$TSLA Skyrocketed Ahead of Stock Split

Measuring the Performance of A SpiderRock Options Data Signal

Price spikes preceded by the 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.

How was this research created?

Data Sources

Research Tools

Xinyi Long (Emma) - CloudQuant Quantitative Research Intern

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