TSLA Options History — May 2011

In May 2011, TSLA traded between $1.73 and $2.01. ATM implied volatility averaged 51.1%, placing in the 19.2% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded above realized volatility by 11.9% (HV 20d: 39.2%). Max pain ranged from $1.60 to $1.80. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.54.

Notable Days

  • 2011-05-25: Highest Volume — 416,055 contracts
  • 2011-05-25: Largest IV spike — 22.7% change
  • 2011-05-03: Highest IV Rank — 30.4%
  • 2011-05-03: Largest Expected Move — 17.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.84$1.73$2.01$1.83$2.01
Max Pain$1.72$1.60$1.80$1.67$1.80
ATM IV51.1%44.5%60.2%57.7%47.3%
Expected Move14.8%13.6%17.3%16.5%13.6%
HV 20d39.2%28.9%51.8%37.4%51.7%
HV 60d50.4%47.2%52.8%52.6%51.4%
IV Rank19.2%11.0%30.4%27.3%14.5%
IV Percentile23.3%2.9%57.5%42.7%8.4%
Term Structure4.3%-5.4%10.0%-2.9%4.3%
VWIV52.1%47.4%62.0%57.7%47.4%
Skew 25d3.8%-1.3%8.8%4.9%2.2%
Skew 10d7.8%-1.9%14.7%11.0%6.3%
Call IV 25d50.7%46.9%60.7%55.8%47.0%
Put IV 25d54.5%48.0%63.8%60.7%49.2%
Bid-Ask Spread %28.0216.9747.4416.9720.19
Gamma HHI0.240.150.740.180.16
Net GEX1.6M419.1K5.3M1.5M419.1K
Net DEX-45.8M-70.4M-21.2M-53.7M-37.4M
Net VEX-292.3K-331.0K-217.3K-324.0K-217.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.061.080.390.41
Total Volume87,058.57116,245416,05556,67097,980
Total OI1,212,521.429797,8201,367,9401,218,300797,820

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$1.83$1.6757.7%16.5%37.4%27.3%57.7%4.9%-2.9%1.5M-53.7M-324.0K0.3916.97N/AN/A40,74015,930765,510452,790
2011-05-03$1.79$1.6760.2%17.3%36.4%30.4%60.7%3.0%-5.4%1.4M-46.6M-325.5K1.0823.71N/AN/A46,18549,890772,020460,545
2011-05-04$1.78$1.6759.8%17.1%34.6%30.0%62.0%3.1%-2.7%1.3M-42.4M-331.0K0.8825.60N/AN/A63,04555,740802,455505,905
2011-05-05$1.76$1.6749.0%14.0%34.6%16.6%49.5%2.2%1.5%1.5M-39.4M-326.4K0.7330.77N/AN/A89,59565,025834,780533,160
2011-05-06$1.81$1.6044.5%14.0%34.4%11.0%48.0%6.7%7.4%1.8M-49.1M-318.0K0.7129.83N/AN/A33,31523,505804,180527,460
2011-05-09$1.86$1.6046.2%14.1%34.2%13.1%49.3%5.8%7.5%1.9M-60.5M-307.8K0.7626.79N/AN/A24,84018,780789,030530,985
2011-05-10$1.89$1.6746.3%14.5%28.9%13.3%51.7%6.1%4.5%2.1M-70.4M-305.0K0.8134.96N/AN/A55,36544,640790,710521,715
2011-05-11$1.80$1.7347.5%14.4%32.5%14.8%49.9%-1.3%6.7%1.7M-45.8M-305.7K0.4727.63N/AN/A34,62016,260788,430550,575
2011-05-12$1.84$1.7352.8%15.1%33.0%21.3%51.6%5.9%5.3%2.0M-56.6M-305.2K0.1222.90N/AN/A23,0702,700803,850560,445
2011-05-13$1.84$1.7349.4%14.2%33.2%17.1%50.2%6.2%7.1%2.0M-55.2M-298.8K0.0636.13N/AN/A57,9903,225790,290560,985
2011-05-16$1.77$1.7349.6%14.2%35.6%17.4%50.8%2.4%7.9%1.4M-37.5M-284.6K0.1939.40N/AN/A35,7306,960784,275561,750
2011-05-17$1.73$1.7350.9%14.6%35.9%19.0%50.6%2.9%6.7%798.8K-21.4M-268.5K0.5624.31N/AN/A14,0107,890776,700560,385
2011-05-18$1.76$1.7351.2%14.7%36.1%19.3%50.9%7.4%6.0%1.2M-26.7M-266.8K0.4447.44N/AN/A11,3104,935767,715563,835
2011-05-19$1.88$1.7349.3%14.1%42.5%17.0%49.4%8.8%10.0%2.6M-61.7M-266.7K0.2932.02N/AN/A107,31031,170745,740560,025
2011-05-20$1.86$1.7349.7%14.2%40.8%17.4%50.0%4.3%6.4%5.3M-59.9M-263.7K0.4029.55N/AN/A47,40018,735757,530581,085
2011-05-23$1.79$1.8050.1%14.4%43.5%17.9%51.2%2.2%2.8%666.1K-21.6M-255.8K0.6726.92N/AN/A13,0058,670498,630351,810
2011-05-24$1.78$1.8048.4%13.9%42.9%15.9%49.2%1.8%5.7%669.2K-21.2M-254.5K0.8023.41N/AN/A16,95013,590504,810358,005
2011-05-25$1.93$1.8059.4%17.0%51.8%29.5%60.2%0.3%0.7%819.5K-38.5M-264.4K0.2524.60N/AN/A332,53583,520510,030366,240
2011-05-26$1.97$1.8053.0%15.2%51.6%21.5%53.8%2.8%7.8%1.6M-57.9M-322.0K0.5526.68N/AN/A85,36547,280698,235417,720
2011-05-27$1.97$1.8050.5%14.5%51.5%18.4%50.5%1.9%3.4%1.6M-57.6M-326.7K0.7118.66N/AN/A46,50032,925708,345446,445
2011-05-31$2.01$1.8047.3%13.6%51.7%14.5%47.4%2.2%4.3%419.1K-37.4M-217.3K0.4120.19N/AN/A69,70528,275426,495371,325