TSLA Options History — August 2016 In August 2016, TSLA traded between $14.07 and $15.39. ATM implied volatility averaged 32.2%, placing in the 3.5% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 9.4% (HV 20d: 22.8%). Max pain ranged from $15.00 to $15.33. Net GEX was positive for 9 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 0.88.
Notable Days 2016-08-04 : Highest Volume — 2,822,175 contracts2016-08-04 : Largest IV drop — 21.2% change2016-08-02 : Highest IV Rank — 20.7%2016-08-02 : Largest Expected Move — 14.7%Monthly Statistics Metric Avg Min Max Open Close Price $14.92 $14.07 $15.39 $15.29 $14.10 Max Pain $15.14 $15.00 $15.33 $15.00 $15.00 ATM IV 32.2% 27.4% 45.7% 45.6% 30.2% Expected Move 9.4% 7.6% 14.7% 14.6% 8.4% HV 20d 22.8% 15.3% 28.5% 27.7% 16.6% HV 60d 36.3% 34.6% 36.9% 36.9% 34.6% IV Rank 3.5% 0.0% 20.7% 20.6% 4.4% IV Percentile 6.3% 0.0% 44.0% 43.7% 4.0% Term Structure 0.6% -1.6% 2.9% -0.1% 0.5% VWIV 33.2% 26.9% 51.3% 51.0% 30.0% Skew 25d 3.0% 1.8% 5.7% 4.1% 2.8% Skew 10d 6.0% 3.0% 16.7% 6.9% 4.1% Call IV 25d 31.5% 27.0% 44.2% 44.1% 29.7% Put IV 25d 34.5% 29.4% 49.0% 48.2% 32.5% Bid-Ask Spread % 22.96 13.69 34.09 18.25 13.69 Gamma HHI 0.12 0.04 0.57 0.04 0.06 Net GEX -12.8M -176.0M 259.1M 12.9M -52.2M Net DEX 38.5M -794.5M 1.06B -605.9M 964.5M Net VEX -16.1M -17.6M -14.7M -17.6M -15.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.88 0.43 1.20 0.73 0.66 Total Volume 1,230,133.696 703,275 2,822,175 1,224,330 1,538,445 Total OI 10,436,075.217 9,307,935 11,577,270 9,647,115 10,325,895
Daily Data (23 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 2016-08-01 $15.29 $15.00 45.6% 14.6% 27.7% 20.6% 51.0% 4.1% -0.1% 12.9M -605.9M -17.6M 0.73 18.25 N/A N/A 708,630 515,700 4,149,720 5,497,395 2016-08-02 $15.15 $15.00 45.7% 14.7% 27.7% 20.7% 51.3% 4.4% -1.6% 5.5M -334.9M -17.6M 0.95 21.67 N/A N/A 530,355 501,645 4,273,470 5,675,640 2016-08-03 $15.09 $15.00 44.4% 14.0% 27.8% 18.4% 49.3% 5.7% -0.8% 4.3M -272.6M -17.1M 1.01 18.28 N/A N/A 929,880 940,410 4,377,330 5,815,860 2016-08-04 $15.39 $15.00 35.0% 10.2% 28.5% 2.2% 34.5% 3.0% -0.0% 26.7M -706.1M -17.1M 0.69 33.16 N/A N/A 1,674,360 1,147,815 4,693,515 6,229,410 2016-08-05 $15.35 $15.00 33.2% 9.7% 28.5% 0.0% 34.1% 2.7% -0.1% 259.1M -794.5M -16.8M 0.53 34.09 N/A N/A 1,269,345 676,335 5,123,280 6,453,990 2016-08-08 $15.09 $15.00 33.4% 9.6% 26.6% 0.3% 33.9% 3.4% 0.2% 22.6M -293.2M -15.7M 1.05 32.17 N/A N/A 415,230 434,730 4,508,460 5,869,140 2016-08-09 $15.26 $15.00 32.2% 9.4% 26.8% 0.0% 33.0% 2.8% 0.4% 50.8M -602.0M -16.2M 0.88 28.15 N/A N/A 425,340 376,020 4,624,950 6,023,070 2016-08-10 $15.05 $15.00 31.5% 9.3% 27.0% 0.0% 32.9% 2.2% 0.8% 12.1M -29.4M -16.2M 1.15 29.45 N/A N/A 497,100 572,520 4,621,320 6,068,760 2016-08-11 $15.00 $15.00 31.1% 9.1% 27.0% 0.0% 32.3% 1.8% 0.5% -22.4M 74.3M -16.0M 0.82 30.27 N/A N/A 483,255 395,685 4,722,510 6,312,285 2016-08-12 $15.02 $15.00 30.6% 8.9% 26.9% 0.0% 32.8% 2.6% 0.7% -369.2K 48.5M -16.1M 0.87 27.02 N/A N/A 594,690 517,230 4,788,510 6,381,840 2016-08-15 $15.02 $15.00 31.2% 9.0% 24.9% 1.0% 31.7% 3.1% 1.1% -7.3M -32.2M -15.5M 1.06 23.49 N/A N/A 416,280 441,390 4,328,295 5,978,610 2016-08-16 $14.94 $15.33 30.8% 8.8% 25.0% 0.3% 31.7% 2.7% 0.9% -16.5M 171.6M -14.7M 1.20 24.92 N/A N/A 426,855 512,655 4,407,855 6,065,490 2016-08-17 $14.88 $15.33 29.7% 8.5% 24.4% 0.0% 30.8% 2.8% 0.9% -58.3M 393.9M -15.3M 0.70 25.90 N/A N/A 529,605 370,785 4,473,045 6,313,530 2016-08-18 $14.90 $15.33 28.9% 8.2% 21.0% 0.0% 29.7% 2.3% 0.9% -50.6M 338.8M -15.7M 0.43 23.15 N/A N/A 859,110 369,435 4,676,115 6,415,215 2016-08-19 $15.00 $15.33 27.9% 7.8% 21.0% 0.0% 27.9% 2.5% 2.0% -150.4M 1.3M -15.5M 0.74 24.22 N/A N/A 739,080 550,110 4,896,615 6,493,590 2016-08-22 $14.88 $15.33 28.6% 7.9% 17.2% 1.0% 27.8% 3.3% 0.2% -133.0K -44.0M -14.9M 0.99 18.16 N/A N/A 352,635 350,640 3,999,540 5,308,395 2016-08-23 $15.00 $15.33 28.4% 8.0% 17.5% 0.7% 28.4% 2.5% 0.9% 11.1M -150.6M -16.1M 0.62 25.17 N/A N/A 953,970 591,225 4,102,365 5,470,020 2016-08-24 $14.84 $15.33 27.4% 7.7% 17.8% 0.0% 26.9% 2.5% 1.0% -10.8M 121.9M -16.0M 0.97 14.44 N/A N/A 488,460 475,365 4,334,085 5,642,235 2016-08-25 $14.74 $15.33 28.5% 7.8% 17.5% 1.7% 27.2% 3.4% -0.2% -56.0M 391.7M -16.2M 1.02 16.31 N/A N/A 474,150 482,760 4,423,920 5,817,390 2016-08-26 $14.66 $15.33 27.7% 7.6% 15.8% 0.4% 26.9% 2.5% 0.8% -176.0M 501.4M -16.3M 1.03 16.95 N/A N/A 674,700 694,935 4,538,865 5,944,650 2016-08-29 $14.38 $15.33 29.8% 8.5% 15.3% 3.9% 30.3% 2.7% 2.9% -43.2M 686.8M -15.9M 1.15 14.86 N/A N/A 555,750 636,990 4,169,835 5,586,450 2016-08-30 $14.07 $15.00 30.1% 8.4% 16.5% 4.2% 30.4% 2.2% 0.7% -55.4M 1.06B -15.6M 1.06 14.38 N/A N/A 583,965 617,505 4,343,655 5,763,615 2016-08-31 $14.10 $15.00 30.2% 8.4% 16.6% 4.4% 30.0% 2.8% 0.5% -52.2M 964.5M -15.4M 0.66 13.69 N/A N/A 928,320 610,125 4,464,045 5,861,850
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