TSLA Options History — June 2011

In June 2011, TSLA traded between $1.73 and $2.01. ATM implied volatility averaged 52.2%, placing in the 20.6% IV rank vs the trailing year. The 30-day expected move averaged 15.0%. IV traded below realized volatility by 2.9% (HV 20d: 55.1%). Max pain ranged from $1.80 to $2.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.53.

Notable Days

2011-06-27: Highest Volume — 263,595 contracts
2011-06-28: Largest IV drop — 7.2% change
2011-06-17: Highest IV Rank — 28.8%
2011-06-17: Largest Expected Move — 16.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.86	$1.73	$2.01	$1.90	$1.94
Max Pain	$1.88	$1.80	$2.00	$1.80	$1.80
ATM IV	52.2%	46.3%	58.9%	49.4%	46.3%
Expected Move	15.0%	13.3%	16.9%	14.2%	13.3%
HV 20d	55.1%	45.1%	61.0%	55.3%	46.2%
HV 60d	53.3%	45.4%	56.8%	52.8%	45.4%
IV Rank	20.6%	13.2%	28.8%	17.1%	13.2%
IV Percentile	28.8%	5.2%	56.1%	17.6%	5.2%
Term Structure	4.9%	0.8%	12.3%	9.1%	10.7%
VWIV	52.2%	46.0%	57.5%	49.3%	46.0%
Skew 25d	1.5%	-2.1%	3.9%	0.6%	1.6%
Skew 10d	3.0%	-9.4%	9.3%	-6.2%	4.7%
Call IV 25d	52.1%	46.1%	59.8%	50.7%	46.1%
Put IV 25d	53.6%	47.7%	57.7%	51.3%	47.7%
Bid-Ask Spread %	24.69	17.75	37.07	29.71	17.75
Gamma HHI	0.21	0.13	0.35	0.34	0.18
Net GEX	1.4M	77.5K	2.8M	1.6M	1.8M
Net DEX	-32.0M	-66.4M	-3.2M	-44.4M	-51.3M
Net VEX	-297.4K	-363.1K	-251.4K	-311.5K	-332.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.53	0.05	1.60	0.81	0.18
Total Volume	86,150.455	30,375	263,595	88,545	36,615
Total OI	1,201,877.727	882,255	1,449,795	1,186,245	1,135,125

Daily Data (22 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
2011-06-01	$1.90	$1.80	49.4%	14.2%	55.3%	17.1%	49.3%	0.6%	9.1%	1.6M	-44.4M	-311.5K	0.81	29.71	N/A	N/A	48,870	39,675	720,795	465,450
2011-06-02	$1.92	$1.80	49.0%	14.0%	55.2%	16.6%	48.8%	0.5%	3.1%	1.7M	-45.7M	-314.5K	0.59	23.98	N/A	N/A	29,685	17,400	729,690	486,735
2011-06-03	$2.01	$2.00	51.3%	15.2%	57.0%	19.5%	51.9%	3.4%	4.8%	1.9M	-66.4M	-317.1K	0.23	22.54	N/A	N/A	197,925	44,805	721,755	495,420
2011-06-06	$1.91	$2.00	54.7%	15.7%	59.7%	23.7%	55.0%	1.8%	1.2%	1.8M	-45.7M	-316.4K	0.14	20.97	N/A	N/A	66,840	9,120	770,010	505,740
2011-06-07	$1.89	$2.00	53.9%	15.5%	59.1%	22.6%	52.8%	3.6%	2.9%	1.9M	-39.5M	-311.3K	0.79	19.04	N/A	N/A	22,230	17,625	784,245	506,865
2011-06-08	$1.81	$1.93	55.1%	15.7%	61.0%	24.2%	54.1%	2.1%	2.4%	1.2M	-21.0M	-295.3K	0.30	25.35	N/A	N/A	58,200	17,625	788,280	507,135
2011-06-09	$1.84	$1.93	52.3%	15.0%	59.2%	20.7%	53.0%	2.1%	2.9%	1.6M	-28.2M	-295.6K	1.18	25.73	N/A	N/A	24,975	29,520	796,065	504,825
2011-06-10	$1.86	$1.93	53.2%	15.3%	58.7%	21.8%	53.7%	2.4%	2.2%	1.6M	-28.6M	-294.4K	0.05	21.63	N/A	N/A	161,520	8,385	787,590	524,355
2011-06-13	$1.90	$1.93	54.2%	15.5%	59.1%	23.0%	54.9%	-0.9%	4.5%	2.5M	-47.0M	-306.1K	0.76	23.39	N/A	N/A	34,680	26,310	899,175	527,040
2011-06-14	$1.91	$1.93	51.3%	14.7%	57.5%	19.4%	50.7%	0.6%	3.3%	2.8M	-48.5M	-299.9K	0.29	28.19	N/A	N/A	61,410	17,715	893,370	541,185
2011-06-15	$1.82	$1.93	53.3%	15.3%	59.4%	22.0%	54.1%	2.4%	2.6%	1.4M	-20.9M	-280.5K	0.95	22.50	N/A	N/A	50,160	47,475	885,975	546,240
2011-06-16	$1.77	$1.93	55.1%	15.8%	60.3%	24.1%	55.7%	0.8%	3.7%	208.9K	-3.2M	-268.8K	0.36	37.07	N/A	N/A	42,480	15,255	877,200	561,030
2011-06-17	$1.77	$1.93	58.9%	16.9%	54.8%	28.8%	57.5%	-2.1%	1.7%	77.5K	-3.9M	-265.2K	0.18	28.15	N/A	N/A	116,715	20,520	888,420	561,375
2011-06-20	$1.73	$1.87	55.6%	15.9%	55.0%	24.7%	53.7%	2.2%	0.8%	517.6K	-11.2M	-251.4K	0.34	21.60	N/A	N/A	57,345	19,320	527,790	354,465
2011-06-21	$1.84	$1.87	52.4%	15.0%	57.0%	20.9%	53.8%	2.9%	1.3%	865.6K	-23.5M	-270.6K	0.30	26.58	N/A	N/A	55,155	16,575	559,365	369,045
2011-06-22	$1.81	$1.87	50.8%	14.6%	57.2%	18.9%	51.7%	-1.3%	6.9%	897.7K	-24.0M	-278.7K	0.63	25.98	N/A	N/A	22,425	14,025	583,035	378,525
2011-06-23	$1.85	$1.80	49.4%	14.2%	49.3%	17.2%	51.4%	0.8%	8.7%	977.4K	-27.0M	-277.7K	0.13	22.91	N/A	N/A	45,360	5,730	585,990	388,965
2011-06-24	$1.84	$1.80	51.3%	14.7%	48.8%	19.5%	51.6%	1.2%	7.8%	943.2K	-26.3M	-280.6K	1.40	26.86	N/A	N/A	13,650	19,095	590,220	390,750
2011-06-27	$1.83	$1.80	52.5%	15.0%	48.7%	20.9%	50.9%	3.9%	5.4%	948.0K	-23.8M	-280.7K	1.60	22.97	N/A	N/A	101,370	162,225	598,320	409,365
2011-06-28	$1.87	$1.80	48.7%	14.0%	49.0%	16.2%	49.3%	3.2%	10.0%	1.2M	-31.6M	-363.1K	0.39	23.58	N/A	N/A	21,885	8,490	682,770	492,240
2011-06-29	$1.89	$1.80	49.3%	14.1%	45.1%	16.9%	48.6%	2.4%	12.3%	1.4M	-41.4M	-331.0K	0.10	26.70	N/A	N/A	62,880	6,045	692,100	427,275
2011-06-30	$1.94	$1.80	46.3%	13.3%	46.2%	13.2%	46.0%	1.6%	10.7%	1.8M	-51.3M	-332.0K	0.18	17.75	N/A	N/A	31,050	5,565	706,890	428,235