TSLA Options History — February 2011

In February 2011, TSLA traded between $1.46 and $1.65. ATM implied volatility averaged 60.3%, placing in the 30.6% IV rank vs the trailing year. The 30-day expected move averaged 17.1%. IV traded above realized volatility by 8.6% (HV 20d: 51.7%). Max pain ranged from $1.60 to $1.73. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 0.62.

Notable Days

  • 2011-02-16: Highest Volume — 214,455 contracts
  • 2011-02-16: Largest IV drop — 12.4% change
  • 2011-02-09: Highest IV Rank — 40.8%
  • 2011-02-14: Largest Expected Move — 19.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.56$1.46$1.65$1.59$1.59
Max Pain$1.64$1.60$1.73$1.73$1.60
ATM IV60.3%51.4%68.5%59.4%53.1%
Expected Move17.1%14.7%19.1%17.0%15.2%
HV 20d51.7%46.1%56.2%49.8%54.9%
HV 60d65.8%62.8%73.9%73.9%64.2%
IV Rank30.6%19.6%40.8%29.5%21.7%
IV Percentile53.5%23.6%81.3%50.0%28.4%
Term Structure1.5%-5.6%6.3%3.4%2.6%
VWIV60.1%51.8%66.2%61.6%51.8%
Skew 25d0.9%-3.2%5.6%-0.3%4.7%
Skew 10d1.3%-5.2%11.0%-3.1%9.8%
Call IV 25d60.6%50.6%67.9%62.6%51.0%
Put IV 25d61.5%55.4%67.0%62.3%55.6%
Bid-Ask Spread %50.0220.4262.2830.7956.55
Gamma HHI0.180.140.250.150.25
Net GEX91.1K-149.6K682.4K-5.0K238.4K
Net DEX4.1M-13.7M10.0M4.5M-3.2M
Net VEX-122.3K-137.9K-104.5K-120.9K-123.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.071.801.770.07
Total Volume61,897.1055,205214,45515,21027,615
Total OI819,048.947670,2601,108,005670,260792,465

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-02-01$1.59$1.7359.4%17.0%49.8%29.5%61.6%-0.3%3.4%-5.0K4.5M-120.9K1.7730.79N/AN/A5,4909,720368,895301,365
2011-02-02$1.60$1.7359.3%17.0%49.8%29.4%60.0%-1.8%2.4%-51.1K5.1M-119.0K0.4420.42N/AN/A5,4002,355369,090308,940
2011-02-03$1.58$1.7359.1%16.9%49.6%29.1%60.2%-2.4%2.4%-93.5K7.4M-114.0K0.8127.38N/AN/A5,7154,605370,455310,095
2011-02-04$1.56$1.6757.8%17.2%46.7%27.5%60.4%0.8%2.1%-111.7K8.0M-112.1K0.8549.54N/AN/A3,3752,865370,335309,945
2011-02-07$1.54$1.6764.4%17.1%46.1%35.7%60.2%0.2%1.2%-149.6K10.0M-104.5K0.2651.53N/AN/A32,5508,550371,460309,435
2011-02-08$1.63$1.6768.3%18.6%52.1%40.6%63.7%3.8%-2.3%101.0K840.7K-116.8K0.2162.28N/AN/A68,79014,775391,800313,320
2011-02-09$1.55$1.6768.5%18.0%52.1%40.8%62.7%-0.7%0.3%10.0K7.5M-111.7K0.6656.46N/AN/A103,39568,400429,030315,900
2011-02-10$1.55$1.6063.0%18.1%52.1%34.0%62.7%-0.9%1.2%68.9K4.1M-137.9K0.2850.55N/AN/A4,0651,140520,665379,680
2011-02-11$1.55$1.6062.9%18.0%51.6%33.9%63.4%2.5%2.3%70.1K3.9M-136.2K0.1448.90N/AN/A25,2003,525522,135379,605
2011-02-14$1.54$1.6066.5%19.1%51.4%38.3%66.2%-0.9%-5.6%87.3K4.1M-130.9K0.3653.11N/AN/A37,36513,275532,770381,060
2011-02-15$1.52$1.6065.5%18.8%51.4%37.1%66.2%-0.2%-5.0%128.0K5.5M-128.3K0.6349.72N/AN/A67,15542,090554,925380,070
2011-02-16$1.65$1.6057.4%16.5%54.9%27.0%57.6%2.8%-1.1%682.4K-13.7M-133.6K0.6353.22N/AN/A131,85082,605597,090398,175
2011-02-17$1.57$1.6062.2%17.8%53.0%33.0%63.1%-3.2%4.8%270.1K497.9K-135.0K1.0154.00N/AN/A63,61563,975627,585429,735
2011-02-18$1.55$1.6055.3%15.9%53.1%24.4%55.6%2.1%6.3%181.9K9.6M-125.8K1.8054.99N/AN/A53,97097,365637,755470,250
2011-02-22$1.46$1.6058.9%16.9%51.8%28.9%58.9%1.4%0.3%53.2K7.9M-115.7K0.8357.11N/AN/A26,85022,260448,005326,985
2011-02-23$1.46$1.6059.6%17.1%51.6%29.7%59.6%2.6%2.5%9.7K8.8M-114.6K0.3759.23N/AN/A21,1057,710449,895333,165
2011-02-24$1.50$1.6052.7%15.1%53.3%21.2%54.7%0.9%4.6%26.4K8.0M-116.1K0.1957.94N/AN/A16,4703,210438,150336,735
2011-02-25$1.57$1.6051.4%14.7%56.2%19.6%52.9%5.6%5.6%213.6K-564.7K-126.8K0.5056.62N/AN/A18,4659,180449,055335,910
2011-02-28$1.59$1.6053.1%15.2%54.9%21.7%51.8%4.7%2.6%238.4K-3.2M-123.2K0.0756.55N/AN/A25,8601,755452,490339,975