TSLA Options History — July 2010

In July 2010, TSLA traded between $1.14 and $1.46. ATM implied volatility averaged 82.0%. The 30-day expected move averaged 22.9%. IV traded above realized volatility by 16.6% (HV 20d: 65.4%). Max pain ranged from $1.20 to $1.33. Net GEX was positive for 13 of 17 trading days. Term structure was in contango for 2 of 17 days. Put/call ratio averaged 0.93.

Notable Days

  • 2010-07-14: Highest Volume — 113,670 contracts
  • 2010-07-09: Largest IV drop — 24.7% change
  • 2010-07-08: Largest Expected Move — 28.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.32$1.14$1.46$1.16$1.33
Max Pain$1.28$1.20$1.33$1.20$1.33
ATM IV82.0%73.4%116.3%116.3%76.3%
Expected Move22.9%21.0%28.7%28.7%21.9%
HV 20d65.4%64.8%65.9%65.9%64.8%
Term Structure-2.6%-7.4%2.0%-7.4%-1.3%
VWIV80.5%73.3%102.8%102.8%77.0%
Skew 25d3.5%-0.6%9.7%3.0%2.4%
Skew 10d6.7%-0.8%17.5%8.5%12.7%
Call IV 25d79.7%71.8%100.7%100.7%77.6%
Put IV 25d83.2%76.2%103.7%103.7%80.0%
Bid-Ask Spread %37.9826.9645.7128.4845.71
Gamma HHI0.160.120.200.200.15
Net GEX97.6K-26.1K196.8K0128.5K
Net DEX-5.8M-10.4M00-4.1M
Net VEX-38.2K-56.8K00-56.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.183.111.620.58
Total Volume47,700.88210,395113,67090,60010,395
Total OI298,496.4710442,0350442,035

Daily Data (17 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-08$1.16$0.00116.3%28.7%0.0%0.0%102.8%3.0%-7.4%0001.6228.48N/AN/A34,62055,98000
2010-07-09$1.16$1.2087.6%23.3%0.0%0.0%82.3%0.5%-3.7%-13.1K-457.6K-7.0K0.9335.08N/AN/A58,24554,42029,74547,985
2010-07-12$1.14$1.2786.3%24.1%0.0%0.0%84.7%0.7%-6.5%-2.8K-37.6K-21.3K2.9637.78N/AN/A9,33027,57074,98595,040
2010-07-13$1.21$1.2789.0%23.8%0.0%0.0%83.0%0.5%-5.1%-26.1K-1.0M-23.8K0.1828.86N/AN/A57,15010,27577,970116,490
2010-07-14$1.32$1.2086.1%23.2%0.0%0.0%82.4%4.8%-2.4%54.8K-6.7M-28.9K0.5138.48N/AN/A75,36038,310114,270122,085
2010-07-15$1.33$1.2081.7%23.4%0.0%0.0%79.7%6.3%-1.6%129.6K-9.2M-35.2K0.7942.87N/AN/A45,72036,180158,520147,615
2010-07-16$1.38$1.2777.9%22.3%0.0%0.0%80.6%5.7%-1.2%92.1K-9.8M-40.2K0.4843.50N/AN/A24,64511,760172,530174,150
2010-07-19$1.46$1.2780.0%22.9%0.0%0.0%81.0%2.1%-7.2%138.3K-10.4M-39.7K0.9439.62N/AN/A20,83519,605151,380137,280
2010-07-20$1.35$1.2780.7%23.1%0.0%0.0%81.3%0.4%-2.3%88.6K-5.9M-43.4K0.2932.24N/AN/A47,88013,830160,755152,430
2010-07-21$1.35$1.2779.2%22.7%0.0%0.0%79.9%-0.6%-0.2%140.1K-7.3M-48.7K0.3444.60N/AN/A21,3007,155192,660162,405
2010-07-22$1.40$1.3375.7%21.7%0.0%0.0%76.0%9.7%-0.0%147.4K-8.6M-48.9K0.6226.96N/AN/A7,2304,515187,365167,895
2010-07-23$1.42$1.3375.2%21.6%0.0%0.0%73.3%4.3%-5.3%196.8K-10.1M-46.9K0.4836.88N/AN/A10,4854,995191,625170,700
2010-07-26$1.40$1.3378.2%22.4%0.0%0.0%77.8%6.6%-1.4%172.0K-8.5M-48.6K3.1144.97N/AN/A10,89033,840195,540174,165
2010-07-27$1.37$1.3373.4%21.0%0.0%0.0%76.8%5.0%2.0%124.2K-4.7M-52.5K1.4543.81N/AN/A10,23014,790200,775203,820
2010-07-28$1.38$1.3376.3%21.9%0.0%0.0%74.5%3.6%-3.0%152.0K-6.0M-53.0K0.2333.75N/AN/A10,1402,355209,130216,225
2010-07-29$1.36$1.3374.6%21.4%65.9%0.0%74.7%4.8%1.8%136.9K-5.1M-54.8K0.3542.06N/AN/A15,4805,400215,805211,065
2010-07-30$1.33$1.3376.3%21.9%64.8%0.0%77.0%2.4%-1.3%128.5K-4.1M-56.8K0.5845.71N/AN/A6,5853,810227,685214,350