Tesla Inc, TSLA, Realized. volatility, risk alert

Stock Volatility Risk Alert: Tesla Inc Realized Volatility Hits An Extraordinary High

Tesla Inc (NASDAQ:TSLA) Realized Volatility Hits An Extraordinary High

Date Published: 2024-06-17

Stock Risk Alert
Before we dive into any analysis we simply note that Tesla Inc (NASDAQ:TSLA) has seen its stock price whip around at a towering high level. We'll detail it below -- but that's the lede -- the stock has been moving and the market's reaction is like a yellow post it note on the face of the ticker that reads "risk alert" with an HV20 of 135.74% verus the HV20 of the S&P 500 at 93.3%.

Another bit to this risk alert, which we cover in the article, is that while the historical volatility may be a towering high level (the stock has been whipping around), the real question that needs to be answered for option traders is not if the HV20 is high, but rather if the implied volatility that is priced for the next 30-days accuratley reflects what we're about to see in the stock for the next month.

To jump forward and examine if owning or shorting options has been a positive trade in Tesla Inc, you can go here: Getting serious about option trading.

Preface

This is a proprietary realized volatility rating created by Capital Market Laboratories (CMLviz) based on a large number of data interactions for Tesla Inc (NASDAQ:TSLA) . We examine the little used gem of daily stock volatility over a 20-day and 30-day trading period, as well as comparisons to the last year and the actual stock returns over the last three- and six-months and the S&P 500 and Nasdaq 100 indices.

As a heads up, in the "Why This Matters" section at the end of this article on Tesla Inc (NASDAQ:TSLA) , we're going to take a step back and show really clearly that there is actually a lot less "luck" in successful option trading than most people are aware of. This idea of an "option trading expert" is vastly over complicated so those with the information advantage can continue to profit at the expense of the rest.

But before that, let's turn back to TSLA. Here are the exact steps that led us to this rating, and whether it's a risk alert or a holding pattern.

TSLA Recent Realized Volatility

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Rating
Realized volatility using proprietary measures has hit a towering high level. Let's take a deep dive into some institutional level volatility measures for Tesla Inc (NASDAQ:TSLA) .

Tesla Inc Stock Performance
TSLA is up +8.8% over the last three months and down -29.8% over the last six months. The stock has returned -30.4% over the last year. The current stock price is $178.01.

TSLA Step 1: Stock Returns

The one-year stock return does not impact the volatility rating since we are looking at a shorter time horizon. However, the rating does examine the 3-month returns and the absolute difference between the 3-month and 6-month returns. ↪ The 3-month stock return of +8.8% is too small to impact the realized volatility rating for TSLA.
↪ The noteworthy difference between the 3-month and 6-month stock returns has a meaningful impact on the realized volatility rating for TSLA.
TSLA Step 2: Daily Realized Volatility Level
The HV30® takes the stock's day to day historical volatility over the last 30-days and then annualizes it. The HV20 looks back over just 20-days -- a shorter time period. Here is the breakdown for Tesla Inc (NASDAQ:TSLA) and how the day-by-day realized historical volatilities have impacted the rating: ↪ The HV20 of 150.2% is very high and has a substantial impact on TSLA's volatility rating.

TSLA Step 3: Tesla Inc HV20 Compared to Indices
* The HV20 for TSLA is substantially larger than that for both the S&P 500 and the NASDAQ 100 which raises the volatility rating.

* The HV20 for TSLA is larger than that for the Industrials ETF (XLI) which raises the volatility rating a little.

Here is summary data in tabular and chart format.

TSLA HV20	S&P 500 HV20	NASDAQ 100 HV20	XLI HV20
150.2%	93.3%	91.65%	106.46%

TSLA Step 4: Daily Volatility Percentiles and Highs

We also examine the annual high of the HV30 in our rating.

↪ The 52 week high in HV30 for TSLA is 138.1%, which is very high and has a large upward impact on the realized volatility rating.

Here is summary data in tabular and chart format.

TSLA HV20	TSLA HV30	TSLA HV30 High
150.2%	135.7%	138.1%

Final Realized Volatility Percentile Level: TSLA
The final evolution of the volatility rating for Tesla Inc is a comparison of the HV30 value relative to its past, which is neatly summarized in the percentile -- a scoring mechanism that goes from a low of 1 to a high of 100. ↪ The HV30 percentile for Tesla Inc is 98%, which means the stock has seen extremely volatile price movement relative to its own past and that has a large impact on the realized volatility rating.

Tesla Inc Realized Volatility Percentiles

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