TSLA Options History — March 2011 In March 2011, TSLA traded between $1.48 and $1.85. ATM implied volatility averaged 56.0%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 16.2%. IV traded above realized volatility by 12.6% (HV 20d: 43.3%). Max pain ranged from $1.53 to $1.67. Net GEX was positive for 19 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 0.89.
Notable Days 2011-03-31 : Highest Volume — 598,185 contracts2011-03-07 : Largest IV spike — 19.0% change2011-03-17 : Highest IV Rank — 33.8%2011-03-17 : Largest Expected Move — 18.0%Monthly Statistics Metric Avg Min Max Open Close Price $1.58 $1.48 $1.85 $1.60 $1.85 Max Pain $1.61 $1.53 $1.67 $1.60 $1.53 ATM IV 56.0% 48.2% 62.8% 51.2% 62.5% Expected Move 16.2% 14.1% 18.0% 14.7% 17.9% HV 20d 43.3% 24.0% 62.4% 54.9% 62.4% HV 60d 56.6% 44.5% 63.2% 63.2% 55.6% IV Rank 25.2% 15.6% 33.8% 19.3% 33.3% IV Percentile 39.4% 14.5% 69.1% 23.3% 67.6% Term Structure 2.5% -2.3% 5.7% 3.0% 2.4% VWIV 56.0% 48.9% 65.6% 52.8% 63.0% Skew 25d 6.0% 1.8% 10.7% 3.6% 2.8% Skew 10d 15.2% 5.5% 41.2% 8.5% 8.3% Call IV 25d 53.3% 45.8% 63.0% 50.6% 63.0% Put IV 25d 59.3% 51.4% 67.9% 54.1% 65.8% Bid-Ask Spread % 30.23 17.05 62.75 59.28 19.64 Gamma HHI 0.25 0.09 0.89 0.24 0.13 Net GEX 55.6K -3.6M 656.3K 342.8K 382.9K Net DEX -4.5M -31.1M 13.9M -5.0M -31.1M Net VEX -131.1K -161.4K -119.8K -125.5K -161.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.89 0.10 9.04 0.49 0.40 Total Volume 69,823.043 6,300 598,185 12,645 598,185 Total OI 724,713.261 396,930 995,235 808,275 539,145
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2011-03-01 $1.60 $1.60 51.2% 14.7% 54.9% 19.3% 52.8% 3.6% 3.0% 342.8K -5.0M -125.5K 0.49 59.28 N/A N/A 8,505 4,140 467,805 340,470 2011-03-02 $1.60 $1.60 50.2% 14.4% 54.8% 18.1% 50.3% 1.8% 4.9% 304.4K -5.1M -122.1K 0.13 57.06 N/A N/A 29,580 3,705 461,385 342,405 2011-03-03 $1.62 $1.60 49.1% 14.1% 55.1% 16.7% 48.9% 4.0% 5.7% 390.8K -8.1M -122.3K 0.18 62.75 N/A N/A 20,955 3,675 474,690 344,235 2011-03-04 $1.66 $1.67 48.2% 15.3% 55.4% 15.6% 53.3% 6.0% 4.3% 478.9K -13.0M -119.8K 0.93 30.12 N/A N/A 38,280 35,655 471,015 346,185 2011-03-07 $1.66 $1.67 57.4% 16.4% 55.3% 27.0% 55.9% 4.3% 2.5% 477.1K -13.4M -135.3K 0.48 30.59 N/A N/A 52,350 25,215 486,465 362,745 2011-03-08 $1.64 $1.67 52.5% 15.9% 55.1% 20.9% 54.2% 6.3% 4.1% 604.1K -13.3M -136.4K 1.94 23.40 N/A N/A 13,335 25,905 522,060 360,585 2011-03-09 $1.65 $1.67 50.2% 15.6% 50.9% 18.1% 55.1% 6.3% 4.7% 656.3K -14.5M -138.6K 0.70 27.78 N/A N/A 11,115 7,770 529,485 361,905 2011-03-10 $1.60 $1.67 56.2% 16.1% 48.1% 25.6% 55.4% 5.2% 3.4% 544.3K -7.4M -134.1K 0.26 27.93 N/A N/A 14,985 3,840 528,435 362,070 2011-03-11 $1.60 $1.67 56.9% 16.3% 48.1% 26.4% 56.2% 4.3% 0.9% 638.2K -9.3M -130.9K 0.41 29.30 N/A N/A 4,455 1,845 535,620 360,345 2011-03-14 $1.55 $1.67 60.3% 17.3% 49.8% 30.6% 60.1% 6.0% 2.2% 302.2K -140.7K -122.6K 9.04 27.06 N/A N/A 9,000 81,315 535,590 361,275 2011-03-15 $1.53 $1.67 61.3% 17.6% 49.9% 31.8% 60.7% 6.7% -1.3% -133.7K 9.0M -120.1K 1.21 30.68 N/A N/A 31,470 38,085 535,050 411,300 2011-03-16 $1.52 $1.67 61.4% 17.6% 49.8% 31.9% 61.4% 7.2% 3.0% -417.8K 11.8M -131.7K 0.92 23.88 N/A N/A 96,825 89,340 548,160 427,755 2011-03-17 $1.52 $1.67 62.8% 18.0% 40.0% 33.8% 65.6% 10.7% 0.8% -1.0M 13.9M -127.2K 0.10 27.14 N/A N/A 33,450 3,495 560,520 421,395 2011-03-18 $1.53 $1.60 62.4% 17.9% 36.8% 33.2% 63.0% 8.7% 0.4% -3.6M 12.2M -126.9K 0.88 25.67 N/A N/A 20,685 18,210 576,285 418,950 2011-03-21 $1.52 $1.60 58.9% 16.9% 36.5% 28.8% 58.4% 9.3% 1.2% 61.0K -486.1K -121.6K 0.31 20.73 N/A N/A 18,090 5,670 217,275 179,655 2011-03-22 $1.48 $1.60 57.9% 16.6% 30.9% 27.6% 58.0% 7.5% 2.2% 67.8K 713.6K -121.6K 0.32 20.47 N/A N/A 28,185 9,045 230,595 183,525 2011-03-23 $1.48 $1.60 56.9% 16.3% 30.9% 26.3% 54.3% 6.2% 1.6% 94.6K -672.0K -129.0K 0.39 18.91 N/A N/A 19,095 7,410 256,965 190,710 2011-03-24 $1.49 $1.53 55.0% 15.8% 28.8% 24.0% 52.8% 7.4% 2.9% 115.6K -1.5M -131.1K 0.30 17.05 N/A N/A 13,020 3,900 263,895 193,275 2011-03-25 $1.52 $1.53 50.0% 14.3% 24.0% 17.9% 49.3% 7.5% 4.6% 152.3K -3.3M -132.8K 0.40 20.49 N/A N/A 8,475 3,420 267,645 194,955 2011-03-28 $1.55 $1.53 58.6% 16.8% 25.0% 28.5% 54.1% 6.1% -2.3% 186.4K -5.7M -137.4K 0.18 36.72 N/A N/A 60,405 10,605 275,040 196,755 2011-03-29 $1.59 $1.53 50.5% 14.5% 27.1% 18.5% 51.6% 7.5% 5.4% 299.1K -9.5M -142.9K 0.31 24.78 N/A N/A 25,980 8,070 303,270 205,110 2011-03-30 $1.58 $1.53 56.8% 16.3% 27.3% 26.2% 53.4% 2.4% 0.6% 306.1K -8.8M -144.5K 0.30 33.85 N/A N/A 45,690 13,500 308,595 207,810 2011-03-31 $1.85 $1.53 62.5% 17.9% 62.4% 33.3% 63.0% 2.8% 2.4% 382.9K -31.1M -161.4K 0.40 19.64 N/A N/A 426,510 171,675 322,350 216,795
« Feb 2011 | All History | Apr 2011 » Home TSLA History March 2011