TSLA Options History — October 2017 In October 2017, TSLA traded between $21.35 and $24.01. ATM implied volatility averaged 43.4%, placing in the 58.2% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 11.8% (HV 20d: 31.7%). Max pain ranged from $23.33 to $23.67. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 0.91.
Notable Days 2017-10-20 : Highest Volume — 3,664,545 contracts2017-10-30 : Largest IV spike — 5.6% change2017-10-30 : Highest IV Rank — 71.9%2017-10-31 : Largest Expected Move — 15.3%Monthly Statistics Metric Avg Min Max Open Close Price $22.98 $21.35 $24.01 $22.78 $22.10 Max Pain $23.37 $23.33 $23.67 $23.67 $23.33 ATM IV 43.4% 41.1% 46.5% 44.7% 46.1% Expected Move 12.4% 9.5% 15.3% 11.3% 15.3% HV 20d 31.7% 27.7% 35.8% 35.3% 32.3% HV 60d 33.8% 31.0% 34.8% 34.1% 31.9% IV Rank 58.2% 47.7% 71.9% 64.1% 70.2% IV Percentile 84.0% 75.4% 94.4% 87.3% 94.0% Term Structure -1.3% -2.8% 1.1% -0.6% -1.4% VWIV 43.8% 33.8% 54.5% 39.6% 54.5% Skew 25d 2.8% 2.0% 3.9% 2.5% 3.9% Skew 10d 5.7% 3.7% 8.2% 5.1% 8.2% Call IV 25d 42.7% 40.5% 45.9% 45.9% 44.5% Put IV 25d 45.5% 42.6% 48.5% 48.4% 48.5% Bid-Ask Spread % 9.35 5.49 19.37 6.55 8.15 Gamma HHI 0.07 0.03 0.33 0.03 0.03 Net GEX 19.5M -200.6M 146.4M 137.7K -13.4M Net DEX -2.52B -4.48B 385.5M -2.06B -1.30B Net VEX -34.5M -36.5M -32.4M -35.0M -34.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.91 0.64 1.32 0.81 0.95 Total Volume 2,272,907.045 1,281,135 3,664,545 1,619,190 1,555,740 Total OI 15,851,499.545 14,628,315 16,703,685 14,628,315 15,856,575
Daily Data (22 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 2017-10-02 $22.78 $23.67 44.7% 11.3% 35.3% 64.1% 39.6% 2.5% -0.6% 137.7K -2.06B -35.0M 0.81 6.55 N/A N/A 894,690 724,500 5,874,330 8,753,985 2017-10-03 $23.20 $23.67 44.2% 10.2% 35.6% 61.8% 36.3% 3.1% 1.1% 46.0M -2.88B -35.5M 0.89 6.55 N/A N/A 1,817,670 1,626,390 6,092,235 8,961,840 2017-10-04 $23.68 $23.50 44.2% 9.5% 35.8% 61.6% 33.8% 2.4% -0.4% 120.7M -4.20B -36.2M 0.75 5.49 N/A N/A 1,639,230 1,230,180 6,454,530 9,300,450 2017-10-05 $23.67 $23.33 43.9% 11.9% 35.3% 60.4% 42.2% 2.5% -1.1% 102.0M -4.02B -36.5M 0.73 8.86 N/A N/A 1,101,645 806,340 6,593,730 9,488,190 2017-10-06 $23.80 $23.33 43.9% 11.8% 34.3% 60.5% 42.4% 2.6% -1.0% 131.5M -4.45B -36.3M 0.69 9.99 N/A N/A 1,701,900 1,167,345 6,735,090 9,634,245 2017-10-09 $22.87 $23.33 45.4% 12.7% 30.9% 67.0% 45.3% 2.4% -1.2% -4.7M -2.18B -35.4M 0.91 13.20 N/A N/A 1,298,265 1,177,815 6,173,385 9,005,220 2017-10-10 $23.70 $23.33 44.4% 12.4% 33.8% 62.8% 43.6% 3.1% -1.5% 97.5M -3.89B -36.2M 0.76 7.36 N/A N/A 1,402,575 1,071,855 6,505,380 9,325,305 2017-10-11 $23.64 $23.33 44.1% 12.2% 33.5% 61.4% 43.1% 3.1% -1.4% 91.2M -3.76B -35.7M 0.78 9.86 N/A N/A 1,032,300 808,425 6,621,375 9,543,495 2017-10-12 $23.73 $23.33 42.0% 11.8% 31.4% 51.9% 41.8% 2.7% -1.1% 128.9M -3.88B -35.5M 0.97 14.14 N/A N/A 1,050,780 1,022,505 6,719,325 9,686,970 2017-10-13 $23.71 $23.33 41.7% 11.7% 31.3% 50.4% 41.6% 2.6% -1.2% 17.4M -3.81B -34.3M 0.88 12.99 N/A N/A 1,177,500 1,032,270 6,824,370 9,879,315 2017-10-16 $23.37 $23.33 42.2% 12.0% 30.7% 52.9% 42.4% 2.3% -2.1% 31.2M -2.91B -34.0M 0.75 8.18 N/A N/A 959,940 715,410 6,295,560 9,157,845 2017-10-17 $23.72 $23.33 41.9% 11.9% 30.2% 51.2% 42.5% 2.7% -2.3% 82.6M -3.78B -33.8M 0.96 7.17 N/A N/A 815,265 783,030 6,453,930 9,322,215 2017-10-18 $24.01 $23.33 41.2% 11.8% 30.6% 48.1% 42.0% 2.0% -2.2% 146.4M -4.48B -34.3M 0.64 8.80 N/A N/A 1,428,630 912,165 6,562,125 9,437,670 2017-10-19 $23.45 $23.33 41.1% 11.9% 31.0% 47.8% 42.3% 2.3% -2.1% 24.3M -2.91B -33.4M 0.69 10.50 N/A N/A 1,490,670 1,021,290 6,760,335 9,604,995 2017-10-20 $23.00 $23.33 41.1% 12.0% 27.7% 47.7% 42.3% 2.3% -2.8% -157.0M -1.71B -33.6M 0.86 9.75 N/A N/A 1,971,675 1,692,870 6,926,115 9,717,180 2017-10-23 $22.48 $23.33 42.8% 12.9% 28.1% 55.5% 45.6% 2.5% -1.3% -25.3M -1.50B -33.0M 0.96 6.75 N/A N/A 1,114,950 1,069,965 5,999,730 8,959,620 2017-10-24 $22.46 $23.33 42.8% 13.0% 28.1% 55.5% 46.2% 2.6% -1.4% -22.7M -1.43B -32.7M 1.29 7.37 N/A N/A 753,540 969,135 6,280,845 9,167,625 2017-10-25 $21.73 $23.33 43.6% 13.4% 30.0% 59.1% 47.2% 3.3% -1.4% -72.4M -120.7M -32.4M 1.12 13.27 N/A N/A 1,299,615 1,454,175 6,361,245 9,463,590 2017-10-26 $21.76 $23.33 43.4% 13.4% 30.0% 58.2% 47.3% 3.3% -1.0% -55.8M -299.2M -33.4M 1.21 5.81 N/A N/A 848,880 1,029,420 6,579,570 9,684,030 2017-10-27 $21.37 $23.33 44.0% 13.8% 30.3% 60.9% 48.7% 3.2% -1.3% -200.6M 385.5M -33.0M 1.01 19.37 N/A N/A 1,521,720 1,530,555 6,683,550 9,813,360 2017-10-30 $21.35 $23.33 46.5% 15.1% 30.3% 71.9% 53.2% 3.8% -1.0% -37.9M -220.8M -33.3M 1.32 5.52 N/A N/A 551,475 729,660 6,049,020 9,423,495 2017-10-31 $22.10 $23.33 46.1% 15.3% 32.3% 70.2% 54.5% 3.9% -1.4% -13.4M -1.30B -34.9M 0.95 8.15 N/A N/A 797,745 757,995 6,193,590 9,662,985
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