TSLA Options History — July 2011

In July 2011, TSLA traded between $1.82 and $1.98. ATM implied volatility averaged 51.3%, placing in the 30.7% IV rank vs the trailing year. The 30-day expected move averaged 15.5%. IV traded above realized volatility by 16.2% (HV 20d: 35.1%). Max pain ranged from $1.80 to $1.93. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 1.07.

Notable Days

  • 2011-07-20: Highest Volume — 90,210 contracts
  • 2011-07-11: Largest IV spike — 13.7% change
  • 2011-07-29: Highest IV Rank — 44.7%
  • 2011-07-12: Largest Expected Move — 16.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.89$1.82$1.98$1.93$1.88
Max Pain$1.87$1.80$1.93$1.80$1.87
ATM IV51.3%45.5%56.7%46.3%56.7%
Expected Move15.5%13.3%16.7%13.3%16.3%
HV 20d35.1%30.2%42.9%42.9%30.8%
HV 60d44.4%43.8%45.4%45.4%44.6%
IV Rank30.7%12.2%44.7%13.3%44.7%
IV Percentile29.1%3.2%53.2%5.6%53.2%
Term Structure-1.5%-6.2%8.8%8.8%-2.3%
VWIV54.1%45.8%57.4%45.8%57.4%
Skew 25d5.5%2.4%9.3%2.4%4.8%
Skew 10d9.1%3.0%12.6%3.0%10.2%
Call IV 25d51.7%44.2%54.9%44.2%54.9%
Put IV 25d57.1%46.6%62.2%46.6%59.7%
Bid-Ask Spread %17.9211.4525.8925.8920.48
Gamma HHI0.180.120.320.190.13
Net GEX1.1M134.5K2.5M1.9M426.3K
Net DEX-34.3M-61.8M-14.7M-51.7M-27.8M
Net VEX-307.6K-335.0K-284.2K-335.0K-309.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.184.350.284.35
Total Volume40,60812,31590,21028,57515,480
Total OI1,098,185.25881,7301,252,9501,155,8551,053,780

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-07-01$1.93$1.8046.3%13.3%42.9%13.3%45.8%2.4%8.8%1.9M-51.7M-335.0K0.2825.89N/AN/A22,3056,270726,465429,390
2011-07-05$1.94$1.9347.7%16.3%39.2%15.0%55.6%6.7%-3.2%2.1M-52.7M-322.3K0.5813.91N/AN/A23,62513,725727,410431,715
2011-07-06$1.93$1.9346.3%15.9%39.0%13.2%54.9%6.3%-2.3%2.1M-48.9M-317.4K0.1811.45N/AN/A29,2205,160729,795438,540
2011-07-07$1.98$1.8745.5%15.6%35.9%12.2%54.6%5.7%-2.8%2.5M-61.8M-317.2K0.2111.84N/AN/A48,1209,975735,285441,735
2011-07-08$1.92$1.8745.9%15.7%37.7%19.3%56.2%5.9%-2.2%2.1M-46.7M-312.9K1.6115.35N/AN/A25,87541,655728,685445,065
2011-07-11$1.89$1.8752.2%16.2%38.2%31.1%57.2%5.9%-2.4%1.8M-38.2M-302.2K1.3414.18N/AN/A23,19031,185728,610466,995
2011-07-12$1.88$1.8747.9%16.7%37.5%23.1%55.9%9.3%-6.2%2.1M-36.7M-305.2K0.6821.69N/AN/A23,34015,930733,245489,435
2011-07-13$1.91$1.8748.4%15.4%38.0%25.3%55.3%5.4%-1.3%2.3M-39.9M-301.9K1.1414.90N/AN/A28,38032,250730,185498,075
2011-07-14$1.84$1.8752.5%15.1%36.6%35.8%53.9%7.5%-2.9%1.2M-19.2M-290.5K0.5221.27N/AN/A23,47512,180723,945521,055
2011-07-15$1.84$1.8754.3%15.6%34.8%39.6%56.4%5.4%-1.2%834.6K-16.1M-286.7K2.5313.94N/AN/A14,35536,255728,505524,445
2011-07-18$1.82$1.8754.5%15.6%35.2%40.0%53.8%5.8%-3.0%134.5K-14.7M-284.2K0.4116.29N/AN/A38,32515,870447,825433,905
2011-07-19$1.86$1.8749.5%14.2%35.2%29.5%49.5%4.6%0.3%189.2K-21.3M-289.5K0.1916.94N/AN/A52,56010,005465,465443,820
2011-07-20$1.91$1.8752.8%15.1%30.6%36.3%52.0%5.3%3.7%385.5K-33.5M-303.4K0.6821.34N/AN/A53,56536,645505,530451,335
2011-07-21$1.91$1.8752.0%14.9%30.2%34.8%52.2%3.7%-0.8%444.4K-31.9M-316.9K0.8216.23N/AN/A18,31515,105537,615469,680
2011-07-22$1.95$1.8751.8%14.8%30.4%34.2%51.6%4.1%-1.4%507.8K-37.4M-315.1K0.7118.66N/AN/A10,7857,665544,875476,205
2011-07-25$1.90$1.8755.0%15.8%32.1%40.9%55.1%4.7%-3.2%472.9K-31.2M-314.2K2.6521.15N/AN/A7,20019,095551,625478,080
2011-07-26$1.87$1.8754.3%15.6%32.8%39.6%54.5%4.6%-2.3%399.1K-26.4M-309.8K1.2421.63N/AN/A5,8057,170552,390483,435
2011-07-27$1.84$1.8756.0%16.1%32.0%43.1%55.3%5.0%-2.9%362.8K-22.4M-306.8K0.4321.39N/AN/A13,8605,925554,670486,300
2011-07-28$1.88$1.8755.9%16.0%32.7%43.0%55.8%5.9%-2.8%434.5K-28.3M-309.8K0.7519.92N/AN/A7,0205,295560,865487,725
2011-07-29$1.88$1.8756.7%16.3%30.8%44.7%57.4%4.8%-2.3%426.3K-27.8M-309.9K4.3520.48N/AN/A2,89512,585562,725491,055