ORATS data and comments appeared in a Reuters story on Tesla yesterday.
Using our data API, ORATS presented the following graph to show, “Initially options traders reacted with a little bit of belief, now there is disbelief,” said Matt Amberson, founder at ORATS.
If options traders thought TSLA would get taken private the 1 year (and 2 year) IV would react lower. This initially happened but is now back to 8/6 levels.
Notice how the GREEN line dipped after the comments made after the black vertical line but then has come back to pre-comment levels.
The GREEN line is the constant maturity, 1-year implied volatility with the effect of earnings taken out.
ORATS extracts the earnings effect from implied volatility readings to provide a better metric for comparison over time.