TSLA Options History — November 2011

In November 2011, TSLA traded between $1.91 and $2.33. ATM implied volatility averaged 50.8%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded below realized volatility by 6.4% (HV 20d: 57.2%). Max pain ranged from $1.73 to $1.87. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.28.

Notable Days

  • 2011-11-11: Highest Volume — 256,680 contracts
  • 2011-11-03: Largest IV drop — 17.8% change
  • 2011-11-02: Highest IV Rank — 36.8%
  • 2011-11-02: Largest Expected Move — 17.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.14$1.91$2.33$1.93$2.18
Max Pain$1.81$1.73$1.87$1.87$1.87
ATM IV50.8%46.0%59.9%59.1%48.0%
Expected Move14.6%13.2%17.2%16.9%13.8%
HV 20d57.2%37.4%62.9%43.3%62.4%
HV 60d51.9%50.1%55.0%51.7%50.3%
IV Rank15.5%4.2%36.8%34.8%8.8%
IV Percentile19.4%1.6%59.5%54.4%7.1%
Term Structure-0.9%-3.8%3.1%-3.8%-1.4%
VWIV51.4%45.5%61.8%58.1%48.1%
Skew 25d8.8%5.6%12.7%9.0%6.2%
Skew 10d18.8%10.1%32.8%20.1%11.3%
Call IV 25d47.8%42.9%57.5%57.1%45.9%
Put IV 25d56.6%51.7%67.0%66.2%52.1%
Bid-Ask Spread %26.5018.1242.6925.7522.01
Gamma HHI0.110.100.120.120.11
Net GEX997.6K322.6K1.7M999.3K440.6K
Net DEX-63.3M-117.4M-32.9M-32.9M-52.9M
Net VEX-518.1K-590.6K-397.2K-411.1K-531.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.280.098.560.140.36
Total Volume85,720.7147,920256,68034,30523,490
Total OI1,824,797.1431,510,4402,147,0551,514,7901,787,295

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$1.93$1.8759.1%16.9%43.3%34.8%58.1%9.0%-3.8%999.3K-32.9M-411.1K0.1425.75N/AN/A30,2104,095823,200691,590
2011-11-02$1.91$1.8759.9%17.2%37.4%36.8%61.8%9.5%-1.5%1.0M-34.7M-419.0K1.1237.20N/AN/A48,93054,615829,815680,625
2011-11-03$2.16$1.8749.3%14.1%52.7%11.8%50.3%5.6%3.1%1.5M-89.3M-397.2K1.0628.97N/AN/A105,855112,065847,260715,605
2011-11-04$2.15$1.7347.3%14.4%52.9%7.3%47.2%10.4%-0.4%1.5M-88.1M-426.4K0.3727.38N/AN/A86,25032,130882,390741,450
2011-11-07$2.08$1.7350.9%14.5%54.1%15.5%48.8%12.7%0.3%1.5M-71.7M-439.4K0.3830.77N/AN/A25,8909,870888,375757,830
2011-11-08$2.12$1.7346.7%13.8%54.0%5.7%45.5%10.6%1.1%1.7M-82.9M-417.4K5.2842.69N/AN/A36,315191,835890,415761,130
2011-11-09$2.06$1.7349.8%14.7%55.6%13.1%51.1%11.6%-0.9%1.2M-55.2M-490.2K8.5629.45N/AN/A21,225181,635902,820943,830
2011-11-10$2.09$1.7351.7%14.8%55.7%17.5%49.7%9.5%0.0%1.0M-54.0M-545.8K0.2526.53N/AN/A14,8803,765902,7001,099,245
2011-11-11$2.24$1.7347.8%13.7%60.3%8.3%49.4%10.7%-0.4%1.2M-97.3M-526.5K0.6433.13N/AN/A156,525100,155907,1101,099,905
2011-11-14$2.21$1.7350.9%14.6%59.7%15.6%50.4%12.6%-1.0%1.2M-87.4M-581.8K0.3025.41N/AN/A51,78015,360960,0751,164,900
2011-11-15$2.26$1.8047.9%13.7%59.2%8.6%48.3%10.0%-0.3%1.5M-102.8M-587.9K0.0925.20N/AN/A64,2755,640972,4051,174,650
2011-11-16$2.33$1.8046.0%13.2%58.0%4.2%46.8%9.2%-0.8%1.5M-117.4M-569.2K0.1224.30N/AN/A85,87510,545957,8851,176,630
2011-11-17$2.25$1.8050.8%14.6%60.2%15.5%53.7%9.0%-2.1%1.3M-73.0M-577.5K1.2821.68N/AN/A54,87070,245880,2151,184,235
2011-11-18$2.17$1.8750.6%14.5%61.8%15.0%52.6%7.0%-2.0%1.3M-56.3M-590.6K0.5724.61N/AN/A42,36024,000905,3551,209,000
2011-11-21$2.12$1.8751.1%14.7%62.7%16.2%54.5%6.9%-1.0%360.6K-36.0M-568.9K1.7023.51N/AN/A16,14027,390771,045970,005
2011-11-22$2.14$1.8751.5%14.8%62.5%16.9%50.5%7.4%-1.9%366.2K-40.9M-569.0K0.3721.63N/AN/A17,5356,450774,570986,730
2011-11-23$2.10$1.8752.6%15.1%62.9%19.7%52.5%6.5%-1.2%322.6K-33.1M-572.8K1.2418.12N/AN/A3,5404,380776,655988,620
2011-11-25$2.11$1.8752.4%15.0%62.4%19.2%52.1%5.7%-1.7%341.9K-36.0M-563.5K0.5426.60N/AN/A10,0805,400778,380988,305
2011-11-28$2.17$1.8752.3%15.0%61.8%19.0%53.0%6.9%-2.3%443.2K-48.3M-544.8K0.4820.12N/AN/A11,0555,355780,435990,285
2011-11-29$2.12$1.8750.9%14.6%62.2%15.6%55.2%7.3%-0.5%412.8K-39.4M-550.6K2.0821.41N/AN/A9,13518,990784,260993,510
2011-11-30$2.18$1.8748.0%13.8%62.4%8.8%48.1%6.2%-1.4%440.6K-52.9M-531.5K0.3622.01N/AN/A17,3256,165783,3901,003,905