TSLA Options History — January 2011

In January 2011, TSLA traded between $1.51 and $1.90. ATM implied volatility averaged 59.1%, placing in the 29.0% IV rank vs the trailing year. The 30-day expected move averaged 17.6%. IV traded below realized volatility by 13.5% (HV 20d: 72.6%). Max pain ranged from $1.73 to $2.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.96.

Notable Days

  • 2011-01-21: Highest Volume — 219,270 contracts
  • 2011-01-13: Largest IV spike — 25.3% change
  • 2011-01-20: Highest IV Rank — 38.3%
  • 2011-01-20: Largest Expected Move — 19.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.71$1.51$1.90$1.77$1.61
Max Pain$1.83$1.73$2.00$2.00$1.73
ATM IV59.1%49.0%66.5%60.9%62.8%
Expected Move17.6%15.4%19.1%17.5%18.0%
HV 20d72.6%49.8%82.4%82.3%49.8%
HV 60d76.6%74.5%79.0%74.5%78.8%
IV Rank29.0%16.6%38.3%25.0%33.7%
IV Percentile53.1%20.6%77.2%38.1%67.1%
Term Structure2.8%-0.8%8.8%4.8%0.7%
VWIV62.6%55.4%68.0%62.9%62.8%
Skew 25d-0.2%-7.6%5.7%0.6%-0.4%
Skew 10d2.8%-13.4%29.0%2.9%4.4%
Call IV 25d62.8%56.0%68.9%63.3%63.9%
Put IV 25d62.6%57.4%67.1%63.9%63.5%
Bid-Ask Spread %24.0414.8231.5419.3529.46
Gamma HHI0.160.120.210.120.16
Net GEX-288.5K-726.5K156.2K-593.7K21.6K
Net DEX10.8M-1.5M31.9M13.7M3.5M
Net VEX-128.4K-146.9K-101.3K-133.7K-124.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.162.730.871.45
Total Volume54,174.7510,455219,27020,07010,455
Total OI779,542.5570,090921,615728,910668,220

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$1.77$2.0060.9%17.5%82.3%0.0%62.9%0.6%4.8%-593.7K13.7M-133.7K0.8719.35N/AN/A10,7559,315271,185457,725
2011-01-04$1.78$2.0060.1%17.2%81.6%0.0%60.3%0.4%2.9%-592.5K13.1M-131.9K1.5727.85N/AN/A7,68012,075275,595457,755
2011-01-05$1.79$2.0055.8%16.0%79.9%25.0%59.3%2.6%7.3%-597.1K12.5M-132.0K1.1920.81N/AN/A29,50534,980277,455457,275
2011-01-06$1.86$2.0053.7%15.4%80.7%22.5%55.4%1.0%8.8%-496.9K6.2M-136.5K0.4722.87N/AN/A73,60534,890304,590473,775
2011-01-07$1.88$1.8050.9%17.5%81.0%19.0%60.1%5.7%0.9%-223.9K898.4K-146.9K0.4414.82N/AN/A14,8206,480363,720482,850
2011-01-10$1.90$1.8053.9%17.7%81.1%22.7%63.6%4.9%2.0%-156.7K-1.3M-143.2K2.7320.47N/AN/A10,96529,880370,515482,415
2011-01-11$1.80$1.8049.4%18.2%82.4%17.1%64.0%-1.8%3.1%-399.5K10.7M-140.7K0.3617.37N/AN/A70,75525,545372,150490,785
2011-01-12$1.80$1.8049.0%18.0%79.1%16.6%63.6%-0.7%0.4%-450.1K11.7M-138.7K0.4716.03N/AN/A15,1957,110380,580499,290
2011-01-13$1.75$1.8061.4%17.6%78.1%32.0%61.7%1.5%3.1%-568.5K16.7M-135.2K0.6515.38N/AN/A10,5006,870389,955498,840
2011-01-14$1.72$1.8057.4%16.5%76.3%27.0%61.0%-0.2%4.4%-726.5K19.4M-126.6K0.9625.56N/AN/A23,53522,695390,450484,440
2011-01-18$1.71$1.8064.5%18.5%75.6%35.8%65.5%0.9%5.5%-683.6K18.6M-117.8K0.7727.54N/AN/A34,03526,190405,750478,995
2011-01-19$1.60$1.8063.6%18.2%77.6%34.7%65.0%-7.6%-0.7%-495.9K27.7M-109.9K1.6130.52N/AN/A20,07032,250421,620479,355
2011-01-20$1.51$1.8066.5%19.1%78.4%38.3%68.0%-5.3%-0.8%-308.6K31.9M-101.3K1.3825.69N/AN/A24,94534,440433,680473,790
2011-01-21$1.54$1.8061.4%17.6%78.8%31.9%66.3%-3.5%2.2%-32.2K29.7M-102.5K1.1120.73N/AN/A104,040115,230451,260470,355
2011-01-24$1.63$1.8064.0%18.4%79.7%35.3%65.0%-2.7%2.2%52.4K1.4M-122.9K0.1631.19N/AN/A96,63015,930307,545262,545
2011-01-25$1.65$1.8062.9%18.0%55.5%33.8%62.6%1.4%1.5%125.1K-25.3K-131.1K0.6625.14N/AN/A13,0508,610348,975273,990
2011-01-26$1.65$1.7361.2%17.6%54.0%31.8%61.7%2.1%2.7%131.0K-80.8K-131.3K0.2829.83N/AN/A26,3557,365354,360279,435
2011-01-27$1.66$1.7360.5%17.3%50.6%30.9%60.5%0.3%2.5%156.2K-1.5M-132.3K1.2128.64N/AN/A16,17019,605359,190281,325
2011-01-28$1.60$1.7362.8%18.0%49.8%33.7%63.0%-3.4%2.5%70.0K2.2M-130.1K0.7631.54N/AN/A11,9259,045365,520293,595
2011-01-31$1.61$1.7362.8%18.0%49.8%33.7%62.8%-0.4%0.7%21.6K3.5M-124.4K1.4529.46N/AN/A4,2606,195367,485300,735