TSLA Options History — November 2010

In November 2010, TSLA traded between $1.42 and $2.36. ATM implied volatility averaged 62.4%. The 30-day expected move averaged 17.7%. IV traded below realized volatility by 8.1% (HV 20d: 70.5%). Max pain ranged from $1.40 to $2.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.85.

Notable Days

  • 2010-11-12: Highest Volume — 176,760 contracts
  • 2010-11-09: Largest IV spike — 11.3% change
  • 2010-11-16: Largest Expected Move — 20.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.94$1.42$2.36$1.43$2.36
Max Pain$1.57$1.40$2.00$1.40$2.00
ATM IV62.4%45.6%72.5%49.5%67.2%
Expected Move17.7%13.1%20.8%14.2%19.3%
HV 20d70.5%24.3%88.4%25.9%87.0%
HV 60d56.8%43.5%62.8%43.7%62.6%
Term Structure-2.4%-8.9%7.0%5.1%-5.1%
VWIV61.8%45.5%73.3%47.9%64.3%
Skew 25d3.6%-8.5%14.1%1.0%0.4%
Skew 10d4.0%-6.5%18.6%3.5%-6.0%
Call IV 25d61.8%46.3%78.9%47.6%67.9%
Put IV 25d65.4%48.6%77.2%48.6%68.3%
Bid-Ask Spread %31.7822.9642.8727.9124.55
Gamma HHI0.170.120.340.210.18
Net GEX216.7K-199.1K454.3K270.0K87.9K
Net DEX-33.4M-48.3M-2.8M-3.6M-39.1M
Net VEX-94.3K-114.1K-71.3K-94.9K-99.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.202.490.340.20
Total Volume67,789.2867,200176,76032,83567,095
Total OI647,412.143504,210853,050504,210661,905

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-11-01$1.43$1.4049.5%14.2%25.9%0.0%47.9%1.0%5.1%270.0K-3.6M-94.9K0.3427.91N/AN/A24,4358,400260,445243,765
2010-11-02$1.42$1.4047.1%13.5%26.0%0.0%48.1%2.9%4.1%331.7K-2.8M-94.2K0.6628.06N/AN/A6,3154,185277,305244,815
2010-11-03$1.45$1.4045.6%13.1%24.3%0.0%45.5%3.6%7.0%398.1K-5.8M-94.5K0.7024.71N/AN/A4,2302,970281,370246,495
2010-11-04$1.66$1.4050.7%14.5%52.5%0.0%50.5%7.5%1.7%450.9K-24.8M-85.0K0.4723.44N/AN/A66,45031,560282,405247,275
2010-11-05$1.63$1.4055.4%15.5%53.3%0.0%60.8%10.2%-1.0%454.3K-21.8M-94.4K1.9837.38N/AN/A13,66527,045309,210261,465
2010-11-08$1.67$1.4058.2%15.9%53.1%0.0%52.6%11.9%3.8%431.2K-23.8M-94.8K0.3442.08N/AN/A15,2855,235311,055279,360
2010-11-09$1.64$1.4064.8%17.0%53.7%0.0%55.0%7.8%1.2%400.8K-22.1M-98.2K0.4042.17N/AN/A35,52014,145315,150282,345
2010-11-10$1.96$1.4065.8%17.4%79.7%0.0%60.2%4.5%-5.8%251.9K-48.3M-77.4K0.3232.18N/AN/A104,91033,645324,090293,970
2010-11-11$1.87$1.4058.9%16.9%82.9%0.0%61.8%2.5%0.6%392.9K-42.0M-86.5K1.0431.68N/AN/A30,06031,230341,670307,575
2010-11-12$1.99$1.5065.2%18.7%83.9%0.0%65.6%1.8%-5.9%368.7K-48.0M-78.6K1.2329.75N/AN/A79,11097,650335,985316,650
2010-11-15$2.05$1.5071.9%20.6%83.0%0.0%73.3%1.2%-8.9%124.2K-48.2M-83.8K0.7534.46N/AN/A87,43565,880346,935399,945
2010-11-16$1.98$1.5072.5%20.8%85.0%0.0%72.4%2.7%-8.5%-120.7K-34.1M-114.1K0.7328.35N/AN/A46,57533,885352,350438,045
2010-11-17$1.97$1.5069.2%19.8%85.4%0.0%67.7%3.0%-2.5%-188.0K-35.3M-112.0K0.7930.37N/AN/A34,96527,690362,580449,820
2010-11-18$1.99$1.5062.6%17.9%85.3%0.0%64.4%9.3%0.3%-199.1K-40.5M-94.1K1.3428.63N/AN/A26,67035,865365,085461,100
2010-11-19$2.07$1.6765.1%18.7%85.2%0.0%63.8%-0.1%-4.6%358.5K-48.2M-102.3K0.8129.90N/AN/A36,03029,070366,450486,600
2010-11-22$2.23$1.6762.7%18.0%87.1%0.0%65.0%14.1%-3.0%214.1K-41.4M-71.3K0.7839.55N/AN/A34,38026,880265,470308,535
2010-11-23$2.30$1.8069.3%19.9%87.2%0.0%69.1%2.8%-7.7%181.4K-43.1M-87.9K0.5932.54N/AN/A69,85541,130268,170327,555
2010-11-24$2.36$1.8768.5%19.6%85.9%0.0%68.9%0.5%-5.0%151.4K-45.8M-95.1K1.3233.91N/AN/A31,11041,160279,960352,935
2010-11-26$2.35$1.9370.4%20.2%86.3%0.0%71.0%-3.8%-7.7%108.3K-44.0M-110.1K2.4942.87N/AN/A3,0157,515292,620378,390
2010-11-29$2.29$2.0070.4%20.2%88.4%0.0%70.2%-8.5%-7.6%83.0K-37.9M-110.6K0.5922.96N/AN/A26,02515,300287,055381,750
2010-11-30$2.36$2.0067.2%19.3%87.0%0.0%64.3%0.4%-5.1%87.9K-39.1M-99.5K0.2024.55N/AN/A55,83011,265271,680390,225