TSLA Options History — December 2016

In December 2016, TSLA traded between $12.10 and $14.63. ATM implied volatility averaged 35.6%, placing in the 12.8% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 4.1% (HV 20d: 31.5%). Max pain ranged from $13.00 to $13.33. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.10.

Notable Days

2016-12-13: Highest Volume — 1,843,170 contracts
2016-12-30: Largest IV spike — 7.3% change
2016-12-30: Highest IV Rank — 18.8%
2016-12-30: Largest Expected Move — 11.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.37	$12.10	$14.63	$12.17	$14.21
Max Pain	$13.13	$13.00	$13.33	$13.33	$13.33
ATM IV	35.6%	33.1%	39.5%	36.9%	39.5%
Expected Move	10.2%	9.5%	11.5%	10.9%	11.5%
HV 20d	31.5%	26.0%	36.9%	33.6%	26.0%
HV 60d	30.9%	30.0%	32.0%	30.3%	30.5%
IV Rank	12.8%	9.0%	18.8%	14.9%	18.8%
IV Percentile	18.4%	7.9%	42.5%	25.8%	42.5%
Term Structure	0.1%	-1.9%	1.3%	1.2%	-0.3%
VWIV	36.5%	34.0%	41.4%	38.7%	41.4%
Skew 25d	3.0%	2.3%	3.5%	3.4%	3.3%
Skew 10d	6.2%	4.6%	8.2%	5.9%	6.7%
Call IV 25d	34.9%	32.2%	38.4%	35.9%	38.4%
Put IV 25d	37.9%	35.4%	41.7%	39.3%	41.7%
Bid-Ask Spread %	30.36	24.98	40.77	38.95	24.98
Gamma HHI	0.09	0.04	0.36	0.09	0.05
Net GEX	10.8M	-66.1M	123.9M	-66.1M	-4.7M
Net DEX	-457.5M	-1.97B	1.25B	1.16B	-1.09B
Net VEX	-16.9M	-18.2M	-16.0M	-16.0M	-18.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.10	0.75	1.55	1.23	0.93
Total Volume	1,376,532.143	895,365	1,843,170	1,728,375	1,576,305
Total OI	15,337,479.286	13,945,950	16,199,985	15,581,190	15,269,520

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
2016-12-01	$12.17	$13.33	36.9%	10.9%	33.6%	14.9%	38.7%	3.4%	1.2%	-66.1M	1.16B	-16.0M	1.23	38.95	N/A	N/A	773,520	954,855	5,591,250	9,989,940
2016-12-02	$12.10	$13.33	36.8%	10.6%	33.6%	14.6%	38.0%	2.9%	1.3%	-60.8M	1.25B	-16.0M	1.45	40.77	N/A	N/A	748,560	1,087,890	5,835,900	10,182,555
2016-12-05	$12.47	$13.00	35.7%	10.5%	35.1%	13.0%	37.4%	3.3%	0.6%	-30.6M	593.3M	-16.3M	1.32	30.93	N/A	N/A	570,195	752,730	5,447,805	9,938,760
2016-12-06	$12.39	$13.00	35.7%	10.3%	34.4%	13.0%	36.9%	3.5%	0.4%	-34.1M	727.3M	-16.1M	1.39	34.25	N/A	N/A	414,990	578,010	5,543,385	10,039,545
2016-12-07	$12.86	$13.00	35.6%	10.2%	36.9%	12.9%	36.3%	2.4%	0.8%	-82.9K	-32.9M	-16.8M	1.01	28.74	N/A	N/A	724,110	733,200	5,634,840	10,118,595
2016-12-08	$12.82	$13.00	35.6%	10.3%	35.3%	12.8%	36.8%	2.9%	-0.1%	-5.3M	77.5M	-16.7M	1.55	31.23	N/A	N/A	430,665	665,820	5,699,190	10,224,435
2016-12-09	$12.81	$13.00	36.0%	10.3%	34.2%	13.5%	35.4%	2.4%	0.7%	14.9M	105.4M	-16.9M	1.08	28.83	N/A	N/A	588,165	635,295	5,770,230	10,360,350
2016-12-12	$12.86	$13.00	36.2%	10.0%	33.7%	13.7%	35.0%	3.5%	-1.9%	-16.9M	134.3M	-16.4M	1.52	31.41	N/A	N/A	355,200	540,165	5,527,515	10,030,680
2016-12-13	$13.22	$13.00	35.8%	10.0%	31.4%	13.0%	35.9%	2.9%	-0.8%	14.2M	-463.6M	-16.8M	0.98	28.11	N/A	N/A	928,830	914,340	5,621,925	10,070,235
2016-12-14	$13.33	$13.00	36.7%	10.3%	31.2%	14.5%	36.7%	3.1%	-0.6%	13.8M	-493.4M	-16.6M	0.92	35.89	N/A	N/A	795,465	728,610	5,664,990	10,186,140
2016-12-15	$13.21	$13.00	36.8%	10.2%	31.5%	14.6%	36.7%	3.3%	-0.7%	3.2M	-250.9M	-16.8M	1.11	34.43	N/A	N/A	477,465	531,030	5,776,395	10,321,290
2016-12-16	$13.46	$13.00	35.0%	10.1%	30.5%	11.9%	35.4%	3.0%	0.5%	58.8M	-765.9M	-17.0M	1.00	31.19	N/A	N/A	822,405	825,225	5,812,470	10,387,515
2016-12-19	$13.50	$13.00	34.5%	9.9%	29.4%	11.2%	35.9%	3.0%	0.2%	14.0M	-680.8M	-16.8M	1.13	26.55	N/A	N/A	515,550	582,285	4,909,230	9,036,720
2016-12-20	$13.87	$13.00	34.2%	9.8%	30.4%	10.7%	35.2%	3.1%	0.1%	37.6M	-1.15B	-17.4M	0.81	27.49	N/A	N/A	753,780	610,110	5,063,250	9,199,500
2016-12-21	$13.85	$13.00	33.2%	9.5%	29.2%	9.0%	34.1%	3.3%	0.0%	36.7M	-1.10B	-17.1M	0.90	28.56	N/A	N/A	834,210	753,525	5,205,450	9,367,095
2016-12-22	$13.90	$13.33	33.8%	9.7%	28.9%	10.0%	35.4%	3.3%	-0.1%	22.4M	-978.5M	-17.4M	1.09	30.35	N/A	N/A	531,600	581,880	5,302,305	9,580,620
2016-12-23	$14.18	$13.33	33.1%	9.5%	29.3%	9.0%	34.0%	3.2%	0.5%	123.9M	-1.54B	-17.2M	1.03	25.95	N/A	N/A	785,220	808,860	5,370,870	9,695,445
2016-12-27	$14.63	$13.33	34.4%	9.9%	30.7%	11.0%	36.3%	2.3%	0.5%	45.2M	-1.97B	-17.1M	0.75	25.21	N/A	N/A	1,028,040	775,245	5,064,540	9,341,220
2016-12-28	$14.62	$13.33	35.3%	10.3%	27.9%	12.3%	37.7%	2.8%	0.2%	45.3M	-1.87B	-18.0M	0.84	27.44	N/A	N/A	581,745	489,960	5,306,010	9,544,410
2016-12-29	$14.31	$13.33	36.8%	10.6%	29.1%	14.7%	37.9%	3.1%	0.2%	15.9M	-1.26B	-17.9M	0.96	26.40	N/A	N/A	572,880	549,240	5,422,635	9,632,310
2016-12-30	$14.21	$13.33	39.5%	11.5%	26.0%	18.8%	41.4%	3.3%	-0.3%	-4.7M	-1.09B	-18.2M	0.93	24.98	N/A	N/A	815,010	761,295	5,501,970	9,767,550