TSLA Options History — September 2020 In September 2020, TSLA traded between $111.31 and $158.67. ATM implied volatility averaged 111.9%, placing in the 64.0% IV rank vs the trailing year. The 30-day expected move averaged 30.6%. IV traded below realized volatility by 7.2% (HV 20d: 119.2%). Max pain ranged from $99.33 to $113.33. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.62.
Notable Days 2020-09-04 : Highest Volume — 6,079,794 contracts2020-09-23 : Largest IV drop — 13.2% change2020-09-02 : Highest IV Rank — 77.1%2020-09-18 : Largest Expected Move — 36.5%Monthly Statistics Metric Avg Min Max Open Close Price $137.96 $111.31 $158.67 $158.67 $142.83 Max Pain $106.38 $99.33 $113.33 $99.33 $113.33 ATM IV 111.9% 89.6% 128.0% 125.1% 89.6% Expected Move 30.6% 22.4% 36.5% 33.4% 22.4% HV 20d 119.2% 79.5% 131.8% 79.5% 123.4% HV 60d 91.4% 74.0% 99.0% 74.0% 94.9% IV Rank 64.0% 45.8% 77.1% 74.7% 45.8% IV Percentile 87.8% 69.4% 97.6% 96.4% 69.4% Term Structure -1.4% -6.6% 3.3% -3.7% 0.3% VWIV 109.8% 79.0% 129.2% 121.2% 79.0% Skew 25d -3.7% -17.9% 30.0% -17.9% -0.8% Skew 10d -6.9% -22.4% 41.6% -21.7% -3.0% Call IV 25d 118.1% 89.5% 140.9% 140.9% 89.5% Put IV 25d 114.4% 88.7% 158.2% 123.0% 88.7% Bid-Ask Spread % 12.39 4.81 38.34 6.64 10.83 Gamma HHI 0.04 0.02 0.25 0.04 0.03 Net GEX 263.3M -20.9M 735.9M 400.3M 315.7M Net DEX -81.57B -115.49B -49.65B -115.49B -80.06B Net VEX -245.3M -269.4M -224.4M -262.7M -224.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.62 0.38 0.78 0.52 0.52 Total Volume 3,883,399.429 1,519,089 6,079,794 5,046,327 1,797,003 Total OI 25,380,853.714 21,850,086 28,177,578 27,266,406 22,465,278
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 2020-09-01 $158.67 $99.33 125.1% 33.4% 79.5% 74.7% 121.2% -17.9% -3.7% 400.3M -115.49B -262.7M 0.52 6.64 N/A N/A 3,321,129 1,725,198 10,430,523 16,835,883 2020-09-02 $147.11 $100.00 128.0% 33.7% 86.9% 77.1% 122.5% -14.1% -2.9% 178.9M -95.62B -269.4M 0.60 33.25 N/A N/A 3,305,874 1,972,449 10,573,977 16,969,674 2020-09-03 $135.86 $100.00 127.2% 34.4% 93.7% 76.5% 123.3% -8.3% -3.5% -20.9M -77.29B -266.0M 0.76 23.59 N/A N/A 2,726,040 2,075,601 10,834,554 17,080,800 2020-09-04 $140.47 $100.00 126.5% 34.4% 92.5% 75.9% 122.6% -8.3% -3.2% 132.3M -86.04B -264.0M 0.75 26.45 N/A N/A 3,476,292 2,603,502 10,995,666 17,181,912 2020-09-08 $111.31 $100.00 123.3% 33.3% 127.6% 73.3% 120.4% 30.0% -6.6% 70.2M -49.65B -233.5M 0.71 8.72 N/A N/A 2,808,966 2,007,483 9,959,361 16,130,958 2020-09-09 $120.15 $102.67 110.1% 30.2% 129.2% 62.5% 109.2% 27.9% -4.6% 157.8M -61.55B -243.1M 0.72 6.47 N/A N/A 2,285,904 1,635,540 10,356,276 16,307,442 2020-09-10 $124.75 $103.33 105.2% 28.8% 123.0% 58.5% 105.9% -7.7% -6.3% 248.8M -68.67B -245.4M 0.66 38.34 N/A N/A 2,787,990 1,835,586 10,545,180 16,556,937 2020-09-11 $123.56 $105.33 102.9% 28.7% 122.4% 56.7% 103.7% -8.1% -4.4% 235.9M -66.49B -243.2M 0.78 5.94 N/A N/A 2,330,988 1,807,221 10,747,290 16,372,290 2020-09-14 $138.54 $106.67 107.0% 30.3% 128.3% 60.0% 108.2% -9.9% 0.3% 337.9M -88.17B -247.9M 0.47 6.18 N/A N/A 2,440,992 1,155,837 9,987,573 15,812,034 2020-09-15 $149.22 $106.67 117.7% 33.6% 124.6% 68.7% 119.9% -11.3% 2.0% 482.5M -104.99B -253.7M 0.38 20.17 N/A N/A 3,639,909 1,378,908 10,270,368 15,931,809 2020-09-16 $147.20 $106.67 120.2% 34.5% 124.6% 70.7% 125.7% -9.8% 0.4% 418.6M -100.71B -254.8M 0.47 11.57 N/A N/A 2,321,166 1,080,795 10,379,754 16,098,816 2020-09-17 $141.61 $106.67 123.5% 35.4% 125.6% 73.4% 126.0% -8.0% -0.5% 276.4M -91.08B -252.0M 0.62 7.31 N/A N/A 2,483,916 1,546,848 10,474,326 16,296,828 2020-09-18 $149.93 $107.33 127.2% 36.5% 125.0% 76.4% 129.2% -7.9% -0.3% 735.9M -105.11B -253.5M 0.52 8.46 N/A N/A 2,911,146 1,522,026 10,641,690 16,587,780 2020-09-21 $148.92 $108.67 123.9% 35.6% 125.0% 73.8% 125.9% -8.7% -1.8% 324.9M -89.47B -248.4M 0.43 6.85 N/A N/A 1,897,035 819,564 9,033,345 13,588,449 2020-09-22 $142.60 $110.00 116.4% 32.9% 125.9% 67.7% 118.3% -8.7% -1.2% 296.2M -81.25B -244.1M 0.47 7.80 N/A N/A 1,737,549 820,560 9,263,421 13,753,854 2020-09-23 $128.19 $109.33 101.1% 27.5% 131.8% 55.2% 98.8% -3.3% 1.2% 66.9M -61.22B -230.6M 0.76 6.18 N/A N/A 2,371,749 1,797,486 9,377,013 13,878,894 2020-09-24 $130.39 $110.00 98.9% 26.6% 129.7% 53.4% 94.8% -0.4% 1.9% 102.4M -64.38B -232.8M 0.76 5.84 N/A N/A 2,426,421 1,853,889 9,440,868 14,071,116 2020-09-25 $135.14 $112.67 92.8% 24.0% 129.5% 48.4% 85.6% -0.3% 3.3% 272.7M -72.02B -229.3M 0.72 4.81 N/A N/A 1,888,962 1,359,402 9,590,991 14,232,567 2020-09-28 $140.83 $112.00 92.2% 23.3% 130.6% 47.9% 83.1% -1.6% 0.1% 243.5M -77.61B -224.4M 0.58 6.71 N/A N/A 962,031 557,058 8,391,405 13,458,681 2020-09-29 $139.78 $113.33 91.8% 23.1% 123.7% 47.6% 82.1% -1.2% 0.6% 253.2M -76.19B -227.2M 0.73 8.05 N/A N/A 1,199,985 875,388 8,547,219 13,545,126 2020-09-30 $142.83 $113.33 89.6% 22.4% 123.4% 45.8% 79.0% -0.8% 0.3% 315.7M -80.06B -224.9M 0.52 10.83 N/A N/A 1,181,328 615,675 8,651,088 13,814,190
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