Most Active Weekly Options: Tesla Motors Inc (TSLA)

Tesla Motors Inc option traders expect more short-term speed bumps

by Andrea Kramer

Published on Dec 8, 2014 at 1:19 PM
Updated on Apr 20, 2015 at 5:32 PM

The 20 stocks listed in the table below are the names that have attracted the highest weekly options volume during the past 10 trading days. Those highlighted are new to the list since the last time the study was run, and data is courtesy of Schaeffer's Senior Quantitative Analyst Rocky White. One name of notable interest today is Tesla Motors Inc (NASDAQ:TSLA), which is garnering attention from short-term bears.

Most Active Weekly Options Table

Tesla Motors Inc is following the broader equities market into the red, down 4.3% at $214.14 -- in territory not charted since mid-July. The stock has now surrendered 12.4% so far in December, but maintains a year-to-date surplus of more than 42%.

Amid the equity's fourth-quarter pullback, options traders have been upping the bearish ante. On the International Securities Exchange (ISE), Chicago Board Options Exchange (CBOE), and NASDAQ OMX PHLX (PHLX), the stock's 50-day put/call volume ratio of 0.94 stands just 3 percentage points from a 12-month high. In other words, option buyers have picked up TSLA puts over calls at a much faster-than-usual clip in recent weeks.

In today's session, TSLA speculators are gambling on more short-term downside for the shares. Intraday put volume is accelerated relative to the norm, and the equity's 30-day at-the-money (ATM) implied volatility (IV) has popped 11.1% to 38.6%, reflecting a growing demand for near-term contracts.

In fact, most active are the weekly 12/12 215- and 220-strike puts, where volume has surpassed open interest, hinting at fresh initiations. Plus, IV has increased by double-digit percentage points at each strike, and a healthy portion of the puts have traded on the ask side, indicating buy-to-open action.

By purchasing the puts to open, the buyers expect TSLA to extend its retreat beneath the strikes through Friday's close, when the weekly series expires. In light of the stock's dip today, delta on the 215-strike put stands at negative 0.50, compared to negative 0.22 at Friday's close, reflecting increased odds of expiring in the money. Likewise, delta on the 220-strike put rests at negative 0.68, compared to negative 0.36 at the end of last week.

But, while Tesla Motors Inc's (NASDAQ:TSLA) 30-day ATM IV is on the rise, the electric car issue's short-term options are still relatively inexpensive, from a historical standpoint. The security's Schaeffer's Volatility Index (SVI) of 35% sits just 9 percentage points from an annual low, and its Schaeffer's Volatility Scorecard (SVS) of 93 indicates TSLA has tended to make outsized moves on the charts over the past year, relative to what the options market has priced in.


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