TSLA Options History — October 2010

In October 2010, TSLA traded between $1.34 and $1.46. ATM implied volatility averaged 46.6%. The 30-day expected move averaged 14.4%. IV traded above realized volatility by 2.5% (HV 20d: 44.1%). Max pain ranged from $1.40 to $1.47. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.84.

Notable Days

  • 2010-10-21: Highest Volume — 46,410 contracts
  • 2010-10-14: Largest IV spike — 45.6% change
  • 2010-10-04: Largest Expected Move — 15.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.38$1.34$1.46$1.37$1.46
Max Pain$1.40$1.40$1.47$1.47$1.40
ATM IV46.6%35.6%51.8%48.5%43.6%
Expected Move14.4%12.5%15.8%13.9%12.5%
HV 20d44.1%23.4%53.5%52.9%25.4%
HV 60d49.3%44.4%56.3%56.2%44.4%
Term Structure3.7%-1.0%9.5%5.5%9.5%
VWIV49.0%40.6%54.2%49.0%44.8%
Skew 25d3.3%0.8%6.1%0.8%6.1%
Skew 10d8.0%-17.6%24.6%-17.6%18.3%
Call IV 25d48.9%43.2%52.3%50.2%43.2%
Put IV 25d52.2%46.6%56.6%51.0%49.3%
Bid-Ask Spread %24.1819.1535.1135.1124.92
Gamma HHI0.190.140.280.140.23
Net GEX177.7K93.0K297.0K150.7K297.0K
Net DEX29.6K-4.8M3.8M436.1K-4.8M
Net VEX-92.1K-97.9K-85.5K-95.3K-94.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.042.920.390.66
Total Volume15,465.7143,31546,41025,4709,300
Total OI502,182.143430,575565,815496,635499,800

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$1.37$1.4748.5%13.9%52.9%0.0%49.0%0.8%5.5%150.7K436.1K-95.3K0.3935.11N/AN/A18,3907,080257,085239,550
2010-10-04$1.40$1.4049.9%15.8%53.4%0.0%52.2%3.8%-1.0%222.5K-1.4M-97.9K2.9220.67N/AN/A3,0008,760271,470245,430
2010-10-05$1.41$1.4048.7%15.4%52.6%0.0%54.1%4.2%-0.5%247.0K-2.5M-97.1K0.0419.15N/AN/A15,840705273,195246,255
2010-10-06$1.36$1.4046.0%15.3%53.5%0.0%54.2%3.6%0.6%186.4K1.4M-93.2K0.4724.13N/AN/A12,9456,030277,260246,150
2010-10-07$1.36$1.4045.6%15.5%53.4%0.0%50.8%4.2%-0.7%170.0K1.7M-92.7K0.2420.02N/AN/A5,3401,275276,270249,555
2010-10-08$1.36$1.4042.8%15.0%52.6%0.0%53.3%5.3%1.8%168.3K2.0M-91.2K0.8325.17N/AN/A4,6953,900277,770250,605
2010-10-11$1.35$1.4044.2%15.4%51.7%0.0%52.0%4.0%1.0%118.6K3.6M-86.5K0.2527.39N/AN/A15,2553,870278,115251,715
2010-10-12$1.35$1.4040.3%14.9%51.2%0.0%51.6%1.4%-0.3%93.0K3.8M-85.7K0.4821.82N/AN/A5,5502,685283,815251,520
2010-10-13$1.37$1.4035.6%15.0%49.2%0.0%51.0%3.3%1.7%167.1K1.8M-85.5K1.0923.08N/AN/A11,58012,585285,315249,075
2010-10-14$1.38$1.4051.8%14.9%46.4%0.0%51.3%1.5%2.0%219.8K1.2M-88.0K1.0421.83N/AN/A9,61510,020294,240258,930
2010-10-15$1.37$1.4051.8%14.8%44.8%0.0%48.6%3.1%3.4%158.4K2.7M-88.8K0.7430.73N/AN/A20,37015,030300,120265,695
2010-10-18$1.35$1.4050.6%14.5%42.6%0.0%50.6%2.2%3.1%121.9K-543.5K-92.2K1.3922.63N/AN/A2,8804,005224,130206,445
2010-10-19$1.34$1.4050.5%14.5%42.4%0.0%51.3%3.2%3.5%118.2K454.9K-91.4K1.6320.84N/AN/A2,7604,500225,930209,415
2010-10-20$1.38$1.4047.9%13.7%40.7%0.0%47.8%5.2%6.3%149.4K-1.2M-91.5K1.0121.21N/AN/A5,9706,030227,220212,340
2010-10-21$1.38$1.4047.5%13.6%40.1%0.0%44.9%3.0%5.4%150.3K-1.5M-92.0K0.8623.85N/AN/A24,97521,435230,895216,780
2010-10-22$1.38$1.4047.1%13.5%39.1%0.0%40.6%4.7%7.6%153.2K-71.8K-95.4K1.1520.29N/AN/A5,8806,735249,540236,400
2010-10-25$1.39$1.4047.8%13.7%38.5%0.0%48.3%3.5%6.0%168.3K-552.4K-94.1K1.1920.34N/AN/A1,8302,175250,725237,600
2010-10-26$1.42$1.4047.0%13.5%36.5%0.0%45.6%1.7%6.1%223.7K-2.8M-93.7K0.4724.78N/AN/A13,6506,450251,505238,290
2010-10-27$1.40$1.4046.7%13.4%35.5%0.0%43.4%3.1%7.8%210.7K-1.2M-94.9K0.3330.33N/AN/A6,2852,085258,810242,025
2010-10-28$1.41$1.4044.5%12.7%23.4%0.0%44.6%2.1%9.5%238.0K-2.0M-93.3K0.5629.49N/AN/A2,1301,185256,650242,190
2010-10-29$1.46$1.4043.6%12.5%25.4%0.0%44.8%6.1%9.5%297.0K-4.8M-94.5K0.6624.92N/AN/A5,5953,705256,950242,850