TSLA Options History — September 2011

In September 2011, TSLA traded between $1.53 and $1.76. ATM implied volatility averaged 62.3%, placing in the 52.2% IV rank vs the trailing year. The 30-day expected move averaged 17.9%. IV traded above realized volatility by 10.1% (HV 20d: 52.2%). Max pain ranged from $1.53 to $1.60. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.89.

Notable Days

  • 2011-09-30: Highest Volume — 120,435 contracts
  • 2011-09-06: Largest IV spike — 16.8% change
  • 2011-09-12: Highest IV Rank — 72.8%
  • 2011-09-12: Largest Expected Move — 20.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.64$1.53$1.76$1.60$1.63
Max Pain$1.55$1.53$1.60$1.60$1.53
ATM IV62.3%53.8%72.9%59.3%68.4%
Expected Move17.9%15.4%20.1%17.0%19.6%
HV 20d52.2%39.9%65.7%64.6%45.8%
HV 60d51.3%50.4%53.0%50.6%52.7%
IV Rank52.2%35.5%72.8%46.2%64.2%
IV Percentile73.2%37.7%97.6%63.5%91.7%
Term Structure5.1%0.7%11.4%3.4%6.6%
VWIV62.6%53.6%70.1%58.3%68.3%
Skew 25d11.4%7.4%16.3%13.2%14.3%
Skew 10d22.0%14.9%29.1%23.7%26.1%
Call IV 25d56.8%50.1%64.6%53.8%61.2%
Put IV 25d68.3%58.3%75.6%67.0%75.5%
Bid-Ask Spread %23.5916.8534.7834.7827.64
Gamma HHI0.130.090.250.100.10
Net GEX811.9K511.7K1.7M840.9K615.6K
Net DEX-14.1M-29.4M898.1K-12.2M-12.1M
Net VEX-391.6K-432.1K-351.4K-351.4K-416.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.056.531.070.39
Total Volume48,207.85718,045120,43545,525120,435
Total OI1,321,9401,102,6501,432,0951,272,0001,387,665

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$1.60$1.6059.3%17.0%64.6%46.2%58.3%13.2%3.4%840.9K-12.2M-351.4K1.0734.78N/AN/A22,03523,490757,065514,935
2011-09-02$1.54$1.6061.7%17.7%65.7%50.9%61.0%7.4%0.8%692.7K-2.5M-352.5K1.2828.90N/AN/A28,92037,155774,645535,980
2011-09-06$1.53$1.6072.1%19.8%65.1%71.2%66.3%11.4%0.7%612.8K470.2K-363.5K0.8322.80N/AN/A19,14015,810789,000567,030
2011-09-07$1.59$1.6062.9%18.2%63.1%53.4%61.4%11.7%4.0%813.9K-7.3M-379.4K0.3616.85N/AN/A14,9405,340793,605577,800
2011-09-08$1.57$1.6061.0%18.0%60.5%49.6%63.9%11.5%5.6%833.1K-5.2M-376.6K0.0517.37N/AN/A25,8751,335803,025581,265
2011-09-09$1.53$1.5366.2%18.8%56.8%59.8%65.9%12.0%3.4%723.2K-1.4M-371.0K6.5321.40N/AN/A3,93025,680821,910581,430
2011-09-12$1.53$1.5372.9%20.1%54.3%72.8%70.1%11.0%2.9%672.4K898.1K-359.6K0.6321.99N/AN/A11,1006,945821,355583,665
2011-09-13$1.61$1.5363.1%19.0%58.1%53.8%67.4%9.9%1.7%1.1M-9.3M-369.6K1.5417.84N/AN/A15,24023,490828,450583,770
2011-09-14$1.62$1.5360.5%17.6%58.4%48.5%66.0%11.0%6.1%1.2M-13.1M-383.9K0.6324.63N/AN/A18,96011,850829,740600,840
2011-09-15$1.65$1.5359.9%17.2%58.9%47.5%60.6%8.3%4.6%1.5M-16.7M-382.1K0.0620.39N/AN/A31,4401,815822,315608,400
2011-09-16$1.72$1.5357.4%16.4%55.9%42.5%53.6%8.2%6.2%1.7M-29.4M-381.9K0.1325.50N/AN/A91,14011,580823,440608,655
2011-09-19$1.72$1.5357.0%16.3%45.5%41.9%58.7%8.6%2.4%511.7K-16.4M-382.3K1.0432.30N/AN/A14,65515,210612,600490,050
2011-09-20$1.73$1.5353.8%15.4%44.7%35.5%54.3%9.4%10.9%583.8K-22.2M-399.2K0.2619.37N/AN/A53,74513,770622,140502,935
2011-09-21$1.72$1.5356.3%16.2%42.8%40.5%54.5%11.6%5.9%676.5K-24.3M-412.6K0.8425.83N/AN/A32,85027,525675,165512,670
2011-09-22$1.71$1.5362.8%18.0%41.3%53.2%64.6%12.9%5.3%604.9K-21.0M-414.8K0.4320.33N/AN/A23,1009,915690,465528,165
2011-09-23$1.76$1.5363.6%18.2%39.9%54.7%64.2%14.5%5.9%685.2K-28.3M-428.9K0.6520.96N/AN/A35,59522,965705,525532,905
2011-09-26$1.70$1.5360.8%17.4%41.5%49.3%63.5%11.6%7.0%665.9K-21.6M-423.0K0.5517.90N/AN/A37,90520,835722,475540,945
2011-09-27$1.75$1.5360.0%17.2%40.1%47.8%61.5%11.6%11.4%765.6K-27.9M-432.1K0.6726.59N/AN/A35,56523,835747,870559,665
2011-09-28$1.64$1.5363.9%18.3%46.4%55.2%65.0%16.3%7.1%625.9K-15.4M-425.3K0.4628.48N/AN/A37,89017,265768,615571,425
2011-09-29$1.61$1.5365.3%18.7%46.9%58.1%64.3%13.9%4.6%592.4K-10.5M-417.8K0.2923.58N/AN/A17,0705,025795,540585,600
2011-09-30$1.63$1.5368.4%19.6%45.8%64.2%68.3%14.3%6.6%615.6K-12.1M-416.7K0.3927.64N/AN/A86,88033,555800,730586,935