TSLA Options History — November 2016

In November 2016, TSLA traded between $12.09 and $13.11. ATM implied volatility averaged 36.3%, placing in the 13.8% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 6.4% (HV 20d: 29.8%). Max pain ranged from $13.33 to $14.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.15.

Notable Days

2016-11-23: Highest Volume — 1,807,755 contracts
2016-11-10: Largest IV spike — 8.7% change
2016-11-14: Highest IV Rank — 22.3%
2016-11-01: Largest Expected Move — 12.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.61	$12.09	$13.11	$12.73	$12.56
Max Pain	$13.76	$13.33	$14.00	$14.00	$13.33
ATM IV	36.3%	31.9%	41.7%	39.3%	33.7%
Expected Move	10.5%	9.3%	12.2%	12.2%	10.1%
HV 20d	29.8%	25.5%	34.1%	29.0%	32.2%
HV 60d	29.3%	27.1%	31.3%	27.2%	29.7%
IV Rank	13.8%	7.1%	22.3%	18.5%	9.8%
IV Percentile	22.5%	6.3%	45.2%	37.3%	9.5%
Term Structure	0.1%	-1.1%	1.1%	-0.0%	1.0%
VWIV	38.1%	33.5%	43.6%	43.6%	35.7%
Skew 25d	3.9%	2.3%	5.3%	3.8%	3.6%
Skew 10d	7.9%	4.8%	10.7%	9.4%	6.2%
Call IV 25d	35.2%	31.7%	40.4%	38.3%	33.0%
Put IV 25d	39.1%	34.2%	44.8%	42.0%	36.6%
Bid-Ask Spread %	33.42	15.86	43.85	15.86	42.15
Gamma HHI	0.06	0.05	0.09	0.06	0.07
Net GEX	-30.9M	-58.6M	17.5M	-47.3M	-47.5M
Net DEX	1.31B	-452.6M	2.15B	1.72B	645.8M
Net VEX	-16.0M	-16.8M	-15.2M	-15.7M	-16.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.15	0.86	1.41	1.03	1.29
Total Volume	1,259,594.286	734,895	1,807,755	1,629,615	1,095,645
Total OI	12,570,294.286	10,873,680	15,689,205	10,873,680	15,431,235

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
2016-11-01	$12.73	$14.00	39.3%	12.2%	29.0%	18.5%	43.6%	3.8%	-0.0%	-47.3M	1.72B	-15.7M	1.03	15.86	N/A	N/A	804,495	825,120	4,564,470	6,309,210
2016-11-02	$12.53	$14.00	37.4%	11.6%	29.1%	15.6%	40.9%	3.9%	-0.3%	-56.5M	1.98B	-15.8M	1.32	17.92	N/A	N/A	475,785	625,995	4,807,830	6,525,345
2016-11-03	$12.49	$14.00	37.2%	10.9%	26.7%	15.3%	39.2%	4.5%	-0.1%	-58.6M	2.05B	-15.8M	1.26	43.85	N/A	N/A	372,060	467,355	4,878,555	6,605,265
2016-11-04	$12.64	$14.00	37.3%	10.7%	26.0%	15.5%	42.0%	4.4%	-0.1%	-28.4M	1.87B	-16.2M	1.19	37.26	N/A	N/A	816,375	970,185	4,956,075	6,679,920
2016-11-07	$12.89	$14.00	36.4%	10.3%	25.5%	14.0%	37.5%	5.0%	-0.7%	-19.9M	1.39B	-16.2M	1.32	39.75	N/A	N/A	316,530	418,365	4,567,935	6,382,635
2016-11-08	$13.02	$14.00	36.2%	10.3%	25.7%	13.7%	36.9%	5.0%	0.1%	-10.0M	1.18B	-16.2M	1.20	38.58	N/A	N/A	388,575	465,225	4,640,205	6,482,715
2016-11-09	$12.64	$14.00	36.3%	10.5%	27.3%	13.9%	40.0%	3.9%	0.4%	-39.4M	1.71B	-15.5M	1.05	28.34	N/A	N/A	680,280	716,370	4,657,155	6,563,265
2016-11-10	$12.35	$14.00	39.5%	11.4%	28.2%	18.8%	40.9%	5.3%	0.5%	-52.0M	2.03B	-15.5M	1.22	29.90	N/A	N/A	741,720	901,605	4,784,580	6,680,070
2016-11-11	$12.57	$14.00	38.6%	10.9%	28.5%	17.4%	39.1%	4.1%	-0.2%	-32.7M	1.78B	-15.9M	0.97	34.60	N/A	N/A	694,830	675,855	4,941,060	6,877,125
2016-11-14	$12.09	$14.00	41.7%	12.0%	31.3%	22.3%	42.6%	4.4%	-1.1%	-45.2M	2.15B	-15.2M	1.05	29.45	N/A	N/A	616,530	649,770	4,612,785	6,625,320
2016-11-15	$12.26	$14.00	38.8%	11.1%	30.9%	17.7%	40.2%	4.1%	0.2%	-40.9M	2.01B	-15.5M	1.41	32.01	N/A	N/A	391,440	552,735	4,804,245	6,753,915
2016-11-16	$12.23	$14.00	37.3%	10.7%	28.7%	15.4%	37.8%	4.3%	0.3%	-50.3M	2.12B	-15.2M	1.16	34.65	N/A	N/A	417,690	482,970	4,897,560	6,890,370
2016-11-17	$12.61	$13.67	37.9%	10.8%	30.6%	16.3%	39.0%	3.5%	0.6%	-24.3M	1.52B	-16.2M	0.94	31.35	N/A	N/A	743,115	695,295	5,028,045	7,176,060
2016-11-18	$12.38	$13.67	35.9%	10.3%	31.0%	13.3%	37.2%	3.6%	-0.4%	-42.5M	1.98B	-16.1M	1.00	34.77	N/A	N/A	773,610	770,250	5,230,215	7,347,015
2016-11-21	$12.37	$13.67	33.2%	9.5%	30.2%	9.1%	33.7%	3.6%	-0.2%	-31.0M	1.59B	-15.8M	1.25	20.63	N/A	N/A	455,145	570,990	4,400,925	6,534,375
2016-11-22	$12.74	$13.33	32.9%	9.4%	32.4%	8.6%	33.5%	3.7%	-0.2%	-11.0M	128.8M	-16.3M	0.86	37.16	N/A	N/A	850,905	732,285	5,377,095	9,776,085
2016-11-23	$12.93	$13.33	32.5%	9.5%	33.0%	7.9%	33.9%	2.3%	0.3%	17.5M	-216.6M	-16.8M	0.96	39.61	N/A	N/A	921,870	885,885	5,509,530	9,910,455
2016-11-25	$13.11	$13.33	31.9%	9.3%	33.4%	7.1%	33.5%	2.5%	0.4%	13.7M	-452.6M	-16.8M	1.07	38.80	N/A	N/A	593,265	633,120	5,648,610	10,040,595
2016-11-28	$13.06	$13.33	33.5%	9.8%	32.9%	9.6%	36.2%	3.5%	0.7%	-8.6M	-178.6M	-16.8M	1.38	34.98	N/A	N/A	474,075	651,930	5,298,960	9,611,520
2016-11-29	$12.68	$13.33	34.3%	10.1%	34.1%	10.7%	35.8%	3.1%	1.1%	-34.1M	414.5M	-16.3M	1.32	40.14	N/A	N/A	490,155	646,080	5,402,130	9,765,720
2016-11-30	$12.56	$13.33	33.7%	10.1%	32.2%	9.8%	35.7%	3.6%	1.0%	-47.5M	645.8M	-16.3M	1.29	42.15	N/A	N/A	478,815	616,830	5,516,880	9,914,355