TSLA Options History — January 2017

In January 2017, TSLA traded between $14.42 and $16.97. ATM implied volatility averaged 38.3%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 12.6% (HV 20d: 25.7%). Max pain ranged from $13.33 to $15.67. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.95.

Notable Days

2017-01-19: Highest Volume — 2,754,855 contracts
2017-01-23: Largest IV spike — 7.1% change
2017-01-30: Highest IV Rank — 22.0%
2017-01-05: Largest Expected Move — 12.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.95	$14.42	$16.97	$14.42	$16.82
Max Pain	$14.93	$13.33	$15.67	$13.33	$15.67
ATM IV	38.3%	35.9%	41.5%	37.9%	41.2%
Expected Move	11.2%	10.2%	12.2%	11.1%	11.4%
HV 20d	25.7%	22.6%	28.0%	25.7%	22.6%
HV 60d	29.8%	28.3%	30.6%	29.7%	28.3%
IV Rank	17.0%	13.3%	22.0%	16.3%	21.5%
IV Percentile	38.9%	21.4%	51.6%	35.7%	51.6%
Term Structure	1.4%	-1.3%	5.3%	4.5%	-0.9%
VWIV	39.8%	37.0%	43.1%	39.8%	40.5%
Skew 25d	3.1%	1.7%	3.9%	2.8%	3.4%
Skew 10d	7.0%	2.0%	10.3%	9.5%	7.1%
Call IV 25d	37.3%	33.4%	40.0%	38.1%	40.0%
Put IV 25d	40.4%	36.6%	43.5%	40.9%	43.4%
Bid-Ask Spread %	29.54	16.31	38.76	24.45	38.56
Gamma HHI	0.12	0.04	0.47	0.04	0.05
Net GEX	68.6M	21.7M	192.4M	21.7M	31.4M
Net DEX	-2.55B	-3.36B	-1.43B	-1.43B	-2.22B
Net VEX	-18.3M	-20.0M	-17.5M	-17.8M	-20.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.95	0.66	1.21	0.78	1.18
Total Volume	1,553,130	829,920	2,754,855	1,351,170	1,137,795
Total OI	13,281,731.25	8,599,395	15,953,655	14,691,765	9,506,415

Daily Data (20 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
2017-01-03	$14.42	$13.33	37.9%	11.1%	25.7%	16.3%	39.8%	2.8%	4.5%	21.7M	-1.43B	-17.8M	0.78	24.45	N/A	N/A	758,685	592,485	5,255,460	9,436,305
2017-01-04	$15.11	$13.33	35.9%	10.2%	28.0%	13.3%	37.0%	2.9%	5.3%	71.9M	-2.54B	-18.2M	0.92	21.70	N/A	N/A	1,311,675	1,210,395	5,478,915	9,618,660
2017-01-05	$15.11	$14.67	36.2%	12.2%	27.6%	13.8%	43.1%	1.7%	5.2%	78.8M	-2.54B	-18.3M	0.95	35.43	N/A	N/A	945,960	895,320	5,705,205	9,986,835
2017-01-06	$15.30	$14.67	36.4%	12.0%	25.6%	14.0%	42.3%	2.4%	5.1%	192.4M	-2.85B	-18.6M	0.84	38.76	N/A	N/A	1,272,750	1,062,870	5,850,105	10,103,550
2017-01-09	$15.43	$14.67	38.0%	11.9%	25.2%	16.5%	42.2%	3.7%	1.8%	64.4M	-2.72B	-17.7M	1.18	37.42	N/A	N/A	509,205	603,135	5,423,295	9,652,725
2017-01-10	$15.32	$14.67	38.9%	11.8%	25.7%	17.9%	41.9%	3.5%	1.1%	57.9M	-2.42B	-18.1M	0.93	34.70	N/A	N/A	506,400	471,390	5,481,000	9,798,525
2017-01-11	$15.33	$14.67	37.3%	11.2%	25.8%	15.4%	40.0%	3.1%	1.6%	66.6M	-2.35B	-17.7M	0.97	33.40	N/A	N/A	420,525	409,395	5,501,280	9,890,835
2017-01-12	$15.31	$14.67	36.9%	11.0%	25.0%	14.9%	39.0%	3.6%	2.1%	67.2M	-2.27B	-17.5M	0.91	35.53	N/A	N/A	517,815	469,140	5,546,520	9,949,125
2017-01-13	$15.85	$14.67	36.2%	10.7%	26.8%	13.7%	38.3%	3.9%	2.0%	127.0M	-3.36B	-18.0M	0.66	30.05	N/A	N/A	1,531,125	1,009,155	5,616,765	10,040,235
2017-01-17	$15.75	$15.00	38.0%	11.0%	26.6%	16.6%	38.5%	3.6%	0.7%	58.8M	-2.67B	-17.9M	1.06	22.46	N/A	N/A	659,835	699,885	5,281,590	9,821,895
2017-01-18	$15.90	$15.00	37.1%	10.6%	26.3%	15.1%	37.9%	3.2%	1.8%	69.5M	-2.78B	-17.7M	0.89	20.73	N/A	N/A	632,610	563,145	5,295,765	10,000,665
2017-01-19	$16.22	$15.00	37.4%	10.6%	26.6%	15.7%	37.9%	2.8%	1.8%	93.2M	-3.32B	-17.6M	0.76	16.31	N/A	N/A	1,563,345	1,191,510	5,370,645	10,117,560
2017-01-20	$16.32	$15.33	37.2%	10.5%	25.8%	15.3%	37.2%	2.8%	2.1%	134.2M	-3.22B	-17.5M	0.72	26.58	N/A	N/A	991,545	715,320	5,455,650	10,399,800
2017-01-23	$16.59	$15.33	39.9%	10.9%	25.6%	19.4%	38.8%	3.6%	-1.3%	43.0M	-2.32B	-18.0M	0.99	25.92	N/A	N/A	747,615	738,825	3,471,090	5,128,305
2017-01-24	$16.96	$15.33	39.7%	10.9%	26.0%	19.2%	38.3%	3.4%	-0.9%	56.1M	-2.68B	-18.5M	0.86	25.89	N/A	N/A	799,710	686,835	3,673,140	5,434,065
2017-01-25	$16.97	$15.67	40.2%	11.7%	25.9%	19.9%	41.4%	3.0%	-0.7%	48.3M	-2.58B	-18.9M	0.98	26.00	N/A	N/A	928,800	906,525	3,790,530	5,626,680
2017-01-26	$16.84	$15.67	40.0%	11.3%	25.1%	19.7%	39.6%	3.0%	-1.1%	35.3M	-2.35B	-19.3M	1.21	32.67	N/A	N/A	490,275	595,155	3,929,655	5,845,215
2017-01-27	$16.82	$15.67	39.8%	11.3%	25.1%	19.3%	39.9%	3.0%	-1.0%	29.4M	-2.31B	-19.5M	1.16	32.47	N/A	N/A	619,770	717,990	4,035,585	5,935,350
2017-01-30	$16.73	$15.67	41.5%	11.8%	23.2%	22.0%	41.8%	3.5%	-1.2%	24.5M	-2.12B	-19.1M	1.08	31.70	N/A	N/A	567,720	610,965	3,700,350	5,479,335
2017-01-31	$16.82	$15.67	41.2%	11.4%	22.6%	21.5%	40.5%	3.4%	-0.9%	31.4M	-2.22B	-20.0M	1.18	38.56	N/A	N/A	521,310	616,485	3,846,000	5,660,415