TSLA Options History — March 2020 In March 2020, TSLA traded between $23.65 and $49.87. ATM implied volatility averaged 112.7%, placing in the 70.3% IV rank vs the trailing year. The 30-day expected move averaged 31.7%. IV traded below realized volatility by 15.3% (HV 20d: 128.0%). Max pain ranged from $36.67 to $47.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 1.17.
Notable Days 2020-03-03 : Highest Volume — 8,917,035 contracts2020-03-16 : Largest IV spike — 20.7% change2020-03-16 : Highest IV Rank — 100.0%2020-03-18 : Largest Expected Move — 44.8%Monthly Statistics Metric Avg Min Max Open Close Price $37.21 $23.65 $49.87 $48.82 $34.54 Max Pain $42.71 $36.67 $47.00 $36.67 $40.00 ATM IV 112.7% 86.6% 156.2% 86.6% 100.7% Expected Move 31.7% 24.7% 44.8% 25.0% 27.0% HV 20d 128.0% 85.5% 165.3% 165.3% 149.3% HV 60d 117.8% 102.0% 133.6% 102.1% 133.5% IV Rank 70.3% 52.1% 100.0% 52.1% 54.9% IV Percentile 98.0% 94.4% 100.0% 97.6% 94.4% Term Structure -2.7% -6.4% 1.5% -2.6% -1.2% VWIV 114.0% 88.3% 155.1% 91.9% 96.7% Skew 25d 26.7% 7.4% 53.8% 10.2% 19.7% Skew 10d 49.2% 14.0% 100.2% 17.8% 36.0% Call IV 25d 100.5% 83.0% 127.3% 83.8% 91.1% Put IV 25d 127.2% 94.0% 181.1% 94.0% 110.8% Bid-Ask Spread % 32.16 14.14 46.66 33.17 40.13 Gamma HHI 0.03 0.02 0.14 0.02 0.02 Net GEX -33.1M -189.6M 92.3M 23.5M -2.1M Net DEX -4.94B -21.10B 9.19B -19.10B -2.05B Net VEX -134.7M -155.4M -100.3M -147.2M -125.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.17 0.70 2.02 0.89 0.97 Total Volume 6,269,502.955 3,370,695 8,917,035 6,022,965 4,210,245 Total OI 30,764,378.864 25,768,965 35,065,980 30,968,985 26,629,575
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 2020-03-02 $48.82 $36.67 86.6% 25.0% 165.3% 52.1% 91.9% 10.2% -2.6% 23.5M -19.10B -147.2M 0.89 33.17 N/A N/A 3,184,050 2,838,915 11,374,965 19,594,020 2020-03-03 $49.87 $36.67 91.5% 26.5% 153.2% 57.0% 96.1% 8.2% -2.6% 92.3M -21.10B -154.7M 0.86 31.91 N/A N/A 4,788,600 4,128,435 12,039,045 20,401,275 2020-03-04 $49.14 $36.67 88.0% 24.9% 128.7% 53.5% 91.9% 7.4% -2.2% 73.1M -19.35B -154.1M 0.70 30.58 N/A N/A 3,946,050 2,757,330 12,630,330 21,374,070 2020-03-05 $48.19 $46.67 91.0% 24.7% 85.5% 56.5% 88.3% 13.1% -1.7% 15.7M -16.97B -155.4M 0.84 26.02 N/A N/A 2,796,360 2,347,290 13,045,650 21,637,185 2020-03-06 $46.91 $47.00 93.8% 25.4% 85.7% 59.2% 93.2% 16.0% -2.5% -189.6M -13.89B -154.6M 1.17 20.50 N/A N/A 3,028,500 3,529,860 13,232,925 21,833,055 2020-03-09 $41.12 $46.67 100.4% 27.5% 97.0% 65.6% 98.7% 24.8% -3.9% -74.1M -6.39B -146.8M 1.26 29.52 N/A N/A 2,380,425 2,989,965 11,412,060 19,657,695 2020-03-10 $42.90 $46.67 93.9% 25.9% 97.8% 59.3% 94.4% 24.2% -3.7% -36.6M -9.45B -149.7M 1.44 30.44 N/A N/A 2,139,855 3,070,935 12,045,900 19,862,175 2020-03-11 $42.28 $46.67 93.9% 26.1% 97.7% 59.3% 94.3% 23.0% -3.6% -35.8M -8.57B -146.8M 1.08 33.89 N/A N/A 2,130,135 2,301,285 12,467,310 20,225,535 2020-03-12 $37.55 $46.67 107.5% 29.9% 104.9% 72.7% 107.1% 27.9% -4.8% -122.0M -1.48B -141.0M 1.43 14.14 N/A N/A 2,578,890 3,698,565 12,740,205 20,340,915 2020-03-13 $35.57 $46.67 115.3% 32.2% 103.7% 80.2% 117.1% 38.7% -6.4% -116.9M 1.37B -135.3M 1.43 38.53 N/A N/A 3,664,095 5,226,300 13,083,525 20,451,105 2020-03-16 $30.36 $46.67 139.2% 39.9% 114.5% 100.0% 139.7% 45.3% -3.3% -80.7M 4.66B -121.4M 2.02 35.67 N/A N/A 1,795,350 3,633,945 11,481,180 19,195,995 2020-03-17 $28.44 $46.00 147.1% 41.7% 108.5% 100.0% 146.3% 49.6% -2.4% -81.3M 6.13B -114.3M 1.56 38.38 N/A N/A 2,619,255 4,091,070 11,675,205 19,216,290 2020-03-18 $23.65 $43.33 156.2% 44.8% 113.9% 100.0% 152.8% 53.8% -0.2% -71.8M 9.19B -100.3M 1.66 46.66 N/A N/A 2,659,725 4,418,340 12,125,475 19,368,720 2020-03-19 $28.73 $42.67 148.0% 42.5% 142.6% 93.3% 155.1% 49.8% -2.6% -36.4M 2.95B -120.0M 0.99 36.62 N/A N/A 4,434,285 4,387,695 12,598,575 19,220,310 2020-03-20 $29.27 $42.00 131.7% 38.0% 143.4% 80.1% 139.1% 42.7% -2.8% -26.1M 1.80B -121.7M 1.04 35.97 N/A N/A 4,225,770 4,404,870 12,970,635 19,670,145 2020-03-23 $28.77 $41.67 123.4% 34.8% 142.9% 73.3% 126.2% 30.3% 1.5% -30.2M 2.22B -116.3M 1.13 35.08 N/A N/A 1,776,750 2,010,525 9,955,305 15,813,660 2020-03-24 $33.65 $40.33 113.5% 32.0% 157.8% 65.3% 117.6% 22.2% -0.3% 35.3M -3.15B -129.6M 1.05 30.23 N/A N/A 3,194,655 3,362,580 10,424,220 16,060,590 2020-03-25 $36.31 $40.00 124.0% 34.8% 161.6% 73.8% 125.0% 21.2% -3.0% 39.6M -6.82B -139.1M 0.88 20.77 N/A N/A 3,547,980 3,123,375 10,700,775 16,962,345 2020-03-26 $34.45 $40.00 117.9% 32.8% 156.4% 68.8% 118.1% 21.7% -2.2% -13.5M -3.89B -131.8M 1.08 30.08 N/A N/A 2,863,200 3,097,770 10,951,980 17,456,325 2020-03-27 $34.66 $40.00 110.0% 30.9% 156.1% 62.4% 113.5% 20.1% -4.9% -65.1M -3.86B -131.1M 1.17 31.90 N/A N/A 3,303,480 3,871,665 11,216,850 17,752,575 2020-03-30 $33.55 $40.00 105.9% 29.3% 148.9% 59.1% 105.4% 18.7% -3.6% -24.2M -918.5M -125.6M 1.18 37.21 N/A N/A 1,545,225 1,825,470 9,832,800 16,087,860 2020-03-31 $34.54 $40.00 100.7% 27.0% 149.3% 54.9% 96.7% 19.7% -1.2% -2.1M -2.05B -125.9M 0.97 40.13 N/A N/A 2,138,235 2,072,010 10,139,535 16,490,040
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