Visualize $TSLA CALL pricing skew due to the upcoming earningsLet’s take a look at our new tradingview options screener indicator to see what we observe, as the options chain data has recently been updated.
When we look at the screener, we can immediately see that NASDAQ:TSLA has an exceptional Implied Volatility Rank value of over 100, which is extremely high. This is clearly due to the upcoming earnings report on July 23rd.
As we proceed, we notice that Tesla's Implied Volatility Index is also high, over 70. This means that not only the relative but also the absolute implied volatility of Tesla is high. Because the IVX value is above 30, Tesla’s IV Rank is displayed with a distinguishable black background. This favors credit strategies such as iron condors, broken wing butterflies, strangles, or simple short options.
Next, let’s examine how this IV index value has changed over the past five days. We can see it has increased by more than 6%, indicating an upward trend as we approach the earnings report.
In the next cell, we see a significant vertical price skew. Specifically, at 39 days to expiration, call options are 84% more expensive than put options at the same distance. This indicates that market participants are pricing in a significant upward movement in the options chain.
The call skew is so pronounced that at 39 days to expiration, the 16 delta call value exits the expected range. This signifies a substantial delta skew twist, which I will show you visually.
We see a horizontal IV index skew between the third and fourth weeks in the options chain. This means the front weekly IVX is lower than the IVX for the following week, which may favor calendar or diagonal strategies. Hovering over this with the mouse reveals it’s around the third and fourth week.
In the last cell, we observe that there’s a horizontal IVX skew not just in weekly expirations but also between the second and third monthly expirations.
Now, let’s see how these values appear visually on Tesla’s chart using our Options Overlay Indicator. On the right panel, the previously mentioned values are displayed in more detail when you hover over them with the mouse. The really exciting part is setting the 16 delta curve and seeing the extent of the upward shift in options pricing. This significant skew is also visible at closer delta values.
When we enable the expected move and standard deviation curves, it immediately becomes clear what this severe vertical pricing skew in favor of call options means. Practically, market participants are significantly pricing in upward movement right after the earnings report.
Hovering over the colored labels associated with the expirations displays all data precisely, showing the number of days until expiration and the high implied volatility index value for that expiration. Additionally, a green curve indicating overpricing due to extra interest is displayed. Weekly expiration horizontal IVX skew values appear in purple, and those affected by monthly skew are shown in turquoise blue.
The 'Lite' version of our indicators is available for free to everyone, where you can also view Tesla as demonstrated. Pro indicators are available more than 150 US market symbols like SPY, S&P500, Nvidia, bonds, etfs and many others.
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