TSLA Options History — October 2011

In October 2011, TSLA traded between $1.58 and $1.99. ATM implied volatility averaged 56.4%, placing in the 33.8% IV rank vs the trailing year. The 30-day expected move averaged 16.8%. IV traded above realized volatility by 8.1% (HV 20d: 48.3%). Max pain ranged from $1.53 to $1.87. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.15.

Notable Days

2011-10-21: Highest Volume — 133,050 contracts
2011-10-13: Largest IV spike — 24.5% change
2011-10-03: Highest IV Rank — 70.5%
2011-10-03: Largest Expected Move — 20.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.83	$1.58	$1.99	$1.58	$1.96
Max Pain	$1.73	$1.53	$1.87	$1.60	$1.87
ATM IV	56.4%	44.3%	71.7%	71.7%	57.2%
Expected Move	16.8%	14.7%	20.6%	20.6%	16.4%
HV 20d	48.3%	42.3%	52.9%	44.6%	42.5%
HV 60d	54.9%	51.8%	56.0%	52.6%	51.8%
IV Rank	33.8%	16.9%	70.5%	70.5%	30.4%
IV Percentile	43.4%	0.8%	96.0%	96.0%	45.2%
Term Structure	1.1%	-2.2%	9.8%	2.0%	-2.1%
VWIV	57.3%	38.4%	72.4%	72.4%	49.2%
Skew 25d	12.5%	7.6%	15.4%	13.2%	9.3%
Skew 10d	27.2%	13.7%	40.6%	28.3%	19.9%
Call IV 25d	53.1%	46.5%	65.5%	65.5%	54.1%
Put IV 25d	65.6%	56.9%	78.7%	78.7%	63.4%
Bid-Ask Spread %	24.93	18.61	32.69	30.53	24.45
Gamma HHI	0.17	0.09	0.76	0.10	0.13
Net GEX	1.6M	513.6K	7.7M	575.8K	1.1M
Net DEX	-37.8M	-57.6M	-5.7M	-9.4M	-37.5M
Net VEX	-424.6K	-453.7K	-402.9K	-417.3K	-411.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.15	0.28	4.19	2.92	0.70
Total Volume	48,192.143	13,980	133,050	29,070	60,555
Total OI	1,495,761.429	1,386,870	1,610,310	1,444,770	1,507,755

Daily Data (21 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
2011-10-03	$1.58	$1.60	71.7%	20.6%	44.6%	70.5%	72.4%	13.2%	2.0%	575.8K	-9.4M	-417.3K	2.92	30.53	N/A	N/A	7,425	21,645	841,905	602,865
2011-10-04	$1.58	$1.60	69.5%	19.9%	44.5%	66.2%	67.0%	8.2%	8.3%	513.6K	-5.7M	-402.9K	1.20	32.57	N/A	N/A	11,220	13,440	827,340	598,590
2011-10-05	$1.69	$1.60	66.1%	18.9%	49.1%	59.5%	63.6%	12.4%	2.0%	835.8K	-21.7M	-424.2K	1.19	32.69	N/A	N/A	17,160	20,430	826,740	598,275
2011-10-06	$1.80	$1.53	51.4%	14.7%	52.9%	30.8%	56.0%	10.1%	9.8%	1.2M	-39.6M	-446.1K	1.44	24.59	N/A	N/A	42,105	60,780	834,390	609,090
2011-10-07	$1.80	$1.67	51.4%	17.5%	51.4%	30.9%	58.5%	14.7%	0.8%	1.2M	-40.0M	-453.7K	0.52	19.14	N/A	N/A	27,420	14,370	865,020	643,710
2011-10-10	$1.86	$1.67	49.5%	17.1%	51.9%	27.2%	62.3%	14.2%	-0.4%	1.5M	-53.1M	-446.3K	0.78	22.75	N/A	N/A	22,365	17,400	870,975	647,535
2011-10-11	$1.84	$1.67	48.4%	16.8%	49.9%	25.0%	61.0%	15.4%	0.5%	1.4M	-49.2M	-447.6K	0.48	18.61	N/A	N/A	9,465	4,515	873,225	651,360
2011-10-12	$1.85	$1.67	44.3%	16.3%	49.9%	16.9%	56.6%	14.3%	1.4%	1.6M	-52.2M	-439.7K	1.06	19.38	N/A	N/A	24,600	26,070	875,940	650,940
2011-10-13	$1.86	$1.67	55.1%	15.8%	49.7%	26.6%	53.7%	14.2%	0.3%	1.7M	-53.5M	-441.1K	0.91	27.16	N/A	N/A	17,340	15,750	875,370	638,145
2011-10-14	$1.87	$1.67	56.2%	16.1%	48.2%	29.1%	59.2%	13.6%	0.4%	1.8M	-54.4M	-433.5K	0.41	30.23	N/A	N/A	46,620	19,305	878,025	648,150
2011-10-17	$1.83	$1.73	60.8%	17.4%	49.1%	39.9%	58.9%	14.7%	-1.7%	1.6M	-44.0M	-428.4K	0.63	21.06	N/A	N/A	8,925	5,640	886,695	663,795
2011-10-18	$1.89	$1.73	56.3%	16.1%	50.2%	29.2%	59.8%	13.3%	-0.7%	2.0M	-57.6M	-418.5K	4.19	27.67	N/A	N/A	13,590	56,970	890,070	664,800
2011-10-19	$1.84	$1.73	57.9%	16.6%	51.3%	33.2%	57.6%	13.6%	-1.2%	1.8M	-43.6M	-428.5K	1.37	24.48	N/A	N/A	17,745	24,270	883,290	674,475
2011-10-20	$1.82	$1.73	58.7%	16.8%	51.3%	34.8%	38.4%	12.9%	-0.1%	1.7M	-36.5M	-416.1K	0.80	22.28	N/A	N/A	31,425	25,020	878,805	686,235
2011-10-21	$1.87	$1.80	56.1%	16.1%	51.1%	28.9%	46.8%	13.8%	1.5%	7.7M	-45.8M	-415.6K	0.65	24.19	N/A	N/A	80,550	52,500	900,210	710,100
2011-10-24	$1.90	$1.87	52.6%	15.1%	49.5%	20.8%	58.3%	12.4%	2.4%	839.2K	-27.4M	-407.3K	0.86	28.28	N/A	N/A	27,615	23,820	759,225	627,645
2011-10-25	$1.88	$1.87	56.0%	16.1%	49.2%	28.7%	59.3%	11.8%	-0.2%	910.8K	-25.7M	-421.8K	1.24	23.70	N/A	N/A	16,560	20,535	783,495	642,060
2011-10-26	$1.87	$1.87	55.6%	15.9%	42.8%	27.7%	60.1%	10.8%	-0.7%	818.1K	-21.6M	-404.9K	1.85	21.82	N/A	N/A	10,065	18,645	792,420	659,490
2011-10-27	$1.92	$1.87	51.1%	14.7%	42.3%	17.4%	49.3%	11.9%	1.8%	958.0K	-30.0M	-405.4K	0.28	22.64	N/A	N/A	11,250	3,165	796,890	675,060
2011-10-28	$1.99	$1.87	59.1%	16.9%	43.5%	35.8%	54.2%	7.6%	-2.2%	1.0M	-45.0M	-405.4K	0.68	25.36	N/A	N/A	38,055	25,710	795,870	675,015
2011-10-31	$1.96	$1.87	57.2%	16.4%	42.5%	30.4%	49.2%	9.3%	-2.1%	1.1M	-37.5M	-411.2K	0.70	24.45	N/A	N/A	35,520	25,035	814,680	693,075