TSLA Options History — April 2011

In April 2011, TSLA traded between $1.64 and $1.84. ATM implied volatility averaged 57.5%, placing in the 27.1% IV rank vs the trailing year. The 30-day expected move averaged 17.1%. IV traded below realized volatility by 8.8% (HV 20d: 66.3%). Max pain ranged from $1.60 to $1.73. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.55.

Notable Days

  • 2011-04-07: Highest Volume — 289,650 contracts
  • 2011-04-14: Largest IV spike — 16.1% change
  • 2011-04-14: Highest IV Rank — 33.2%
  • 2011-04-12: Largest Expected Move — 19.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.74$1.64$1.84$1.78$1.84
Max Pain$1.69$1.60$1.73$1.60$1.67
ATM IV57.5%50.0%62.4%57.9%55.2%
Expected Move17.1%15.5%19.0%16.6%15.8%
HV 20d66.3%40.2%69.4%64.1%40.2%
HV 60d54.4%52.2%56.5%56.2%52.7%
IV Rank27.1%17.8%33.2%27.6%24.3%
IV Percentile44.7%18.5%68.7%43.5%33.2%
Term Structure-0.4%-4.7%3.9%3.9%-2.9%
VWIV59.7%55.0%64.9%59.0%56.5%
Skew 25d3.3%0.5%5.7%2.4%4.0%
Skew 10d9.4%0.6%23.8%0.6%16.3%
Call IV 25d58.3%53.1%63.5%59.0%53.3%
Put IV 25d61.6%53.6%68.1%61.4%57.4%
Bid-Ask Spread %23.4117.0231.5930.2717.02
Gamma HHI0.150.120.200.160.18
Net GEX905.4K584.6K1.5M674.0K1.5M
Net DEX-33.1M-56.0M-15.8M-30.8M-56.0M
Net VEX-282.3K-333.0K-245.5K-246.4K-333.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.061.210.421.07
Total Volume101,009.2517,160289,650119,47526,745
Total OI1,068,630.75842,0851,243,650842,0851,217,460

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$1.78$1.6057.9%16.6%64.1%27.6%59.0%2.4%3.9%674.0K-30.8M-246.4K0.4230.27N/AN/A84,24035,235509,340332,745
2011-04-04$1.72$1.7358.5%16.9%65.3%28.4%60.0%3.4%0.6%658.6K-21.9M-245.5K0.2227.22N/AN/A148,17032,985537,735347,430
2011-04-05$1.78$1.7353.2%16.7%66.0%21.8%59.9%0.8%-2.3%1.0M-33.9M-258.2K0.2531.59N/AN/A131,68533,465589,980354,315
2011-04-06$1.77$1.7350.0%17.0%66.2%17.8%59.0%4.9%-2.3%1.0M-32.5M-260.2K1.0427.40N/AN/A35,82037,170611,970373,545
2011-04-07$1.82$1.7356.9%18.1%65.5%26.4%63.9%4.5%-2.3%951.2K-43.4M-272.3K0.0626.19N/AN/A272,02517,625620,985398,940
2011-04-08$1.77$1.7360.6%18.4%66.6%30.9%63.8%1.7%-0.5%1.4M-46.7M-295.5K0.3431.27N/AN/A70,65024,105762,195401,055
2011-04-11$1.68$1.7361.8%18.6%67.8%32.5%64.3%5.7%1.7%1.2M-28.5M-282.0K0.1518.25N/AN/A164,68524,540796,815419,160
2011-04-12$1.64$1.7361.2%19.0%68.3%31.7%64.9%5.7%-4.7%678.8K-15.8M-276.4K0.4430.97N/AN/A54,24023,970780,345432,135
2011-04-13$1.66$1.7353.8%18.2%68.2%22.5%63.2%3.7%2.5%691.8K-18.2M-273.1K0.6419.07N/AN/A22,96514,745776,625437,295
2011-04-14$1.68$1.7362.4%17.9%68.2%33.2%62.6%3.5%-4.0%671.7K-20.3M-270.4K0.2319.16N/AN/A89,38520,190780,870438,870
2011-04-15$1.71$1.6760.9%17.5%68.4%31.4%61.0%3.2%-0.5%584.6K-29.8M-276.7K0.3618.88N/AN/A54,31519,410803,310440,340
2011-04-18$1.67$1.6760.9%17.5%68.8%31.3%60.5%1.7%0.9%650.3K-23.2M-268.7K0.3017.14N/AN/A50,67015,225588,795312,945
2011-04-19$1.68$1.6759.1%16.9%68.0%29.1%59.3%3.7%0.6%731.5K-24.5M-275.3K0.8421.92N/AN/A10,8009,105611,520322,230
2011-04-20$1.72$1.6754.2%15.5%68.2%23.1%55.2%1.8%2.7%822.6K-28.8M-279.9K0.7827.03N/AN/A62,59548,735614,040326,295
2011-04-21$1.78$1.6756.7%16.2%69.1%26.1%55.6%0.5%1.1%916.8K-38.7M-297.0K1.2126.89N/AN/A46,30555,965648,960367,380
2011-04-25$1.76$1.6757.2%16.4%69.4%26.8%56.2%2.7%-2.1%862.9K-34.5M-301.8K0.8118.35N/AN/A9,4657,695666,690413,730
2011-04-26$1.80$1.6755.9%16.0%69.4%25.1%57.2%3.6%0.3%941.6K-41.0M-303.9K0.7620.15N/AN/A52,36539,795668,445415,200
2011-04-27$1.81$1.6755.6%15.9%68.9%24.7%55.0%3.4%0.4%1.0M-43.3M-313.7K0.8317.74N/AN/A12,99010,725687,465433,815
2011-04-28$1.84$1.6757.9%16.6%68.9%27.7%57.4%4.2%-1.2%1.1M-50.1M-316.7K0.2921.59N/AN/A116,16033,225693,150438,495
2011-04-29$1.84$1.6755.2%15.8%40.2%24.3%56.5%4.0%-2.9%1.5M-56.0M-333.0K1.0717.02N/AN/A12,93013,815765,450452,010