$TSLA Skyrocketed Ahead of Stock Split
Shown in the spikes in the acceleration of change of volatility spread
September 15, 2020
TSLA skyrocketed ahead of stock split – How did the options market show the trading signals?
TSLA skyrocketed ahead of stock split – How did the options market show the trading signals?
Through mid-June to the end of August, the two spikes in the acceleration of change of volatility spread implied the two rallies of the stock price one week ahead of time, while the downward spike predicted the post-split drop.
This experiment of TSLA shows the predictive power of the options market in stock performance. The changing speed of implied volatility spread appears to be signals for future stock performance. We define implied volatility spread as the implied volatility of a call subtracted by the implied volatility of a put, within the call-put pair they share the same expiration, strike, and underlying. And far out-of-money options (20 delta) are excluded.
Data Sources
- SpiderRock Options Live Surface Term – End of Day
- CloudQuant AI (for market data and Jupyter Notebooks)
Research by Xinyi Long (Emma) – CloudQuant Quantitative Research Intern
Data Used to Create the Graphs
Price Data
| Date | Open | High | Low | Close | Adj Close | Volume |
| 4/1/2020 | 100.8 | 102.79 | 95.02 | 96.312 | 96.312 | 66,766,000 |
| 4/2/2020 | 96.206 | 98.852 | 89.28 | 90.894 | 90.894 | 99,292,000 |
| 4/3/2020 | 101.9 | 103.098 | 93.678 | 96.002 | 96.002 | 112,810,500 |
| 4/6/2020 | 102.24 | 104.2 | 99.592 | 103.248 | 103.248 | 74,509,000 |
| 4/7/2020 | 109 | 113 | 106.468 | 109.09 | 109.09 | 89,599,000 |
| 4/8/2020 | 110.84 | 111.442 | 106.666 | 109.768 | 109.768 | 63,280,000 |
| 4/9/2020 | 112.418 | 115.036 | 111.422 | 114.6 | 114.6 | 68,250,000 |
| 4/13/2020 | 118.032 | 130.4 | 116.106 | 130.19 | 130.19 | 112,377,000 |
| 4/14/2020 | 139.794 | 148.376 | 138.486 | 141.978 | 141.978 | 152,882,500 |
| 4/15/2020 | 148.4 | 150.626 | 142 | 145.966 | 145.966 | 117,885,000 |
| 4/16/2020 | 143.388 | 151.89 | 141.344 | 149.042 | 149.042 | 103,289,500 |
| 4/17/2020 | 154.456 | 154.99 | 149.532 | 150.778 | 150.778 | 65,641,000 |
| 4/20/2020 | 146.54 | 153.114 | 142.442 | 149.272 | 149.272 | 73,733,000 |
| 4/21/2020 | 146.024 | 150.666 | 134.758 | 137.344 | 137.344 | 101,045,500 |
| 4/22/2020 | 140.796 | 146.8 | 137.742 | 146.422 | 146.422 | 71,124,000 |
| 4/23/2020 | 145.52 | 146.8 | 140.626 | 141.126 | 141.126 | 66,183,500 |
| 4/24/2020 | 142.162 | 146.146 | 139.636 | 145.03 | 145.03 | 66,188,000 |
| 4/27/2020 | 147.522 | 159.898 | 147 | 159.75 | 159.75 | 103,407,000 |
| 4/28/2020 | 159.128 | 161 | 151.338 | 153.824 | 153.824 | 76,110,000 |
| 4/29/2020 | 158.034 | 160.64 | 156.632 | 160.102 | 160.102 | 81,080,000 |
| 4/30/2020 | 171.038 | 173.964 | 152.7 | 156.376 | 156.376 | 142,359,500 |
| 5/1/2020 | 151 | 154.554 | 136.608 | 140.264 | 140.264 | 162,659,000 |
| 5/4/2020 | 140.2 | 152.4 | 139.6 | 152.238 | 152.238 | 96,185,500 |
| 5/5/2020 | 157.958 | 159.784 | 152.436 | 153.642 | 153.642 | 84,958,500 |
| 5/6/2020 | 155.3 | 157.96 | 152.222 | 156.516 | 156.516 | 55,616,000 |
| 5/7/2020 | 155.442 | 159.28 | 154.47 | 156.008 | 156.008 | 57,638,500 |
| 5/8/2020 | 158.754 | 164.8 | 157.402 | 163.884 | 163.884 | 80,650,500 |
| 5/11/2020 | 158.102 | 164.8 | 157 | 162.258 | 162.258 | 82,598,000 |
| 5/12/2020 | 165.4 | 168.658 | 161.6 | 161.882 | 161.882 | 79,534,500 |
| 5/13/2020 | 164.166 | 165.2 | 152.66 | 158.192 | 158.192 | 95,327,500 |
| 5/14/2020 | 156 | 160.672 | 152.8 | 160.666 | 160.666 | 68,411,000 |
| 5/15/2020 | 158.07 | 161.01 | 157.31 | 159.834 | 159.834 | 52,592,000 |
| 5/18/2020 | 165.556 | 166.944 | 160.776 | 162.726 | 162.726 | 58,490,500 |
| 5/19/2020 | 163.034 | 164.414 | 161.216 | 161.602 | 161.602 | 48,182,500 |
| 5/20/2020 | 164.1 | 165.2 | 162.36 | 163.112 | 163.112 | 36,546,500 |
| 5/21/2020 | 163.2 | 166.5 | 159.2 | 165.52 | 165.52 | 61,273,000 |
| 5/22/2020 | 164.434 | 166.356 | 162.4 | 163.376 | 163.376 | 49,937,500 |
| 5/26/2020 | 166.9 | 166.92 | 163.142 | 163.774 | 163.774 | 40,448,500 |
| 5/27/2020 | 164.172 | 165.542 | 157 | 164.046 | 164.046 | 57,747,500 |
| 5/28/2020 | 162.702 | 164.95 | 160.338 | 161.162 | 161.162 | 36,278,000 |
| 5/29/2020 | 161.75 | 167 | 160.842 | 167 | 167 | 59,062,500 |
| 6/1/2020 | 171.6 | 179.8 | 170.82 | 179.62 | 179.62 | 74,697,500 |
| 6/2/2020 | 178.94 | 181.732 | 174.2 | 176.312 | 176.312 | 67,828,000 |
| 6/3/2020 | 177.624 | 179.588 | 176.02 | 176.592 | 176.592 | 39,747,500 |
| 6/4/2020 | 177.976 | 179.15 | 171.688 | 172.876 | 172.876 | 44,438,500 |
| 6/5/2020 | 175.568 | 177.304 | 173.24 | 177.132 | 177.132 | 39,059,500 |
| 6/8/2020 | 183.8 | 190 | 181.832 | 189.984 | 189.984 | 70,873,500 |
| 6/9/2020 | 188.002 | 190.888 | 184.786 | 188.134 | 188.134 | 56,941,000 |
| 6/10/2020 | 198.376 | 205.496 | 196.5 | 205.01 | 205.01 | 92,817,000 |
| 6/11/2020 | 198.04 | 203.792 | 194.4 | 194.568 | 194.568 | 79,582,500 |
| 6/12/2020 | 196 | 197.596 | 182.52 | 187.056 | 187.056 | 83,817,000 |
| 6/15/2020 | 183.558 | 199.768 | 181.7 | 198.18 | 198.18 | 78,486,000 |
| 6/16/2020 | 202.37 | 202.576 | 192.478 | 196.426 | 196.426 | 70,255,500 |
| 6/17/2020 | 197.542 | 201 | 196.514 | 198.358 | 198.358 | 49,454,000 |
| 6/18/2020 | 200.6 | 203.84 | 198.894 | 200.792 | 200.792 | 48,759,500 |
| 6/19/2020 | 202.556 | 203.194 | 198.268 | 200.18 | 200.18 | 43,398,500 |
| 6/22/2020 | 199.99 | 201.776 | 198.004 | 198.864 | 198.864 | 31,812,000 |
| 6/23/2020 | 199.776 | 202.4 | 198.802 | 200.356 | 200.356 | 31,826,500 |
| 6/24/2020 | 198.822 | 200.176 | 190.628 | 192.17 | 192.17 | 54,798,000 |
| 6/25/2020 | 190.854 | 197.196 | 187.43 | 197.196 | 197.196 | 46,272,500 |
| 6/26/2020 | 198.956 | 199 | 190.974 | 191.948 | 191.948 | 44,274,500 |
| 6/29/2020 | 193.802 | 202 | 189.704 | 201.87 | 201.87 | 45,132,000 |
| 6/30/2020 | 201.3 | 217.538 | 200.746 | 215.962 | 215.962 | 84,592,500 |
| 7/1/2020 | 216.6 | 227.066 | 216.1 | 223.926 | 223.926 | 66,634,500 |
| 7/2/2020 | 244.296 | 245.6 | 237.12 | 241.732 | 241.732 | 86,250,500 |
| 7/6/2020 | 255.338 | 275.558 | 253.208 | 274.316 | 274.316 | 102,849,500 |
| 7/7/2020 | 281.002 | 285.9 | 267.342 | 277.972 | 277.972 | 107,448,500 |
| 7/8/2020 | 281 | 283.452 | 262.268 | 273.176 | 273.176 | 81,556,500 |
| 7/9/2020 | 279.398 | 281.712 | 270.256 | 278.856 | 278.856 | 58,588,000 |
| 7/10/2020 | 279.2 | 309.784 | 275.202 | 308.93 | 308.93 | 116,688,000 |
| 7/13/2020 | 331.8 | 358.998 | 294.222 | 299.412 | 299.412 | 194,927,000 |
| 7/14/2020 | 311.2 | 318 | 286.2 | 303.36 | 303.36 | 117,090,500 |
| 7/15/2020 | 308.6 | 310 | 291.4 | 309.202 | 309.202 | 81,839,000 |
| 7/16/2020 | 295.432 | 306.342 | 293.2 | 300.128 | 300.128 | 71,504,000 |
| 7/17/2020 | 302.69 | 307.502 | 298 | 300.168 | 300.168 | 46,650,000 |
| 7/20/2020 | 303.802 | 330 | 297.6 | 328.6 | 328.6 | 85,607,000 |
| 7/21/2020 | 327.986 | 335 | 311.6 | 313.672 | 313.672 | 80,786,500 |
| 7/22/2020 | 319.8 | 325.284 | 312.4 | 318.466 | 318.466 | 70,805,500 |
| 7/23/2020 | 335.79 | 337.8 | 296.154 | 302.614 | 302.614 | 121,642,500 |
| 7/24/2020 | 283.202 | 293 | 273.308 | 283.4 | 283.4 | 96,983,000 |
| 7/27/2020 | 287 | 309.588 | 282.6 | 307.92 | 307.92 | 80,243,500 |
| 7/28/2020 | 300.8 | 312.94 | 294.884 | 295.298 | 295.298 | 79,043,500 |
| 7/29/2020 | 300.2 | 306.962 | 297.4 | 299.822 | 299.822 | 47,134,500 |
| 7/30/2020 | 297.6 | 302.648 | 294.2 | 297.498 | 297.498 | 38,105,000 |
| 7/31/2020 | 303 | 303.41 | 284.196 | 286.152 | 286.152 | 61,235,000 |
| 8/3/2020 | 289.84 | 301.962 | 288.876 | 297 | 297 | 44,046,500 |
| 8/4/2020 | 299.002 | 305.482 | 292.4 | 297.4 | 297.4 | 42,075,000 |
| 8/5/2020 | 298.598 | 299.968 | 293.662 | 297.004 | 297.004 | 24,890,000 |
| 8/6/2020 | 298.166 | 303.462 | 295.452 | 297.916 | 297.916 | 29,961,500 |
| 8/7/2020 | 299.908 | 299.95 | 283.002 | 290.542 | 290.542 | 44,482,000 |
| 8/10/2020 | 289.6 | 291.5 | 277.168 | 283.714 | 283.714 | 37,611,500 |
| 8/11/2020 | 279.2 | 284 | 273 | 274.878 | 274.878 | 43,129,000 |
| 8/12/2020 | 294 | 317 | 287 | 310.952 | 310.952 | 109,494,000 |
| 8/13/2020 | 322.2 | 330.236 | 313.452 | 324.2 | 324.2 | 102,126,500 |
| 8/14/2020 | 332.998 | 333.76 | 325.328 | 330.142 | 330.142 | 62,888,000 |
| 8/17/2020 | 335.4 | 369.172 | 334.566 | 367.128 | 367.128 | 101,211,500 |
| 8/18/2020 | 379.798 | 384.78 | 369.022 | 377.418 | 377.418 | 82,372,500 |
| 8/19/2020 | 373 | 382.2 | 368.242 | 375.706 | 375.706 | 61,026,500 |
| 8/20/2020 | 372.136 | 404.398 | 371.412 | 400.366 | 400.366 | 103,059,000 |
| 8/21/2020 | 408.952 | 419.098 | 405.01 | 409.996 | 409.996 | 107,448,000 |
| 8/24/2020 | 425.256 | 425.8 | 385.504 | 402.84 | 402.84 | 100,318,000 |
| 8/25/2020 | 394.978 | 405.59 | 393.6 | 404.668 | 404.668 | 53,294,500 |
| 8/26/2020 | 412 | 433.2 | 410.726 | 430.634 | 430.634 | 71,197,000 |
| 8/27/2020 | 436.092 | 459.12 | 428.5 | 447.75 | 447.75 | 118,465,000 |
| 8/28/2020 | 459.024 | 463.698 | 437.304 | 442.68 | 442.68 | 100,406,000 |
| 8/31/2020 | 444.61 | 500.14 | 440.11 | 498.32 | 498.32 | 118,374,400 |
| 9/1/2020 | 502.14 | 502.49 | 470.51 | 475.05 | 475.05 | 90,119,400 |
| 9/2/2020 | 478.99 | 479.04 | 405.12 | 447.37 | 447.37 | 96,176,100 |
| 9/3/2020 | 407.23 | 431.8 | 402 | 407 | 407 | 87,596,100 |
| 9/4/2020 | 402.81 | 428 | 372.02 | 418.32 | 418.32 | 110,321,900 |
| 9/8/2020 | 356 | 368.74 | 329.88 | 330.21 | 330.21 | 115,465,700 |
| 9/9/2020 | 356.6 | 369 | 341.51 | 366.28 | 366.28 | 79,465,800 |
| 9/10/2020 | 386.21 | 398.99 | 360.56 | 371.34 | 371.34 | 84,186,800 |
| 9/11/2020 | 381.94 | 382.5 | 360.5265 | 372.1301 | 372.1301 | 55,221,900 |
Volatility Data
| Date | TSLA VS |
| 5/1/2020 | 0.001688921 |
| 5/4/2020 | 0.020718024 |
| 5/5/2020 | 0.001828114 |
| 5/6/2020 | (0.002548689) |
| 5/7/2020 | 0.000410605 |
| 5/8/2020 | (0.009613965) |
| 5/11/2020 | (0.000113834) |
| 5/12/2020 | (0.000364262) |
| 5/13/2020 | (0.000562644) |
| 5/14/2020 | (0.000894011) |
| 5/15/2020 | (0.001308927) |
| 5/18/2020 | 0.000141213 |
| 5/19/2020 | 0.000296224 |
| 5/20/2020 | (0.000028800) |
| 5/21/2020 | (0.000086400) |
| 5/22/2020 | (0.002734944) |
| 5/26/2020 | 0.000078200 |
| 5/27/2020 | 0.000012200 |
| 5/28/2020 | 0.000081400 |
| 5/29/2020 | 0.003699890 |
| 6/1/2020 | 0.000571777 |
| 6/2/2020 | 0.000068900 |
| 6/3/2020 | 0.000021300 |
| 6/4/2020 | 0.000470633 |
| 6/5/2020 | 0.000006210 |
| 6/8/2020 | 0.000121940 |
| 6/9/2020 | 0.000020000 |
| 6/10/2020 | (0.000761690) |
| 6/11/2020 | 0.000113738 |
| 6/12/2020 | (0.000265713) |
| 6/15/2020 | (0.000682853) |
| 6/16/2020 | (0.000069300) |
| 6/17/2020 | (0.000735106) |
| 6/18/2020 | (0.000341790) |
| 6/19/2020 | (0.003259888) |
| 6/22/2020 | (0.000238943) |
| 6/23/2020 | 0.000096500 |
| 6/24/2020 | 0.000239875 |
| 6/25/2020 | (0.000855125) |
| 6/26/2020 | (0.000000131) |
| 6/29/2020 | (0.000140764) |
| 6/30/2020 | 0.000012200 |
| 7/1/2020 | 0.000308784 |
| 7/2/2020 | (0.000990164) |
| 7/6/2020 | 0.000348061 |
| 7/7/2020 | 0.000540480 |
| 7/8/2020 | (0.000123272) |
| 7/9/2020 | (0.000085300) |
| 7/10/2020 | 0.000483798 |
| 7/13/2020 | (0.002420339) |
| 7/14/2020 | (0.000048500) |
| 7/15/2020 | 0.000148244 |
| 7/16/2020 | 0.000046900 |
| 7/17/2020 | (0.000357375) |
| 7/20/2020 | (0.000224897) |
| 7/21/2020 | 0.000594345 |
| 7/22/2020 | (0.000026300) |
| 7/23/2020 | 0.000386801 |
| 7/24/2020 | (0.000728887) |
| 7/27/2020 | (0.000029500) |
| 7/28/2020 | 0.000640976 |
| 7/29/2020 | 0.000493134 |
| 7/30/2020 | 0.000088500 |
| 7/31/2020 | (0.002274937) |
| 8/3/2020 | (0.000193053) |
| 8/4/2020 | 0.001028313 |
| 8/5/2020 | 0.000858810 |
| 8/6/2020 | 0.000290952 |
| 8/7/2020 | 0.000739205 |
| 8/10/2020 | 0.000534087 |
| 8/11/2020 | 0.000214072 |
| 8/12/2020 | (0.000478853) |
| 8/13/2020 | (0.000245410) |
| 8/14/2020 | 0.001067296 |
| 8/17/2020 | 0.000114956 |
| 8/18/2020 | 0.000598640 |
| 8/19/2020 | 0.000371496 |
| 8/20/2020 | (0.000100978) |
| 8/21/2020 | 0.000180882 |
| 8/24/2020 | 0.001574418 |
| 8/25/2020 | (0.000371213) |
| 8/26/2020 | (0.000106220) |
| 8/27/2020 | 0.000251802 |
| 8/28/2020 | (0.002615449) |
| 8/31/2020 | (0.000484531) |
| 9/1/2020 | 0.000510153 |
| 9/2/2020 | 0.000689419 |
| 9/3/2020 | 0.000875037 |
| 9/4/2020 | 0.000207384 |
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