TSLA Options History — September 2016

In September 2016, TSLA traded between $12.96 and $13.93. ATM implied volatility averaged 36.2%, placing in the 13.8% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 9.5% (HV 20d: 26.7%). Max pain ranged from $14.33 to $15.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.04.

Notable Days

2016-09-01: Highest Volume — 3,202,710 contracts
2016-09-29: Largest IV spike — 12.2% change
2016-09-30: Highest IV Rank — 22.4%
2016-09-09: Largest Expected Move — 11.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.49	$12.96	$13.93	$13.41	$13.57
Max Pain	$14.56	$14.33	$15.00	$15.00	$14.67
ATM IV	36.2%	34.1%	41.8%	36.2%	41.8%
Expected Move	10.2%	9.6%	11.0%	10.2%	10.8%
HV 20d	26.7%	21.5%	29.6%	21.5%	23.7%
HV 60d	30.3%	24.8%	35.8%	35.8%	25.3%
IV Rank	13.8%	10.5%	22.4%	13.7%	22.4%
IV Percentile	16.9%	7.9%	43.3%	15.9%	43.3%
Term Structure	1.4%	-1.0%	7.4%	0.8%	4.3%
VWIV	36.6%	33.8%	40.9%	36.2%	38.2%
Skew 25d	2.9%	1.3%	4.1%	3.1%	3.3%
Skew 10d	6.4%	1.9%	12.0%	6.0%	4.8%
Call IV 25d	35.5%	33.5%	38.9%	35.6%	38.9%
Put IV 25d	38.3%	35.7%	42.2%	38.7%	42.2%
Bid-Ask Spread %	38.85	11.03	47.07	11.03	34.69
Gamma HHI	0.12	0.05	0.65	0.09	0.05
Net GEX	-13.7M	-159.7M	284.6M	-64.5M	-18.4M
Net DEX	1.26B	435.9M	2.39B	1.86B	1.04B
Net VEX	-17.0M	-17.8M	-15.4M	-15.4M	-17.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.04	0.62	1.62	1.35	0.96
Total Volume	1,412,509.286	667,980	3,202,710	3,202,710	1,128,900
Total OI	11,436,314.286	10,060,800	13,407,180	10,653,915	11,622,825

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
2016-09-01	$13.41	$15.00	36.2%	10.2%	21.5%	13.7%	36.2%	3.1%	0.8%	-64.5M	1.86B	-15.4M	1.35	11.03	N/A	N/A	1,361,790	1,840,920	4,659,090	5,994,825
2016-09-02	$13.17	$14.83	36.8%	10.3%	21.8%	14.6%	36.6%	3.7%	1.2%	-82.1M	2.14B	-16.3M	1.26	11.47	N/A	N/A	1,177,875	1,478,925	5,033,745	6,424,515
2016-09-06	$13.49	$14.67	35.9%	10.4%	24.1%	13.2%	36.8%	4.1%	-0.3%	-39.3M	1.42B	-17.0M	1.06	46.01	N/A	N/A	595,680	631,050	4,757,580	6,278,190
2016-09-07	$13.46	$14.33	36.4%	10.3%	23.4%	14.0%	36.8%	3.4%	-1.0%	-40.0M	1.45B	-17.1M	1.49	47.07	N/A	N/A	468,180	695,550	4,937,355	6,457,320
2016-09-08	$13.17	$14.33	37.1%	10.4%	23.9%	15.2%	37.4%	2.8%	-0.2%	-102.5M	2.01B	-16.9M	1.25	44.12	N/A	N/A	581,010	723,630	5,079,015	6,767,625
2016-09-09	$12.96	$14.33	38.5%	11.0%	24.1%	17.3%	38.0%	3.9%	0.3%	-159.7M	2.39B	-16.5M	1.62	42.28	N/A	N/A	744,855	1,209,915	5,245,110	6,898,815
2016-09-12	$13.24	$14.33	36.5%	10.4%	26.0%	14.2%	37.4%	2.7%	-0.1%	-44.1M	1.68B	-16.5M	0.83	42.82	N/A	N/A	636,945	527,010	5,030,925	6,469,815
2016-09-13	$13.06	$14.33	37.5%	10.8%	26.0%	15.7%	40.9%	3.4%	0.4%	-52.2M	1.96B	-16.3M	1.08	41.80	N/A	N/A	826,965	890,970	5,218,725	6,607,770
2016-09-14	$13.11	$14.67	35.7%	10.3%	26.3%	13.0%	37.6%	3.3%	0.3%	-29.8M	1.93B	-16.9M	1.04	44.16	N/A	N/A	462,780	480,045	5,650,740	6,999,765
2016-09-15	$13.35	$14.33	36.0%	10.1%	27.7%	13.5%	37.3%	2.8%	-0.9%	16.6M	1.52B	-16.9M	0.95	43.73	N/A	N/A	920,460	876,360	5,796,225	7,120,725
2016-09-16	$13.68	$14.67	34.9%	10.0%	29.6%	11.7%	34.8%	2.5%	0.1%	284.6M	680.3M	-17.1M	0.62	46.09	N/A	N/A	1,189,950	740,145	6,061,950	7,345,230
2016-09-19	$13.74	$14.33	34.6%	9.9%	29.4%	11.3%	36.1%	3.0%	0.2%	11.2M	539.9M	-17.7M	0.84	41.63	N/A	N/A	594,045	498,915	4,422,450	5,638,350
2016-09-20	$13.70	$14.33	35.2%	10.1%	29.4%	12.2%	34.7%	2.6%	-0.0%	2.6M	656.4M	-17.2M	0.87	41.19	N/A	N/A	525,645	456,135	4,536,930	5,811,195
2016-09-21	$13.68	$14.67	34.1%	9.8%	29.1%	10.5%	37.7%	2.4%	0.1%	926.0K	765.7M	-17.7M	1.27	44.16	N/A	N/A	507,360	646,740	4,706,775	6,022,110
2016-09-22	$13.77	$14.67	34.9%	10.0%	29.3%	11.7%	35.6%	1.9%	0.6%	16.2M	648.2M	-17.5M	0.65	42.24	N/A	N/A	880,695	568,185	4,795,380	6,166,170
2016-09-23	$13.88	$14.67	34.7%	9.8%	29.5%	11.4%	33.8%	1.3%	1.2%	40.0M	435.9M	-17.7M	0.74	44.46	N/A	N/A	813,045	598,965	4,961,985	6,335,085
2016-09-26	$13.93	$14.67	34.6%	9.7%	29.6%	11.3%	35.4%	2.4%	7.4%	17.3M	511.7M	-17.8M	0.93	41.63	N/A	N/A	425,805	396,090	4,725,945	5,973,540
2016-09-27	$13.72	$14.67	35.7%	10.0%	29.3%	12.9%	34.8%	2.5%	4.7%	-1.9M	760.5M	-17.3M	0.99	38.46	N/A	N/A	471,795	467,685	4,840,050	6,137,100
2016-09-28	$13.78	$14.67	34.9%	9.6%	28.4%	11.7%	33.8%	2.9%	5.8%	3.1M	734.5M	-17.4M	1.04	35.61	N/A	N/A	327,435	340,545	4,933,995	6,313,005
2016-09-29	$13.45	$14.67	39.1%	10.5%	29.5%	18.3%	37.7%	2.2%	4.4%	-45.0M	1.29B	-17.6M	1.01	31.20	N/A	N/A	473,670	480,030	4,976,940	6,407,715
2016-09-30	$13.57	$14.67	41.8%	10.8%	23.7%	22.4%	38.2%	3.3%	4.3%	-18.4M	1.04B	-17.2M	0.96	34.69	N/A	N/A	575,895	553,005	5,093,940	6,528,885