TSLA Options History — September 2010

In September 2010, TSLA traded between $1.30 and $1.47. ATM implied volatility averaged 51.8%. The 30-day expected move averaged 15.4%. IV traded above realized volatility by 4.5% (HV 20d: 47.4%). Max pain ranged from $1.33 to $1.47. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.81.

Notable Days

  • 2010-09-16: Highest Volume — 66,030 contracts
  • 2010-09-09: Largest IV spike — 23.9% change
  • 2010-09-07: Largest Expected Move — 18.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.38$1.30$1.47$1.36$1.36
Max Pain$1.44$1.33$1.47$1.33$1.47
ATM IV51.8%44.8%58.2%48.5%50.3%
Expected Move15.4%12.8%18.3%13.9%14.4%
HV 20d47.4%41.8%53.9%52.3%53.9%
HV 60d55.6%54.8%56.7%55.9%56.7%
Term Structure5.9%-2.1%19.6%19.6%6.1%
VWIV53.0%42.3%67.0%43.5%51.4%
Skew 25d4.5%-2.9%24.6%24.6%-2.9%
Skew 10d9.0%-7.6%35.4%31.4%-7.6%
Call IV 25d52.1%32.3%60.5%32.3%53.6%
Put IV 25d56.5%46.4%67.6%57.0%50.8%
Bid-Ask Spread %28.9921.3941.9721.3924.85
Gamma HHI0.240.080.630.250.13
Net GEX266.4K26.5K841.6K229.1K140.0K
Net DEX-2.9M-14.2M4.6M-2.6M612.7K
Net VEX-85.5K-96.8K-74.8K-86.9K-96.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.152.090.730.42
Total Volume30,905.7149,37566,03012,27053,490
Total OI532,710.714408,345656,790561,870491,580

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$1.36$1.3348.5%13.9%52.3%0.0%43.5%24.6%19.6%229.1K-2.6M-86.9K0.7321.39N/AN/A7,0805,190287,535274,335
2010-09-02$1.40$1.3348.1%13.8%51.5%0.0%42.3%4.2%11.0%365.7K-7.7M-82.1K0.3123.13N/AN/A17,0255,295288,090275,640
2010-09-03$1.40$1.4045.6%16.4%48.8%0.0%53.3%2.6%4.1%357.3K-8.2M-79.8K1.5828.74N/AN/A7,17011,325290,400277,275
2010-09-07$1.37$1.4047.8%18.3%49.8%0.0%67.0%7.1%-0.3%329.2K-3.6M-78.9K1.3622.54N/AN/A7,2459,825292,725282,735
2010-09-08$1.39$1.4046.7%16.6%48.6%0.0%59.1%3.2%4.8%411.0K-6.3M-81.1K1.2224.11N/AN/A10,53012,795296,430287,505
2010-09-09$1.38$1.4757.9%16.6%42.3%0.0%59.1%4.4%1.9%416.6K-3.0M-81.4K0.6525.94N/AN/A11,5207,485292,650297,795
2010-09-10$1.34$1.4757.8%16.6%43.2%0.0%56.0%3.7%1.7%312.2K1.2M-74.8K0.9436.07N/AN/A11,61010,875295,365301,065
2010-09-13$1.38$1.4758.2%16.7%42.1%0.0%52.9%9.8%4.4%437.7K-3.5M-76.8K1.0141.97N/AN/A17,64017,880295,815304,860
2010-09-14$1.41$1.4757.3%16.4%41.8%0.0%55.6%4.9%7.0%400.4K-7.2M-78.4K0.5831.93N/AN/A32,61018,945300,375306,405
2010-09-15$1.47$1.4752.8%15.1%43.3%0.0%52.6%7.9%5.7%298.8K-14.2M-81.4K0.7530.39N/AN/A18,37513,815310,905315,795
2010-09-16$1.40$1.4756.8%16.3%46.7%0.0%56.3%2.3%2.9%383.5K-5.0M-90.7K0.2138.67N/AN/A54,51011,520307,965323,160
2010-09-17$1.35$1.4753.7%15.4%48.8%0.0%55.0%1.6%5.9%841.6K419.1K-88.2K0.3831.64N/AN/A25,5459,585331,545325,245
2010-09-20$1.40$1.4757.0%16.3%50.3%0.0%55.9%1.7%7.8%118.0K-3.7M-88.9K0.6335.31N/AN/A21,72013,635224,940183,405
2010-09-21$1.38$1.4753.7%15.4%47.4%0.0%53.6%1.6%1.9%129.1K-2.8M-91.0K0.2930.08N/AN/A45,31513,320234,060189,630
2010-09-22$1.32$1.4747.6%13.7%47.0%0.0%49.4%0.1%11.4%48.5K2.0M-85.3K1.1528.24N/AN/A17,56520,235219,390196,050
2010-09-23$1.30$1.4747.4%13.6%45.6%0.0%48.3%-2.5%8.9%32.5K4.6M-85.1K1.3724.98N/AN/A9,49513,020229,215210,975
2010-09-24$1.34$1.4744.8%12.8%46.6%0.0%45.8%4.8%8.8%26.5K3.6M-87.4K2.0925.11N/AN/A3,0306,345234,150221,055
2010-09-27$1.37$1.4747.6%13.6%47.1%0.0%49.3%3.9%8.2%54.6K1.7M-91.5K0.8026.30N/AN/A7,6806,135235,380224,385
2010-09-28$1.43$1.4752.7%15.1%49.1%0.0%50.2%5.3%3.4%104.6K-1.8M-93.6K0.4134.34N/AN/A21,5408,820234,240225,015
2010-09-29$1.47$1.4756.6%16.2%48.9%0.0%56.8%5.4%-2.1%157.4K-5.3M-96.8K0.1523.17N/AN/A28,0054,275241,665230,175
2010-09-30$1.36$1.4750.3%14.4%53.9%0.0%51.4%-2.9%6.1%140.0K612.7K-96.1K0.4224.85N/AN/A37,78515,705259,170232,410