TSLA Options History — January 2012

In January 2012, TSLA traded between $1.52 and $1.97. ATM implied volatility averaged 56.7%, placing in the 29.1% IV rank vs the trailing year. The 30-day expected move averaged 16.4%. IV traded below realized volatility by 14.8% (HV 20d: 71.5%). Max pain ranged from $1.67 to $1.93. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.79.

Notable Days

  • 2012-01-13: Highest Volume — 260,505 contracts
  • 2012-01-13: Largest IV spike — 62.4% change
  • 2012-01-13: Highest IV Rank — 100.0%
  • 2012-01-13: Largest Expected Move — 24.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.83$1.52$1.97$1.87$1.94
Max Pain$1.72$1.67$1.93$1.93$1.73
ATM IV56.7%48.7%86.9%48.7%56.8%
Expected Move16.4%14.0%24.9%14.0%16.3%
HV 20d71.5%23.6%99.5%44.2%99.5%
HV 60d62.1%48.0%72.3%48.2%71.9%
IV Rank29.1%10.4%100.0%10.4%29.5%
IV Percentile49.7%13.1%100.0%13.1%58.7%
Term Structure-2.4%-11.5%5.2%4.7%-5.8%
VWIV59.2%48.6%85.6%49.8%62.3%
Skew 25d9.9%5.2%17.6%7.3%7.5%
Skew 10d20.4%12.2%34.2%15.2%19.3%
Call IV 25d53.3%44.4%76.1%44.4%55.4%
Put IV 25d63.2%51.7%93.7%51.7%62.9%
Bid-Ask Spread %24.4515.3943.3619.0921.09
Gamma HHI0.190.160.230.170.20
Net GEX-551.7K-871.9K-208.1K-544.8K-677.0K
Net DEX20.0M-2.8M53.4M18.7M1.9M
Net VEX-454.1K-518.5K-381.3K-446.3K-518.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.041.521.031.23
Total Volume65,359.513,845260,50522,92049,665
Total OI1,577,016.751,253,1301,899,7801,564,1551,416,075

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$1.87$1.9348.7%14.0%44.2%10.4%49.8%7.3%4.7%-544.8K18.7M-446.3K1.0319.09N/AN/A11,28011,640646,020918,135
2012-01-04$1.85$1.9348.9%14.0%41.4%11.0%48.6%7.9%4.6%-597.2K23.3M-438.8K0.2115.39N/AN/A11,4152,430651,075926,985
2012-01-05$1.81$1.9349.1%14.1%40.6%11.4%49.2%6.9%5.2%-624.3K29.9M-431.9K0.9736.46N/AN/A8,9858,700655,530927,390
2012-01-06$1.79$1.6750.3%15.3%40.5%14.3%56.9%10.7%-0.2%-668.7K32.7M-429.3K0.0423.31N/AN/A114,4355,100656,475933,495
2012-01-09$1.82$1.6755.9%16.5%23.9%27.3%60.9%11.7%-2.8%-455.5K25.7M-429.0K0.2227.30N/AN/A52,99511,685687,615936,435
2012-01-10$1.84$1.6752.9%15.7%24.6%20.4%56.5%11.4%-2.2%-291.2K16.6M-444.6K1.4318.77N/AN/A13,89019,920727,155944,370
2012-01-11$1.88$1.6749.6%15.6%25.9%12.6%56.2%10.1%-2.7%-250.1K9.0M-437.0K0.7428.42N/AN/A11,9558,805732,300951,435
2012-01-12$1.88$1.6753.5%15.3%23.6%21.7%55.6%10.2%-1.8%-208.1K7.4M-439.7K0.5327.39N/AN/A13,7407,215734,565952,740
2012-01-13$1.52$1.6786.9%24.9%78.9%100.0%85.6%17.6%-11.5%-522.9K53.4M-381.3K1.5239.90N/AN/A103,455157,050736,065952,830
2012-01-17$1.77$1.6767.1%19.2%98.4%53.7%69.1%11.3%-4.8%-398.6K27.7M-426.7K0.5943.36N/AN/A122,02572,195775,0201,037,640
2012-01-18$1.79$1.6763.3%18.2%98.3%44.8%67.1%13.6%-3.8%-350.5K28.6M-431.9K0.5422.52N/AN/A16,8459,030787,6951,055,655
2012-01-19$1.78$1.6763.2%18.1%98.2%44.4%63.4%12.5%-4.3%-230.2K28.8M-431.1K0.9220.47N/AN/A45,93042,240792,5551,061,175
2012-01-20$1.77$1.6760.0%17.2%98.2%37.1%63.9%10.7%-2.4%-323.2K35.2M-437.8K1.1319.59N/AN/A45,09050,940815,7901,083,990
2012-01-23$1.78$1.6758.6%16.8%98.2%33.7%59.2%10.6%-3.2%-871.9K23.7M-460.4K0.7819.02N/AN/A42,25532,760474,030779,100
2012-01-24$1.83$1.6757.5%16.5%98.5%31.1%60.0%10.5%-3.0%-869.6K19.7M-481.4K0.8422.73N/AN/A26,31022,035501,045801,855
2012-01-25$1.86$1.6753.5%15.3%98.8%21.8%55.0%8.3%-2.4%-862.0K13.8M-493.1K1.3221.04N/AN/A19,54525,755517,620818,310
2012-01-26$1.93$1.6752.4%15.0%99.2%19.2%54.9%8.8%-2.6%-802.1K5.6M-505.9K0.5621.09N/AN/A34,90519,605529,590835,515
2012-01-27$1.96$1.7351.9%14.9%99.3%18.0%51.7%5.2%-3.9%-763.9K468.6K-513.1K0.4122.89N/AN/A22,3809,120541,140842,925
2012-01-30$1.97$1.7353.0%15.2%99.3%20.5%57.4%5.8%-4.9%-722.3K-2.8M-504.7K0.8719.23N/AN/A12,76511,100554,460848,535
2012-01-31$1.94$1.7356.8%16.3%99.5%29.5%62.3%7.5%-5.8%-677.0K1.9M-518.5K1.2321.09N/AN/A22,23027,435560,715855,360