TSLA Options History — March 2017 In March 2017, TSLA traded between $16.25 and $18.59. ATM implied volatility averaged 32.9%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded below realized volatility by 1.5% (HV 20d: 34.4%). Max pain ranged from $16.67 to $17.33. Net GEX was positive for 12 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 0.96.
Notable Days 2017-03-28 : Highest Volume — 2,752,155 contracts2017-03-27 : Largest IV spike — 5.5% change2017-03-31 : Highest IV Rank — 23.1%2017-03-01 : Largest Expected Move — 9.9%Monthly Statistics Metric Avg Min Max Open Close Price $17.21 $16.25 $18.59 $16.72 $18.59 Max Pain $16.84 $16.67 $17.33 $16.67 $17.33 ATM IV 32.9% 31.7% 34.3% 34.3% 34.3% Expected Move 9.3% 8.9% 9.9% 9.9% 8.9% HV 20d 34.4% 27.0% 38.9% 38.9% 28.4% HV 60d 30.0% 28.8% 30.8% 30.2% 29.4% IV Rank 17.6% 13.2% 23.1% 19.7% 23.1% IV Percentile 10.6% 6.3% 20.2% 11.9% 20.2% Term Structure 0.9% -0.6% 4.7% 1.1% 4.7% VWIV 32.9% 31.3% 35.2% 35.2% 32.0% Skew 25d 1.9% 1.3% 2.6% 1.8% 1.3% Skew 10d 4.6% 2.4% 7.5% 4.4% 2.8% Call IV 25d 32.4% 31.3% 33.9% 33.9% 32.9% Put IV 25d 34.3% 33.1% 36.1% 35.7% 34.1% Bid-Ask Spread % 33.73 5.36 51.12 5.36 28.69 Gamma HHI 0.07 0.04 0.18 0.04 0.13 Net GEX 27.8M -63.0M 124.2M -732.0K 93.1M Net DEX -1.58B -3.32B -130.2M -1.05B -3.23B Net VEX -22.7M -24.8M -20.9M -22.3M -24.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.96 0.73 1.32 1.04 0.73 Total Volume 1,694,106.522 980,910 2,752,155 1,438,425 1,844,415 Total OI 11,765,655 10,099,320 13,009,290 12,380,130 12,080,655
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 2017-03-01 $16.72 $16.67 34.3% 9.9% 38.9% 19.7% 35.2% 1.8% 1.1% -732.0K -1.05B -22.3M 1.04 5.36 N/A N/A 704,595 733,830 5,138,670 7,241,460 2017-03-02 $16.71 $16.67 33.6% 9.5% 38.8% 17.8% 33.9% 1.7% 1.4% -7.8M -935.5M -22.2M 1.08 5.60 N/A N/A 576,660 623,175 5,220,105 7,412,070 2017-03-03 $16.74 $16.67 32.6% 9.0% 38.7% 15.1% 32.0% 1.8% 1.4% 7.4M -983.3M -22.2M 1.03 7.67 N/A N/A 715,485 739,845 5,322,000 7,499,445 2017-03-06 $16.75 $16.67 33.2% 9.6% 38.7% 16.7% 33.5% 1.9% -0.0% -10.4M -975.2M -21.9M 0.94 40.79 N/A N/A 510,015 481,650 4,629,495 6,953,445 2017-03-07 $16.58 $16.67 32.9% 9.3% 38.0% 15.7% 33.1% 1.8% -0.5% -21.0M -732.3M -21.6M 1.01 44.11 N/A N/A 487,860 493,050 4,777,755 7,092,045 2017-03-08 $16.48 $16.67 32.4% 9.2% 38.0% 14.3% 31.9% 2.1% -0.2% -41.3M -524.8M -21.4M 0.94 45.96 N/A N/A 582,195 544,395 4,881,180 7,209,810 2017-03-09 $16.35 $16.67 32.0% 9.1% 37.4% 13.2% 31.9% 2.0% -0.5% -63.0M -284.5M -21.4M 0.89 49.82 N/A N/A 753,615 670,995 5,007,480 7,308,795 2017-03-10 $16.25 $16.67 31.7% 9.0% 35.6% 14.1% 31.3% 1.9% -0.4% -38.2M -130.2M -20.9M 1.08 51.12 N/A N/A 753,180 811,275 5,137,050 7,445,895 2017-03-13 $16.39 $16.67 33.2% 9.4% 35.9% 19.5% 32.9% 2.1% -0.5% -12.0M -592.6M -21.6M 0.99 46.48 N/A N/A 523,215 517,905 4,716,570 7,025,760 2017-03-14 $17.13 $16.67 33.2% 9.4% 36.4% 19.6% 33.3% 1.9% -0.2% 51.6M -1.80B -22.6M 0.81 41.11 N/A N/A 1,374,870 1,107,945 4,871,835 7,178,580 2017-03-15 $17.08 $16.67 32.8% 9.3% 36.2% 18.0% 32.8% 1.6% -0.1% 63.7M -1.70B -22.6M 0.78 44.54 N/A N/A 924,675 718,710 5,082,150 7,393,635 2017-03-16 $17.50 $16.67 32.6% 9.3% 37.5% 17.6% 32.6% 1.8% -0.4% 124.2M -2.54B -22.9M 0.92 39.99 N/A N/A 1,343,910 1,232,085 5,205,195 7,516,575 2017-03-17 $17.47 $16.67 32.2% 9.2% 35.2% 16.1% 32.5% 1.5% -0.3% 91.6M -2.20B -22.8M 0.95 40.87 N/A N/A 1,380,765 1,313,550 5,236,440 7,772,850 2017-03-20 $17.45 $16.67 31.9% 9.1% 34.9% 15.2% 32.5% 1.5% 0.4% 36.8M -1.83B -22.8M 1.32 34.64 N/A N/A 612,135 807,585 4,235,955 5,863,365 2017-03-21 $16.81 $17.00 33.1% 9.5% 35.9% 19.2% 33.7% 2.4% -0.2% -26.9M -752.3M -22.8M 0.79 34.32 N/A N/A 1,171,980 925,665 4,398,315 6,120,540 2017-03-22 $16.94 $17.00 32.3% 9.3% 35.9% 16.5% 33.1% 2.2% 0.1% -25.4M -931.4M -22.9M 1.01 31.49 N/A N/A 630,525 637,545 4,588,965 6,288,525 2017-03-23 $17.03 $17.00 32.2% 9.2% 28.4% 16.1% 32.1% 2.4% -0.1% -2.9M -1.11B -23.0M 1.10 31.97 N/A N/A 565,785 625,215 4,713,690 6,393,345 2017-03-24 $17.49 $17.00 32.4% 9.3% 29.9% 16.9% 32.7% 2.6% -0.6% 78.3M -2.09B -23.1M 1.15 34.35 N/A N/A 1,201,785 1,386,105 4,781,715 6,525,495 2017-03-27 $17.96 $17.00 34.2% 9.7% 27.0% 22.9% 34.5% 2.2% 3.0% 60.0M -2.43B -23.9M 0.79 29.91 N/A N/A 991,800 784,515 4,319,010 6,074,415 2017-03-28 $18.50 $17.00 33.4% 9.5% 28.4% 20.2% 34.0% 1.5% 4.5% 101.0M -3.32B -23.8M 0.84 27.84 N/A N/A 1,499,310 1,252,845 4,538,385 6,284,070 2017-03-29 $18.50 $17.33 33.3% 9.4% 28.4% 19.7% 33.3% 2.0% 3.2% 88.7M -3.12B -24.4M 0.98 29.69 N/A N/A 711,945 700,200 4,786,320 6,648,015 2017-03-30 $18.52 $17.33 32.7% 9.1% 28.4% 17.9% 31.8% 1.9% 4.7% 93.6M -3.13B -24.8M 0.83 29.52 N/A N/A 1,092,690 902,955 4,921,410 6,771,585 2017-03-31 $18.59 $17.33 34.3% 8.9% 28.4% 23.1% 32.0% 1.3% 4.7% 93.1M -3.23B -24.3M 0.73 28.69 N/A N/A 1,067,550 776,865 5,105,430 6,975,225
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