TSLA Options History — February 2012

In February 2012, TSLA traded between $1.97 and $2.33. ATM implied volatility averaged 51.2%, placing in the 19.1% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded below realized volatility by 10.0% (HV 20d: 61.1%). Max pain ranged from $1.73 to $2.13. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.57.

Notable Days

  • 2012-02-15: Highest Volume — 358,515 contracts
  • 2012-02-16: Largest IV drop — 25.7% change
  • 2012-02-08: Highest IV Rank — 48.5%
  • 2012-02-15: Largest Expected Move — 16.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.18$1.97$2.33$1.97$2.23
Max Pain$2.01$1.73$2.13$1.73$2.13
ATM IV51.2%41.1%64.9%54.3%45.1%
Expected Move14.0%11.8%16.9%15.6%12.9%
HV 20d61.1%31.8%101.2%99.4%34.0%
HV 60d66.5%65.5%67.5%67.4%65.6%
IV Rank19.1%0.0%48.5%23.5%8.7%
IV Percentile33.5%0.0%90.1%45.6%3.6%
Term Structure-1.5%-8.0%5.0%-4.4%0.1%
VWIV49.0%42.2%58.7%58.7%45.6%
Skew 25d8.1%4.8%11.1%7.7%6.1%
Skew 10d16.5%11.5%23.7%15.2%14.5%
Call IV 25d45.8%39.6%54.7%52.8%41.7%
Put IV 25d53.8%47.0%64.1%60.5%47.8%
Bid-Ask Spread %22.9416.7637.6920.5720.51
Gamma HHI0.170.120.590.200.14
Net GEX624.5K-580.9K6.2M-580.9K550.1K
Net DEX-40.0M-95.0M-4.1M-4.1M-31.8M
Net VEX-541.8K-581.0K-507.0K-520.9K-534.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.161.570.730.60
Total Volume86,236.513,395358,51513,39519,440
Total OI1,627,168.51,430,5651,966,4851,430,5651,654,380

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-02-01$1.97$1.7354.3%15.6%99.4%23.5%58.7%7.7%-4.4%-580.9K-4.1M-520.9K0.7320.57N/AN/A7,7255,670571,020859,545
2012-02-02$2.02$1.7354.0%15.5%99.5%22.8%52.7%4.8%-4.9%-525.4K-12.7M-507.0K0.3218.87N/AN/A11,5353,645574,095861,780
2012-02-03$2.08$2.0053.6%13.4%99.3%21.9%48.0%8.1%0.4%-404.2K-22.5M-511.6K0.9719.49N/AN/A39,42038,325575,745861,465
2012-02-06$2.12$2.0063.0%14.3%99.3%43.9%50.4%8.5%-2.7%-334.7K-31.8M-516.3K0.1622.42N/AN/A68,92511,190596,520881,805
2012-02-07$2.11$2.0064.8%14.5%99.4%48.1%53.0%8.9%-3.1%-15.6K-30.8M-527.7K0.2823.20N/AN/A31,1258,760643,890886,695
2012-02-08$2.13$2.0064.9%14.6%99.4%48.5%50.5%9.1%-2.4%106.2K-36.1M-530.5K1.3919.58N/AN/A26,86537,290650,040890,595
2012-02-09$2.17$2.0049.8%14.3%99.4%13.0%42.2%8.1%-1.5%157.4K-46.0M-550.0K0.6437.69N/AN/A90,37558,155667,560910,140
2012-02-10$2.07$2.0056.8%16.3%101.2%29.4%56.2%9.9%-4.7%-33.2K-20.0M-581.0K0.3125.25N/AN/A75,58523,370710,085951,210
2012-02-13$2.10$2.0056.6%16.2%59.2%29.0%57.7%10.2%-3.4%213.4K-27.9M-564.4K0.3521.54N/AN/A34,68012,135746,355960,210
2012-02-14$2.21$2.0054.3%15.6%32.6%23.6%53.4%9.5%-3.5%536.6K-53.3M-572.9K0.2527.44N/AN/A131,95532,625745,890964,635
2012-02-15$2.24$2.0058.8%16.9%32.6%34.2%58.7%9.4%-8.0%742.3K-62.2M-570.7K0.5635.23N/AN/A230,100128,415792,495984,555
2012-02-16$2.28$2.0043.7%12.5%32.3%0.0%43.9%11.1%4.9%2.2M-79.1M-561.4K0.2724.49N/AN/A178,99548,285902,4751,046,595
2012-02-17$2.33$2.0741.1%11.8%31.8%0.0%44.0%7.1%5.0%6.2M-95.0M-555.5K0.4619.22N/AN/A66,09030,075903,7801,062,705
2012-02-21$2.30$2.0744.5%12.7%33.1%7.3%44.1%9.0%-0.3%496.2K-45.6M-541.0K0.4722.54N/AN/A26,14512,210660,225899,940
2012-02-22$2.28$2.0744.4%12.7%33.6%7.2%44.8%7.2%-0.2%668.0K-44.3M-535.5K1.5719.59N/AN/A40,81563,945672,795906,705
2012-02-23$2.30$2.0741.6%11.9%33.5%1.0%42.9%6.9%0.0%742.4K-47.6M-541.0K0.5525.03N/AN/A24,91513,740690,585934,470
2012-02-24$2.25$2.1344.2%12.7%34.3%6.6%43.8%6.9%-0.5%575.6K-36.7M-548.1K0.3519.78N/AN/A26,5809,285695,025938,040
2012-02-27$2.24$2.1345.1%12.9%34.4%8.8%45.3%6.8%-1.6%584.5K-34.3M-537.0K0.8316.76N/AN/A14,47511,970695,925943,680
2012-02-28$2.25$2.1343.3%12.4%34.4%4.8%44.5%5.9%0.3%609.6K-37.5M-528.8K0.3119.64N/AN/A22,8307,065700,950948,765
2012-02-29$2.23$2.1345.1%12.9%34.0%8.7%45.6%6.1%0.1%550.1K-31.8M-534.4K0.6020.51N/AN/A12,1507,290704,505949,875