TSLA Options History — September 2021 In September 2021, TSLA traded between $241.88 and $264.98. ATM implied volatility averaged 41.2%, placing in the 5.4% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 10.4% (HV 20d: 30.8%). Max pain ranged from $220.00 to $246.67. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.91.
Notable Days 2021-09-24 : Highest Volume — 5,736,918 contracts2021-09-20 : Largest IV spike — 28.5% change2021-09-30 : Highest IV Rank — 21.6%2021-09-30 : Largest Expected Move — 14.1%Monthly Statistics Metric Avg Min Max Open Close Price $251.29 $241.88 $264.98 $245.12 $259.38 Max Pain $239.60 $220.00 $246.67 $220.00 $246.67 ATM IV 41.2% 37.0% 52.0% 38.3% 52.0% Expected Move 11.5% 9.8% 14.1% 9.8% 14.1% HV 20d 30.8% 22.3% 37.0% 36.4% 28.3% HV 60d 32.8% 32.0% 33.5% 33.3% 32.1% IV Rank 5.4% 0.0% 21.6% 1.0% 21.6% IV Percentile 7.8% 0.0% 27.8% 1.6% 27.8% Term Structure 2.1% -1.7% 5.3% 2.8% -1.7% VWIV 43.1% 37.1% 58.6% 37.1% 58.6% Skew 25d 12.0% 6.8% 21.3% 6.9% 21.3% Skew 10d 25.6% 15.2% 43.9% 16.5% 43.9% Call IV 25d 37.2% 32.7% 45.2% 36.4% 44.8% Put IV 25d 49.1% 41.7% 66.2% 43.3% 66.2% Bid-Ask Spread % 6.19 2.87 11.12 2.87 11.12 Gamma HHI 0.05 0.03 0.15 0.06 0.04 Net GEX 1.06B 19.2M 2.39B 1.82B 515.9M Net DEX -75.97B -85.83B -54.98B -78.78B -74.90B Net VEX -395.6M -432.1M -378.9M -382.4M -422.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.91 0.61 1.36 0.68 1.32 Total Volume 3,366,748 2,116,917 5,736,918 2,441,712 4,245,996 Total OI 15,923,071.714 14,033,982 17,343,267 15,745,518 17,343,267
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 2021-09-01 $245.12 $220.00 38.3% 9.8% 36.4% 1.0% 37.1% 6.9% 2.8% 1.82B -78.78B -382.4M 0.68 2.87 N/A N/A 1,455,693 986,019 7,738,110 8,007,408 2021-09-02 $243.69 $226.67 37.9% 11.8% 36.5% 0.6% 42.1% 7.8% 2.8% 1.42B -74.64B -381.6M 0.77 6.27 N/A N/A 1,511,346 1,167,837 7,814,547 8,331,693 2021-09-03 $243.65 $233.33 37.0% 11.4% 35.6% 0.0% 41.7% 7.8% 2.8% 845.5M -74.25B -384.1M 1.07 5.73 N/A N/A 1,929,672 2,072,550 7,927,803 8,584,611 2021-09-07 $251.14 $233.33 37.9% 11.3% 36.4% 1.0% 41.3% 6.8% 1.1% 1.30B -81.68B -387.0M 0.64 4.57 N/A N/A 2,188,281 1,402,440 7,275,489 7,818,045 2021-09-08 $251.33 $233.33 39.0% 11.5% 36.3% 2.2% 41.1% 6.8% 0.9% 1.47B -83.81B -386.6M 0.63 4.31 N/A N/A 1,771,794 1,110,834 7,441,428 8,378,784 2021-09-09 $251.78 $233.33 38.6% 11.2% 36.2% 1.8% 42.3% 8.8% 0.6% 1.65B -84.00B -391.2M 1.12 4.30 N/A N/A 1,443,642 1,621,815 7,749,516 8,772,240 2021-09-10 $246.01 $233.33 41.3% 11.9% 37.0% 4.8% 44.6% 9.8% 0.5% 480.8M -72.35B -389.4M 1.13 6.97 N/A N/A 1,918,857 2,168,475 7,851,432 8,904,846 2021-09-13 $246.97 $236.67 39.6% 11.4% 37.0% 2.9% 42.0% 9.4% 2.8% 599.5M -72.06B -382.1M 0.87 6.05 N/A N/A 1,695,096 1,471,326 7,342,296 7,888,095 2021-09-14 $247.62 $240.00 40.5% 11.6% 31.9% 3.8% 42.8% 12.0% 2.2% 448.3M -72.14B -378.9M 0.73 8.19 N/A N/A 1,709,529 1,244,262 7,493,568 8,394,087 2021-09-15 $251.88 $240.00 37.1% 10.6% 28.9% 0.1% 39.3% 11.8% 2.9% 1.33B -82.96B -380.7M 0.93 8.02 N/A N/A 1,500,168 1,398,840 7,759,827 8,668,572 2021-09-16 $252.88 $241.67 37.7% 10.7% 25.1% 0.7% 41.1% 13.3% 2.6% 1.79B -84.69B -395.0M 1.14 8.00 N/A N/A 1,446,972 1,644,903 7,969,542 8,884,974 2021-09-17 $252.90 $243.33 37.3% 10.5% 22.3% 0.3% 40.6% 11.8% 2.5% 2.39B -85.83B -395.0M 0.97 5.78 N/A N/A 2,122,317 2,053,431 8,125,446 9,099,876 2021-09-20 $241.88 $245.00 47.9% 13.6% 28.5% 12.1% 49.3% 15.3% 3.9% 128.5M -54.98B -393.7M 1.25 4.93 N/A N/A 1,262,664 1,578,015 6,664,014 7,369,968 2021-09-21 $246.55 $246.67 41.7% 11.4% 26.4% 5.4% 39.6% 14.7% 4.3% 19.2M -58.99B -395.0M 0.86 4.58 N/A N/A 1,137,621 979,296 6,837,189 7,884,504 2021-09-22 $250.54 $245.00 37.8% 10.1% 26.9% 1.0% 38.8% 14.4% 5.3% 797.9M -67.18B -392.9M 0.91 7.12 N/A N/A 1,287,831 1,171,140 6,990,936 8,079,525 2021-09-23 $251.53 $246.67 38.6% 10.0% 26.9% 2.3% 39.4% 15.2% 5.1% 1.34B -69.99B -395.9M 1.36 7.80 N/A N/A 1,293,522 1,753,836 7,154,295 8,317,212 2021-09-24 $257.17 $246.67 40.2% 10.4% 26.7% 4.6% 40.5% 13.6% 5.1% 2.06B -81.83B -402.1M 0.83 4.98 N/A N/A 3,135,828 2,601,090 7,284,360 8,561,016 2021-09-27 $264.98 $246.67 44.4% 11.3% 27.8% 10.6% 44.7% 11.7% -0.6% 797.6M -85.17B -415.0M 0.64 6.08 N/A N/A 2,942,961 1,878,042 6,806,133 8,073,690 2021-09-28 $260.12 $246.67 49.9% 13.1% 28.2% 18.5% 47.8% 15.2% -1.1% 594.3M -77.97B -423.5M 0.61 6.96 N/A N/A 2,055,567 1,257,483 7,130,928 8,750,475 2021-09-29 $260.06 $246.67 50.2% 13.1% 28.2% 19.0% 50.6% 16.9% -1.2% 539.0M -77.08B -432.1M 0.68 5.40 N/A N/A 1,835,442 1,249,275 7,531,122 9,383,637 2021-09-30 $259.38 $246.67 52.0% 14.1% 28.3% 21.6% 58.6% 21.3% -1.7% 515.9M -74.90B -422.8M 1.32 11.12 N/A N/A 1,827,804 2,418,192 7,688,277 9,654,990
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