TSLA Options History — November 2017 In November 2017, TSLA traded between $19.93 and $21.45. ATM implied volatility averaged 36.2%, placing in the 25.7% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded below realized volatility by 3.1% (HV 20d: 39.3%). Max pain ranged from $22.00 to $23.33. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.93.
Notable Days 2017-11-02 : Highest Volume — 6,146,910 contracts2017-11-02 : Largest IV drop — 21.6% change2017-11-01 : Highest IV Rank — 87.9%2017-11-01 : Largest Expected Move — 17.0%Monthly Statistics Metric Avg Min Max Open Close Price $20.68 $19.93 $21.45 $21.45 $20.59 Max Pain $22.32 $22.00 $23.33 $23.33 $22.00 ATM IV 36.2% 31.0% 50.0% 50.0% 33.7% Expected Move 10.6% 9.1% 17.0% 17.0% 10.0% HV 20d 39.3% 32.5% 41.7% 32.5% 38.2% HV 60d 34.9% 31.9% 35.7% 31.9% 35.2% IV Rank 25.7% 2.2% 87.9% 87.9% 14.4% IV Percentile 39.1% 0.4% 99.6% 99.6% 20.2% Term Structure 0.5% -2.0% 4.2% -2.0% 2.4% VWIV 37.7% 32.3% 59.6% 59.6% 35.7% Skew 25d 3.4% 2.7% 5.5% 4.6% 5.5% Skew 10d 7.0% 5.6% 9.2% 9.2% 8.0% Call IV 25d 35.0% 29.8% 48.0% 48.0% 30.9% Put IV 25d 38.4% 32.9% 52.5% 52.5% 36.4% Bid-Ask Spread % 12.89 5.55 35.03 28.28 8.20 Gamma HHI 0.06 0.03 0.27 0.03 0.04 Net GEX -15.9M -152.4M 175.2M -34.8M -48.8M Net DEX 67.2M -1.53B 2.53B -344.1M -56.5M Net VEX -35.6M -37.7M -32.2M -35.2M -35.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.93 0.68 1.27 1.13 1.03 Total Volume 2,596,940 1,448,085 6,146,910 2,498,490 1,490,490 Total OI 17,700,090.714 16,291,260 19,348,215 16,291,260 17,603,565
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 2017-11-01 $21.45 $23.33 50.0% 17.0% 32.5% 87.9% 59.6% 4.6% -2.0% -34.8M -344.1M -35.2M 1.13 28.28 N/A N/A 1,173,945 1,324,545 6,387,300 9,903,960 2017-11-02 $19.93 $23.33 39.2% 11.3% 40.5% 39.2% 40.0% 3.6% 0.0% -152.4M 2.53B -32.2M 1.27 18.51 N/A N/A 2,707,365 3,439,545 6,783,345 10,384,200 2017-11-03 $20.40 $23.00 36.2% 10.5% 41.7% 25.6% 37.3% 2.7% 0.4% -72.2M 1.09B -34.2M 1.13 13.25 N/A N/A 1,894,920 2,147,580 7,424,085 10,877,085 2017-11-06 $20.17 $22.67 37.8% 10.9% 40.0% 32.8% 38.8% 3.5% 0.1% -68.5M 1.31B -34.5M 1.09 11.76 N/A N/A 877,965 953,115 6,767,625 10,275,120 2017-11-07 $20.41 $22.67 37.0% 10.8% 37.5% 29.0% 38.1% 3.1% 0.5% -43.2M 886.5M -35.7M 1.19 10.30 N/A N/A 867,435 1,033,530 7,063,515 10,543,740 2017-11-08 $20.31 $22.33 37.0% 10.8% 37.4% 29.2% 39.0% 3.2% 0.7% -38.2M 1.01B -35.5M 0.98 13.10 N/A N/A 731,685 716,400 7,275,240 10,765,995 2017-11-09 $20.19 $22.33 37.2% 10.7% 37.2% 30.1% 39.1% 3.0% 0.3% -61.7M 1.22B -34.8M 0.95 14.03 N/A N/A 1,029,495 981,735 7,339,275 10,850,760 2017-11-10 $20.20 $22.33 36.0% 10.4% 37.2% 24.9% 37.3% 3.1% 0.3% -354.1K 1.08B -35.0M 0.76 5.67 N/A N/A 1,553,760 1,186,800 7,491,870 10,983,360 2017-11-13 $21.03 $22.33 36.4% 10.5% 40.9% 26.7% 37.4% 3.0% -0.2% 1.9M -555.4M -35.8M 0.83 12.54 N/A N/A 1,640,490 1,368,105 7,170,750 10,605,300 2017-11-14 $20.57 $22.33 36.8% 10.6% 40.6% 28.5% 37.4% 2.9% -0.2% -35.9M 387.5M -36.0M 0.76 6.12 N/A N/A 1,114,080 844,425 7,532,025 10,916,190 2017-11-15 $20.74 $22.00 37.8% 10.8% 40.3% 33.0% 38.5% 3.3% 0.3% 1.5M -84.2M -36.0M 0.68 7.72 N/A N/A 1,109,985 756,690 7,756,935 11,082,615 2017-11-16 $20.84 $22.00 37.0% 10.6% 40.1% 29.4% 37.8% 3.7% 1.4% 22.7M -397.4M -36.4M 0.68 21.87 N/A N/A 1,481,205 1,014,255 7,932,510 11,200,050 2017-11-17 $20.96 $22.00 36.3% 10.4% 39.9% 26.0% 36.7% 3.3% 0.3% 3.3M -534.6M -36.4M 0.71 20.54 N/A N/A 3,362,550 2,399,850 8,044,530 11,303,685 2017-11-20 $20.56 $22.00 36.5% 10.5% 39.7% 26.9% 37.2% 3.1% -1.4% -22.5M -172.6M -36.0M 0.91 8.98 N/A N/A 1,355,010 1,232,865 6,415,575 9,896,310 2017-11-21 $21.19 $22.00 34.2% 9.7% 41.6% 16.7% 34.5% 3.7% 0.2% 76.7M -1.53B -37.7M 0.94 9.24 N/A N/A 1,416,075 1,325,790 6,778,350 10,260,525 2017-11-22 $20.84 $22.00 34.2% 9.6% 40.4% 16.6% 34.0% 3.3% -1.5% -37.6M -621.8M -37.5M 0.79 7.09 N/A N/A 1,150,020 905,970 6,999,630 10,529,925 2017-11-24 $21.04 $22.00 31.1% 9.1% 40.6% 2.7% 32.4% 2.7% -0.8% 175.2M -1.30B -36.3M 0.82 35.03 N/A N/A 969,285 797,100 7,148,880 10,686,165 2017-11-27 $21.14 $22.00 31.2% 9.1% 40.2% 3.2% 32.3% 3.0% 3.1% 26.7M -1.23B -35.9M 0.96 5.60 N/A N/A 850,080 819,915 6,490,005 10,065,915 2017-11-28 $21.16 $22.00 31.0% 9.1% 40.2% 2.2% 32.3% 3.3% 2.2% 41.5M -1.40B -35.3M 1.00 5.55 N/A N/A 836,130 835,035 6,677,340 10,254,675 2017-11-29 $20.52 $22.00 33.8% 10.6% 39.3% 14.6% 37.4% 3.8% 4.2% -66.7M 132.0M -35.2M 1.01 7.34 N/A N/A 1,415,100 1,425,420 6,788,505 10,445,475 2017-11-30 $20.59 $22.00 33.7% 10.0% 38.2% 14.4% 35.7% 5.5% 2.4% -48.8M -56.5M -35.8M 1.03 8.20 N/A N/A 735,750 754,740 6,973,575 10,629,990
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