$Tesla (TSLA.US)$ The stock closed up over 5% from the previous day on the 21st. According to Tesla’s official event page and media reports, the company will hold a “Cybercab” unveiling event in Austin, Texas, on September 3. The Cybercab is a two-seater robotaxi-specific vehicle without a steering wheel or pedals, $Uber Technologies (UBER.US)$ keeping competition with Waymo in view.
This event is more than just a new product launch. Tesla positions the Cybercab as the first in its line of robotaxi-specific vehicles and plans to introduce other types, such as the “Robovan,” in the future. With autonomous driving services using the Model Y already deployed in several U.S. cities, this could serve as a catalyst for shifting market valuation metrics from traditional automakers to autonomous driving service providers.
Typically, implied volatility (IV) in the options market tends to rise ahead of highly anticipated events with confirmed dates. However, little such movement has been observed this time. The options market’s pricing-in of the event appears sluggish relative to its significance. This divergence is the focal point this time around.
Options Analysis
TSLA – Call options remain dominant despite low IV; limited pricing in of upcoming events
$Tesla (TSLA.US)$ What stands out in the options market is that, despite approaching scheduled events, implied volatility (IV) remains at low levels, and there has been no significant repricing across the entire volatility surface.
As of August 21, IV stood at approximately 44.5%, nearly flat from the previous day’s closing level of about 44.2%. Despite a 5.14% rise in the stock price, the daily change in IV was limited to around +0.3 percentage points.
Even more notable is the comparison with historical ranges. The IV Rank is approximately 13, and the IV Percentile is around 4%, indicating that IV is near the lower end of its historical range. Meanwhile, the 30-day Historical Volatility (HV) is about 66%, exceeding IV by roughly 21 percentage points.
In other words, IV is low both relative to historical ranges and compared to current realized volatility, indicating a state of volatility compression. However, this does not necessarily signal that call options are undervalued. The gap between IV and HV can narrow not only through a rise in IV but also through a decline in realized volatility. It is important to note that IV does not always rise to meet HV.
[TSLA | Volatility Analysis]
The term structure also confirms the weak pricing-in of events. ATM IV is approximately 44.2% for the August 31 expiration, 42.4% for the September 18 expiration, and 46.0% for the November 20 expiration.
The difference between the August 31 and September 18 expirations is about +1.9 percentage points, indicating a slight premium in the near term. On the other hand, IV rises by approximately 3.7 percentage points from the September 18 expiration to the November 20 expiration, forming a pattern where IV bottoms out in the medium term and increases toward the long term.
Furthermore, focusing on expirations surrounding the Cybercab announcement on September 3, the ATM IV for the September 2 expiration (just before the event) is approximately 45.0%, while the ATM IV for the September 4 expiration (spanning the event) is about 45.1%. The event premium is merely around 0.1 percentage points, which is close to zero.
There is no clear evidence that options expiring after the Cybercab announcement are being bought up significantly more than those expiring just before the event.
[TSLA | Volatility Term Structure]
In contrast to the weak pricing of volatility, intraday option flow shows a slight bias toward calls.
Total call volume across all expirations was approximately 3.01 million contracts, while put volume was around 1.76 million, resulting in a volume-based put/call ratio of approximately 0.58. The relatively higher call trading volume indicates a certain strengthening of bullish interest.
However, one cannot conclude that directional call buying is increasing based solely on the put/call ratio. Since volume includes transactions such as call selling and spreads, it is necessary to distinguish between volume imbalances and investors’ directional sentiment.
[TSLA | Execution Analysis & Volume]
On the other hand, open interest is not as skewed toward calls as the intraday flow. As of August 20, the latest confirmed open interest stood at approximately 3.45 million call contracts and 2.56 million put contracts, with an open-interest-based put/call ratio of about 0.74.
While the dominance of calls is clear in intraday volume, the proportion of puts is relatively higher in existing open interest. This suggests a slight divergence between current flow and existing positions.
However, it is impossible to determine the direction of option buying or selling from open interest alone. It is inappropriate to judge that bearish positions are dominant simply because put open interest is relatively high.
[TSLA | Execution Analysis & Total Open Interest]
The skew also confirms a preference for the upside, but its strength is limited. The 25-delta risk reversal for the August 31 expiration is approximately +1.6 points, narrowing to about +0.8 points for the September 4 expiration, and further to around +0.6 points for the September 18 expiration.
The call skew shows higher IV for upside calls compared to puts with similar deltas. However, the difference is small, so it is not sufficient evidence on its own to conclude that strong bullish positioning is underway.
[TSLA | Volatility Smile]
It is difficult to discern a clear directional sentiment from block trades at this time. Recent large transactions involved both near-term calls and puts, indicating mixed bullish and bearish signals. Although some sweep orders were observed, the overall flow remains two-sided.
*In Tesla’s options market, despite the upcoming confirmed event of Cybercab, IV remains low. The IV Rank is approximately 13, and the IV Percentile is around 4%, significantly below the 66% historical volatility (HV). Meanwhile, although volume and skew show a slight call bias, the event premium is nearly zero, and no clear directional sentiment can be confirmed from block flows. Going forward, the focus will be on whether ATM IV and event premiums for the September 4 expiry rise ahead of the September 3 event.
What is priced into the expected volatility range?
According to the probability analysis in the moomoo app, the expected price movement within ±1σ for the September 4 expiry, which straddles the September 3 event, is approximately ±8%. For the September 18 expiry, this range widens to approximately ±12%.*Standard expected price movement within ±1σ calculated based on time to expiration and IV
Notably, even though the September 4 expiry straddles the Cybercab announcement, its expected price movement and IV premium remain largely unchanged compared to expiries just before the event.
[TSLA | Probability Analysis]
Summary
$Tesla (TSLA.US)$ In Tesla’s options market, IV remains low despite the upcoming scheduled Cybercab announcement, trading significantly below HV. Volatility levels continue to resemble normal conditions rather than typical pre-event spikes.
Call volume has dominated trading activity, and a slight call skew is visible in the 25-delta risk reversal, confirming a certain level of upside interest. On the other hand, event premium is nearly zero, and existing open interest is not as heavily skewed toward calls as intraday flow suggests. At this point, it is difficult to say that the market is actively pricing in the September 3 event.
Despite a high-profile event being confirmed, little event premium has formed. This gap is the primary focus in Tesla’s current options market.
The next key indicators to watch are the September 4 expiration and the ‘Cybercab’ announcement event. As the event approaches, whether ATM IV and event premium rise, and whether the call skew expands in the near-term 25-delta risk reversal, will serve as clues to gauge how much the market has priced in for the Cybercab announcement.
This article uses machine translation in part
-moomoo News Kingsley
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