TSLA Options History — August 2011

In August 2011, TSLA traded between $1.46 and $1.92. ATM implied volatility averaged 66.3%, placing in the 61.7% IV rank vs the trailing year. The 30-day expected move averaged 18.8%. IV traded above realized volatility by 7.8% (HV 20d: 58.5%). Max pain ranged from $1.60 to $1.87. Net GEX was positive for 15 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 0.69.

Notable Days

2011-08-05: Highest Volume — 153,495 contracts
2011-08-08: Largest IV spike — 30.5% change
2011-08-08: Highest IV Rank — 100.0%
2011-08-19: Largest Expected Move — 22.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.65	$1.46	$1.92	$1.92	$1.65
Max Pain	$1.65	$1.60	$1.87	$1.87	$1.60
ATM IV	66.3%	55.4%	86.8%	55.4%	55.8%
Expected Move	18.8%	15.9%	22.3%	15.9%	16.0%
HV 20d	58.5%	31.8%	73.7%	31.8%	72.0%
HV 60d	50.1%	44.7%	52.6%	44.7%	51.0%
IV Rank	61.7%	39.4%	100.0%	41.8%	39.4%
IV Percentile	81.7%	47.6%	100.0%	49.2%	47.6%
Term Structure	-0.9%	-9.0%	5.1%	-2.9%	3.8%
VWIV	63.8%	55.1%	75.5%	56.1%	55.1%
Skew 25d	9.6%	1.6%	16.8%	3.8%	10.5%
Skew 10d	17.5%	-27.9%	33.0%	8.4%	21.1%
Call IV 25d	59.9%	52.2%	72.4%	54.6%	52.2%
Put IV 25d	69.5%	58.4%	84.7%	58.4%	62.7%
Bid-Ask Spread %	27.70	19.25	45.66	24.03	27.98
Gamma HHI	0.13	0.10	0.20	0.13	0.11
Net GEX	273.3K	-53.3K	928.2K	497.8K	928.2K
Net DEX	-5.9M	-33.9M	20.0M	-33.9M	-18.2M
Net VEX	-291.6K	-351.9K	-262.3K	-301.1K	-351.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.69	0.25	1.41	0.57	0.42
Total Volume	59,122.826	9,030	153,495	36,630	43,920
Total OI	1,178,334.13	1,055,730	1,328,100	1,061,070	1,244,445

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
2011-08-01	$1.92	$1.87	55.4%	15.9%	31.8%	41.8%	56.1%	3.8%	-2.9%	497.8K	-33.9M	-301.1K	0.57	24.03	N/A	N/A	23,325	13,305	562,890	498,180
2011-08-02	$1.82	$1.87	58.1%	16.7%	36.5%	47.6%	59.1%	9.2%	-0.5%	369.9K	-25.0M	-300.5K	1.41	33.68	N/A	N/A	14,175	19,980	578,640	503,415
2011-08-03	$1.81	$1.87	59.9%	17.2%	36.4%	54.2%	61.0%	6.6%	-3.6%	261.7K	-17.5M	-295.1K	1.18	21.85	N/A	N/A	52,890	62,655	581,520	514,635
2011-08-04	$1.65	$1.80	64.8%	18.6%	47.1%	69.7%	59.9%	1.6%	-8.8%	-25.2K	2.6M	-280.6K	0.86	45.66	N/A	N/A	67,935	58,170	604,050	549,975
2011-08-05	$1.62	$1.67	66.5%	18.8%	46.6%	73.7%	64.0%	5.5%	-0.2%	-43.9K	11.4M	-262.3K	0.69	36.23	N/A	N/A	91,020	62,475	589,950	532,755
2011-08-08	$1.58	$1.60	86.8%	22.1%	46.9%	100.0%	75.5%	8.5%	-9.0%	-8.4K	9.5M	-269.3K	0.56	21.60	N/A	N/A	45,690	25,605	615,465	556,380
2011-08-09	$1.67	$1.60	65.6%	19.3%	52.7%	58.6%	66.3%	9.2%	-1.6%	-46.0K	2.7M	-276.4K	0.36	33.50	N/A	N/A	29,145	10,620	627,555	548,070
2011-08-10	$1.59	$1.60	84.6%	21.2%	54.3%	95.7%	68.3%	12.1%	-5.6%	2.2K	7.7M	-269.7K	0.94	26.73	N/A	N/A	23,145	21,645	637,635	552,135
2011-08-11	$1.69	$1.60	70.9%	20.3%	58.5%	69.0%	65.8%	11.8%	-1.9%	-18.7K	-2.9M	-287.0K	0.45	27.56	N/A	N/A	14,670	6,600	648,075	556,755
2011-08-12	$1.75	$1.60	62.9%	18.0%	60.5%	53.4%	61.9%	9.6%	0.6%	69.6K	-14.2M	-294.6K	0.42	33.58	N/A	N/A	26,250	10,905	655,035	558,090
2011-08-15	$1.75	$1.60	60.2%	17.3%	60.4%	48.1%	59.1%	10.4%	2.5%	-47.7K	-13.9M	-289.0K	0.25	20.03	N/A	N/A	24,075	5,985	669,540	562,230
2011-08-16	$1.74	$1.60	60.5%	17.4%	59.6%	48.7%	56.1%	11.4%	2.1%	-53.3K	-12.6M	-285.7K	0.39	19.25	N/A	N/A	28,215	11,055	680,640	564,705
2011-08-17	$1.72	$1.60	59.7%	17.1%	58.5%	47.1%	59.1%	8.6%	5.1%	-1.4K	-9.0M	-281.5K	0.74	22.84	N/A	N/A	39,135	29,040	698,565	566,130
2011-08-18	$1.62	$1.60	73.4%	21.0%	61.9%	73.9%	71.3%	10.9%	-5.1%	65.7K	7.6M	-275.1K	1.27	25.35	N/A	N/A	35,190	44,730	718,620	569,760
2011-08-19	$1.49	$1.60	77.9%	22.3%	66.4%	82.6%	69.6%	16.8%	0.1%	41.2K	20.0M	-268.5K	0.53	26.12	N/A	N/A	49,095	25,800	740,895	587,205
2011-08-22	$1.46	$1.60	75.4%	21.6%	66.2%	77.8%	73.6%	5.5%	4.4%	356.0K	985.1K	-262.9K	1.07	26.67	N/A	N/A	55,665	59,355	616,080	439,650
2011-08-23	$1.53	$1.60	70.0%	20.1%	69.3%	67.3%	69.8%	7.0%	-0.6%	495.1K	-2.6M	-279.9K	0.44	29.16	N/A	N/A	20,220	8,865	649,110	453,960
2011-08-24	$1.59	$1.60	69.1%	19.8%	71.4%	65.5%	65.1%	13.0%	-3.3%	593.4K	-8.2M	-293.2K	0.53	26.29	N/A	N/A	53,040	27,870	658,920	457,110
2011-08-25	$1.54	$1.60	69.3%	19.9%	71.2%	65.8%	66.5%	13.2%	-4.3%	568.7K	-4.7M	-313.9K	1.25	21.84	N/A	N/A	4,005	5,025	692,475	479,745
2011-08-26	$1.58	$1.60	59.9%	17.2%	72.3%	47.4%	65.1%	13.2%	2.0%	623.9K	-5.5M	-301.6K	0.46	34.59	N/A	N/A	19,455	8,895	686,235	474,075
2011-08-29	$1.65	$1.60	61.4%	17.6%	73.7%	50.3%	60.3%	11.9%	2.1%	774.4K	-15.5M	-317.8K	0.55	26.44	N/A	N/A	46,095	25,320	700,560	478,395
2011-08-30	$1.64	$1.60	56.7%	16.2%	71.9%	41.2%	58.4%	9.9%	3.7%	884.0K	-15.4M	-348.9K	0.47	26.20	N/A	N/A	6,495	3,075	738,765	502,665
2011-08-31	$1.65	$1.60	55.8%	16.0%	72.0%	39.4%	55.1%	10.5%	3.8%	928.2K	-18.2M	-351.9K	0.42	27.98	N/A	N/A	30,840	13,080	740,490	503,955