TSLA Options History — December 2011

In December 2011, TSLA traded between $1.84 and $2.32. ATM implied volatility averaged 51.0%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded above realized volatility by 1.5% (HV 20d: 49.5%). Max pain ranged from $1.87 to $2.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.03.

Notable Days

  • 2011-12-08: Highest Volume — 134,955 contracts
  • 2011-12-08: Largest IV spike — 18.9% change
  • 2011-12-13: Highest IV Rank — 34.3%
  • 2011-12-16: Largest Expected Move — 16.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.00$1.84$2.32$2.17$1.90
Max Pain$1.97$1.87$2.00$1.87$1.93
ATM IV51.0%45.4%58.9%48.0%48.0%
Expected Move14.5%12.8%16.3%13.8%13.7%
HV 20d49.5%44.8%62.4%62.4%45.3%
HV 60d52.2%49.1%54.5%49.9%49.6%
IV Rank15.9%2.7%34.3%8.7%8.7%
IV Percentile24.3%0.8%60.7%7.1%9.5%
Term Structure3.9%-1.1%7.5%-1.1%5.7%
VWIV49.6%44.3%55.6%47.9%46.5%
Skew 25d8.4%5.7%10.0%6.5%8.1%
Skew 10d16.6%12.2%18.9%12.2%14.4%
Call IV 25d46.9%40.8%52.4%46.2%45.1%
Put IV 25d55.3%49.3%61.6%52.6%53.3%
Bid-Ask Spread %18.7912.8924.5521.9914.82
Gamma HHI0.180.100.540.110.17
Net GEX-52.6K-963.5K3.3M444.0K-492.2K
Net DEX-7.1M-88.6M35.9M-51.2M12.8M
Net VEX-483.9K-525.7K-443.3K-525.7K-469.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.094.551.070.86
Total Volume40,17012,285134,95543,02012,840
Total OI1,695,999.2861,409,8651,912,3951,797,1951,562,775

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$2.17$1.8748.0%13.8%62.4%8.7%47.9%6.5%-1.1%444.0K-51.2M-525.7K1.0721.99N/AN/A20,79022,230788,9251,008,270
2011-12-02$2.22$1.8746.4%13.3%45.3%5.1%45.8%5.7%-0.8%583.7K-62.5M-519.6K0.9522.05N/AN/A11,68511,145789,0451,011,165
2011-12-05$2.29$2.0046.5%12.8%46.7%5.3%45.2%8.5%3.7%662.3K-81.8M-495.8K0.4021.32N/AN/A33,10513,095789,9451,009,275
2011-12-06$2.32$2.0045.4%12.8%44.8%2.7%47.2%8.1%5.6%606.2K-88.6M-481.7K0.2023.35N/AN/A32,9256,540795,0451,010,040
2011-12-07$2.28$2.0047.6%13.4%45.4%7.8%44.3%9.3%7.5%768.4K-76.0M-513.0K0.1123.39N/AN/A28,8003,105796,5601,011,435
2011-12-08$2.06$2.0056.6%15.8%57.7%29.0%55.1%9.2%2.1%257.4K-23.4M-521.9K2.0020.23N/AN/A44,95590,000798,8551,012,575
2011-12-09$2.07$2.0050.3%15.1%57.5%14.3%50.2%8.9%4.0%-22.0K-23.9M-513.9K0.6217.75N/AN/A14,7759,120807,5851,065,420
2011-12-12$2.03$2.0058.4%15.7%51.2%33.2%52.6%10.0%3.4%-130.2K-14.1M-506.7K2.8019.86N/AN/A6,76518,945808,8301,064,985
2011-12-13$1.96$2.0058.9%16.0%52.1%34.3%53.9%9.4%3.3%-383.1K3.0M-492.7K0.9419.62N/AN/A12,48011,760811,6651,071,825
2011-12-14$1.90$2.0058.3%15.9%51.8%32.9%54.5%7.7%3.7%-484.0K20.8M-484.4K1.0318.14N/AN/A15,04515,540815,5051,076,130
2011-12-15$1.91$2.0055.1%15.8%50.1%25.5%55.6%7.4%3.2%-963.5K19.3M-483.3K4.5517.35N/AN/A3,97518,090819,1651,078,065
2011-12-16$1.87$2.0056.7%16.3%49.3%29.3%55.0%9.6%1.8%3.3M35.9M-464.6K1.7124.55N/AN/A23,95540,890820,6051,091,790
2011-12-19$1.85$2.0053.6%15.4%48.5%22.0%50.8%8.8%4.4%-678.9K26.9M-443.3K0.4920.03N/AN/A31,17015,300541,170868,695
2011-12-20$1.86$2.0051.6%14.8%48.2%17.3%51.1%8.8%4.6%-711.2K26.2M-449.3K0.9712.89N/AN/A27,97527,270545,265877,245
2011-12-21$1.84$2.0051.1%14.6%47.9%16.0%50.7%8.7%4.4%-773.3K31.3M-449.8K0.5116.36N/AN/A69,40535,670563,145897,540
2011-12-22$1.85$2.0049.0%14.1%47.9%11.2%49.5%8.3%4.7%-718.3K26.7M-466.4K0.0917.40N/AN/A20,0251,725592,200912,090
2011-12-23$1.86$1.9347.0%13.5%47.9%6.5%44.3%9.6%6.3%-675.1K25.4M-461.5K1.5214.29N/AN/A4,8757,410606,165912,780
2011-12-27$1.90$1.9346.5%13.3%47.5%5.3%44.7%7.9%5.7%-602.9K15.1M-474.9K0.4317.75N/AN/A13,2305,745608,220912,900
2011-12-28$1.90$1.9348.4%13.9%47.0%9.7%47.8%8.1%4.1%-568.5K16.6M-470.9K0.1116.05N/AN/A17,1001,845611,460915,765
2011-12-29$1.92$1.9348.1%13.8%45.3%9.0%48.7%7.1%5.2%-519.6K12.5M-472.3K0.2215.44N/AN/A34,5607,710619,740916,125
2011-12-30$1.90$1.9348.0%13.7%45.3%8.7%46.5%8.1%5.7%-492.2K12.8M-469.2K0.8614.82N/AN/A6,9155,925641,490921,285