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.

 

 

 

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