TSLA Options History — December 2010

In December 2010, TSLA traded between $1.70 and $2.29. ATM implied volatility averaged 63.0%. The 30-day expected move averaged 17.8%. IV traded below realized volatility by 8.6% (HV 20d: 71.6%). Max pain ranged from $2.00 to $2.13. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.76.

Notable Days

  • 2010-12-27: Highest Volume — 245,205 contracts
  • 2010-12-15: Largest IV drop — 17.6% change
  • 2010-12-27: Largest Expected Move — 19.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.02$1.70$2.29$2.29$1.78
Max Pain$2.06$2.00$2.13$2.07$2.00
ATM IV63.0%58.1%77.5%63.2%59.5%
Expected Move17.8%16.7%19.0%18.1%17.1%
HV 20d71.6%52.6%93.2%88.3%82.5%
HV 60d66.9%62.7%74.9%62.7%74.5%
Term Structure3.3%-5.9%20.8%-5.9%6.0%
VWIV63.2%59.3%67.2%62.9%61.7%
Skew 25d2.8%-10.0%5.7%-2.0%2.3%
Skew 10d6.1%-12.7%17.2%-3.1%2.1%
Call IV 25d61.9%57.5%67.3%65.3%61.9%
Put IV 25d64.7%57.3%69.1%63.3%64.2%
Bid-Ask Spread %31.0618.1145.3519.7218.11
Gamma HHI0.140.080.210.180.12
Net GEX-309.1K-575.8K38.4K38.4K-575.8K
Net DEX-2.1M-31.8M18.2M-31.8M13.8M
Net VEX-124.1K-139.9K-112.6K-119.0K-139.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.760.495.630.751.35
Total Volume59,139.5459,840245,20576,54512,090
Total OI700,356.818527,295846,735665,610726,615

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-12-01$2.29$2.0763.2%18.1%88.3%0.0%62.9%-2.0%-5.9%38.4K-31.8M-119.0K0.7519.72N/AN/A43,78532,760269,820395,790
2010-12-02$2.16$2.1360.2%17.3%93.2%0.0%60.8%-0.6%2.3%-79.5K-15.3M-116.1K1.2624.61N/AN/A47,65559,865257,190417,690
2010-12-03$2.10$2.1360.5%17.3%84.0%0.0%61.7%-5.7%4.4%-107.3K-9.9M-127.3K0.6625.35N/AN/A31,66521,030263,280431,190
2010-12-06$2.02$2.0764.4%18.0%85.3%0.0%63.3%3.2%0.1%-156.3K-3.1M-122.6K2.8045.20N/AN/A15,16542,525272,310438,390
2010-12-07$2.10$2.0066.8%18.0%85.8%0.0%63.7%3.5%0.7%-115.9K-11.6M-118.4K1.1444.88N/AN/A19,63522,350275,520447,690
2010-12-08$2.16$2.0761.6%17.9%85.4%0.0%63.6%4.9%0.5%-76.0K-15.8M-128.4K3.6445.35N/AN/A12,73546,365282,960462,375
2010-12-09$2.14$2.0761.9%17.8%60.5%0.0%64.9%4.9%1.0%-186.2K-12.3M-123.3K1.5734.60N/AN/A5,1158,040280,860482,115
2010-12-10$2.10$2.0760.4%18.0%58.1%0.0%63.7%4.6%-0.3%-207.1K-7.7M-130.5K5.6337.96N/AN/A5,25029,565279,330483,675
2010-12-13$2.04$2.0770.9%18.3%55.5%0.0%65.7%5.4%1.4%-353.0K1.2M-124.7K1.6738.70N/AN/A10,90518,195278,085503,775
2010-12-14$1.90$2.0777.5%18.2%59.4%0.0%65.7%5.0%2.8%-562.7K18.2M-122.6K2.4535.72N/AN/A37,21591,305277,260523,755
2010-12-15$1.97$2.0763.9%18.3%59.7%0.0%65.8%4.5%0.9%-558.5K10.8M-125.8K1.1634.03N/AN/A12,16514,055284,745542,955
2010-12-16$2.05$2.0763.7%18.3%61.3%0.0%67.2%5.5%1.2%-403.3K1.4M-128.6K0.4930.70N/AN/A25,14012,330288,915548,040
2010-12-17$2.09$2.0760.7%17.4%61.4%0.0%61.0%4.8%3.7%-283.0K-5.6M-113.3K0.8032.45N/AN/A28,44022,815293,880552,855
2010-12-20$2.11$2.0758.1%16.7%60.2%0.0%59.3%3.8%2.8%-300.6K-8.1M-112.6K1.2034.39N/AN/A10,53012,660190,590336,705
2010-12-21$2.15$2.0759.3%17.0%54.0%0.0%60.4%4.4%2.3%-259.9K-10.2M-115.4K1.4932.95N/AN/A9,40513,995197,310341,985
2010-12-22$2.18$2.0758.9%16.9%52.6%0.0%60.8%5.7%3.1%-269.9K-11.5M-116.0K2.3336.55N/AN/A2,9556,885200,400350,865
2010-12-23$2.01$2.0762.5%17.9%58.2%0.0%63.3%4.9%-0.2%-371.5K-346.0K-123.6K3.6822.59N/AN/A15,96058,710201,075351,375
2010-12-27$1.70$2.0766.4%19.0%80.1%0.0%66.6%-10.0%20.8%-418.0K18.1M-114.3K1.9020.55N/AN/A84,435160,770207,540372,975
2010-12-28$1.76$2.0062.4%17.9%81.8%0.0%63.3%5.1%9.0%-485.0K13.9M-128.5K0.8922.84N/AN/A56,53550,085248,205417,165
2010-12-29$1.85$2.0059.9%17.2%83.5%0.0%61.2%1.5%4.4%-523.8K6.6M-138.2K0.6922.91N/AN/A34,63523,910266,745444,435
2010-12-30$1.77$2.0063.4%18.2%84.2%0.0%62.8%5.2%11.7%-545.4K13.8M-139.9K1.2023.09N/AN/A14,29517,145268,290451,125
2010-12-31$1.78$2.0059.5%17.1%82.5%0.0%61.7%2.3%6.0%-575.8K13.8M-139.9K1.3518.11N/AN/A5,1456,945270,600456,015