425 5,001,660 5,605,605 2016-06-20 $14.63 $15.00 36.6% 10.6% 33.0% 12.4% 37.8% 4.2% 0.5% -3.9M -204.7M -15.4M 0.78 32.18 N/A N/A 547,305 429,600 3,037,335 3,912,885 2016-06-21 $14.65 $15.00 36.1% 10.4% 32.3% 11.5% 36.3% 4.3% 0.9% -2.9M -208.4M -15.4M 0.72 25.42 N/A N/A 320,940 230,655 3,178,380 4,043,370 2016-06-22 $13.11 $15.00 43.3% 12.7% 51.0% 23.0% 45.3% 5.7% 1.0% -30.7M 1.03B -13.7M 1.08 20.55 N/A N/A 2,089,365 2,256,450 3,270,075 4,091,925 2016-06-23 $13.08 $15.00 39.4% 11.4% 50.7% 16.8% 40.4% 3.8% 0.8% -38.7M 1.20B -14.9M 1.05 23.18 N/A N/A 1,224,600 1,289,745 3,924,915 4,808,265 2016-06-24 $12.86 $15.00 41.8% 12.0% 49.6% 16.6% 41.7% 5.5% 3.0% -50.5M 1.41B -15.4M 1.10 32.82 N/A N/A 1,000,095 1,096,365 4,312,005 5,124,315 2016-06-27 $13.19 $15.00 46.1% 13.7% 51.0% 23.1% 47.9% 4.8% 8.9% -15.4M 827.3M -16.2M 1.04 28.38 N/A N/A 877,785 908,670 3,774,795 4,743,390 2016-06-28 $13.47 $15.00 43.6% 12.6% 51.8% 17.0% 43.1% 3.3% 8.8% -2.2M 560.0M -16.3M 0.76 22.59 N/A N/A 913,245 696,270 4,033,635 5,001,015 2016-06-29 $14.01 $15.00 43.2% 12.3% 53.9% 16.3% 43.2% 4.0% 9.7% 21.8M -9.6M -17.2M 0.79 24.10 N/A N/A 1,160,700 922,605 4,228,335 5,199,930 2016-06-30 $14.17 $15.00 42.8% 11.2% 54.1% 15.7% 40.0% 3.4% 10.5% 20.9M -143.3M -17.0M 0.84 24.18 N/A N/A 804,570 672,750 4,340,190 5,405,430
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