TSLA Options History — September 2017

In September 2017, TSLA traded between $22.57 and $25.69. ATM implied volatility averaged 35.7%, placing in the 23.6% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 2.6% (HV 20d: 33.1%). Max pain ranged from $22.33 to $24.33. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.86.

Notable Days

2017-09-22: Highest Volume — 4,417,170 contracts
2017-09-25: Largest IV spike — 9.6% change
2017-09-27: Highest IV Rank — 44.9%
2017-09-27: Largest Expected Move — 11.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.85	$22.57	$25.69	$23.69	$22.74
Max Pain	$23.71	$22.33	$24.33	$22.33	$23.67
ATM IV	35.7%	33.0%	40.5%	33.3%	40.4%
Expected Move	10.1%	8.8%	11.3%	8.8%	10.6%
HV 20d	33.1%	27.7%	36.2%	28.5%	35.3%
HV 60d	38.7%	34.2%	40.1%	38.7%	34.2%
IV Rank	23.6%	11.2%	44.9%	12.3%	44.8%
IV Percentile	35.8%	11.1%	71.0%	15.1%	70.6%
Term Structure	1.8%	-0.6%	5.8%	0.5%	5.8%
VWIV	35.8%	31.0%	39.3%	31.0%	37.3%
Skew 25d	3.1%	1.0%	5.0%	2.6%	1.0%
Skew 10d	6.5%	4.8%	9.0%	5.9%	9.0%
Call IV 25d	34.5%	32.1%	39.2%	32.1%	39.2%
Put IV 25d	37.6%	34.6%	43.2%	34.7%	40.2%
Bid-Ask Spread %	9.56	5.03	17.02	6.57	9.26
Gamma HHI	0.07	0.03	0.46	0.16	0.03
Net GEX	57.5M	-66.8M	377.7M	136.4M	-502.7K
Net DEX	-3.90B	-7.78B	-1.18B	-4.51B	-1.73B
Net VEX	-35.1M	-36.2M	-33.7M	-35.9M	-35.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.86	0.52	1.06	0.96	0.91
Total Volume	2,359,233	1,534,200	4,417,170	1,850,715	2,584,365
Total OI	15,205,796.25	13,642,410	16,936,110	15,872,700	15,614,025

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
2017-09-01	$23.69	$22.33	33.3%	8.8%	28.5%	12.3%	31.0%	2.6%	0.5%	136.4M	-4.51B	-35.9M	0.96	6.57	N/A	N/A	944,130	906,585	6,287,370	9,585,330
2017-09-05	$23.32	$23.33	35.6%	10.4%	29.1%	22.8%	37.1%	3.3%	0.8%	28.6M	-3.52B	-34.5M	1.06	17.02	N/A	N/A	743,910	790,290	5,797,875	9,008,535
2017-09-06	$22.95	$23.33	35.4%	10.3%	27.7%	22.1%	37.3%	2.7%	0.6%	-37.8M	-2.70B	-34.7M	0.96	14.28	N/A	N/A	782,910	754,980	5,910,375	9,230,385
2017-09-07	$23.39	$23.33	34.5%	10.0%	28.8%	17.8%	36.1%	2.4%	0.8%	58.8M	-3.72B	-34.7M	0.89	13.36	N/A	N/A	1,105,860	983,310	6,104,040	9,413,970
2017-09-08	$22.90	$23.33	34.5%	10.0%	28.3%	18.2%	35.5%	2.7%	0.8%	-6.3M	-2.52B	-33.8M	0.81	11.67	N/A	N/A	1,243,950	1,011,450	6,229,995	9,535,830
2017-09-11	$24.23	$23.33	34.6%	9.9%	35.1%	18.6%	35.4%	3.1%	-0.2%	104.1M	-5.28B	-33.7M	0.86	9.31	N/A	N/A	1,385,970	1,185,150	5,858,490	9,050,535
2017-09-12	$24.19	$23.33	34.2%	9.7%	34.5%	16.8%	34.7%	3.3%	-0.4%	106.3M	-5.17B	-34.5M	0.92	8.38	N/A	N/A	1,193,430	1,100,190	6,129,945	9,367,425
2017-09-13	$24.42	$23.33	33.4%	9.6%	34.6%	13.1%	34.4%	3.1%	0.1%	127.7M	-5.60B	-34.8M	0.89	5.03	N/A	N/A	886,125	787,515	6,310,080	9,644,385
2017-09-14	$25.18	$23.33	33.0%	9.4%	36.2%	11.2%	34.4%	2.6%	-0.1%	221.2M	-7.55B	-35.0M	0.78	12.70	N/A	N/A	2,244,600	1,741,230	6,463,815	9,786,075
2017-09-15	$25.29	$24.00	33.0%	9.4%	34.7%	11.3%	33.7%	2.3%	-0.6%	377.7M	-7.78B	-35.4M	0.52	12.56	N/A	N/A	2,239,980	1,163,460	6,737,550	10,198,560
2017-09-18	$25.69	$24.00	34.6%	9.9%	34.2%	18.2%	35.5%	2.7%	1.7%	139.1M	-6.44B	-35.4M	0.73	5.49	N/A	N/A	1,735,545	1,268,265	5,502,000	8,140,410
2017-09-19	$24.99	$24.33	34.4%	9.9%	32.9%	17.7%	34.9%	2.7%	2.3%	68.1M	-4.99B	-36.2M	0.78	9.23	N/A	N/A	1,241,160	971,205	5,848,290	8,545,320
2017-09-20	$24.93	$24.33	33.6%	9.6%	32.8%	14.1%	34.2%	2.5%	2.3%	68.8M	-4.93B	-36.1M	0.97	16.63	N/A	N/A	993,510	966,315	6,035,640	8,695,365
2017-09-21	$24.45	$24.33	33.6%	9.6%	31.7%	14.1%	33.8%	2.3%	1.8%	-63.3M	-3.70B	-35.7M	0.74	6.97	N/A	N/A	1,232,055	915,165	6,158,160	8,873,970
2017-09-22	$23.40	$24.33	36.5%	10.3%	35.6%	27.0%	35.7%	4.2%	1.7%	-66.8M	-1.44B	-35.2M	0.90	7.77	N/A	N/A	2,324,505	2,092,665	6,261,810	8,967,000
2017-09-25	$22.98	$24.00	40.0%	11.1%	35.8%	42.7%	39.3%	5.0%	4.2%	-23.9M	-1.86B	-34.7M	0.95	7.28	N/A	N/A	1,048,020	997,635	5,636,355	8,514,750
2017-09-26	$23.02	$24.17	39.7%	10.9%	35.6%	41.5%	37.9%	3.7%	4.1%	-22.2M	-1.87B	-35.6M	0.87	5.96	N/A	N/A	921,150	797,475	5,832,195	8,729,865
2017-09-27	$22.73	$24.00	40.5%	11.3%	35.9%	44.9%	39.1%	4.7%	4.3%	-24.8M	-1.48B	-35.0M	0.79	6.50	N/A	N/A	1,049,445	825,150	6,041,685	8,835,570
2017-09-28	$22.57	$24.00	40.0%	10.9%	35.4%	42.8%	38.2%	4.9%	5.7%	-41.0M	-1.18B	-35.4M	0.82	5.32	N/A	N/A	1,113,795	912,210	6,265,005	8,967,945
2017-09-29	$22.74	$23.67	40.4%	10.6%	35.3%	44.8%	37.3%	1.0%	5.8%	-502.7K	-1.73B	-35.5M	0.91	9.26	N/A	N/A	1,351,575	1,232,790	6,524,175	9,089,850