TSLA Options History — March 2012

In March 2012, TSLA traded between $2.20 and $2.53. ATM implied volatility averaged 41.9%, placing in the 6.1% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 6.6% (HV 20d: 35.3%). Max pain ranged from $2.00 to $2.47. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.58.

Notable Days

2012-03-26: Highest Volume — 163,920 contracts
2012-03-13: Largest IV drop — 11.2% change
2012-03-28: Highest IV Rank — 16.4%
2012-03-06: Largest Expected Move — 13.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2.35	$2.20	$2.53	$2.29	$2.48
Max Pain	$2.29	$2.00	$2.47	$2.13	$2.47
ATM IV	41.9%	37.9%	47.3%	41.6%	41.2%
Expected Move	12.3%	11.0%	13.4%	11.9%	11.8%
HV 20d	35.3%	29.8%	44.3%	34.8%	43.3%
HV 60d	63.3%	61.9%	65.7%	65.7%	64.7%
IV Rank	6.1%	0.0%	16.4%	1.0%	6.7%
IV Percentile	3.3%	0.0%	12.7%	0.8%	3.2%
Term Structure	3.9%	1.5%	6.4%	2.1%	6.4%
VWIV	42.7%	36.8%	48.8%	43.1%	40.9%
Skew 25d	6.1%	2.5%	9.1%	5.9%	2.6%
Skew 10d	11.3%	3.4%	17.9%	11.2%	3.4%
Call IV 25d	40.5%	36.4%	45.8%	38.9%	40.4%
Put IV 25d	46.7%	42.0%	51.9%	44.8%	43.0%
Bid-Ask Spread %	28.38	15.61	48.87	15.61	45.88
Gamma HHI	0.16	0.13	0.34	0.14	0.14
Net GEX	1.3M	377.2K	2.7M	1.0M	1.9M
Net DEX	-48.4M	-77.2M	-24.3M	-45.5M	-67.0M
Net VEX	-572.2K	-722.7K	-485.6K	-529.7K	-722.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.58	0.15	1.31	1.23	0.51
Total Volume	71,190.682	8,370	163,920	46,290	90,780
Total OI	1,562,837.045	1,100,850	1,812,045	1,664,175	1,572,810

Daily Data (22 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
2012-03-01	$2.29	$2.13	41.6%	11.9%	34.8%	1.0%	43.1%	5.9%	2.1%	1.0M	-45.5M	-529.7K	1.23	15.61	N/A	N/A	20,730	25,560	711,825	952,350
2012-03-02	$2.27	$2.13	41.9%	12.0%	34.9%	1.7%	40.9%	4.8%	1.5%	775.0K	-40.8M	-534.9K	0.35	16.96	N/A	N/A	21,525	7,590	720,270	970,035
2012-03-05	$2.25	$2.00	43.9%	12.9%	34.1%	6.0%	48.0%	8.3%	2.8%	684.8K	-36.1M	-538.9K	0.43	24.42	N/A	N/A	19,485	8,355	724,860	974,160
2012-03-06	$2.21	$2.00	47.3%	13.4%	34.5%	13.5%	45.2%	8.5%	2.3%	399.2K	-27.1M	-519.2K	0.96	26.77	N/A	N/A	21,315	20,490	721,290	976,245
2012-03-07	$2.21	$2.20	43.8%	13.3%	34.3%	5.8%	48.8%	8.4%	2.5%	377.2K	-24.3M	-535.0K	0.33	25.11	N/A	N/A	6,285	2,085	734,745	991,635
2012-03-08	$2.20	$2.20	42.7%	13.3%	34.2%	3.5%	46.8%	9.1%	2.4%	414.2K	-25.7M	-529.7K	0.82	27.64	N/A	N/A	14,430	11,850	736,785	991,710
2012-03-09	$2.32	$2.20	40.0%	12.8%	37.7%	0.0%	44.6%	7.8%	2.0%	1.6M	-49.7M	-531.8K	0.15	30.69	N/A	N/A	70,980	10,365	743,235	996,375
2012-03-12	$2.40	$2.20	42.7%	12.8%	34.5%	5.8%	44.1%	8.1%	1.9%	2.3M	-74.1M	-485.6K	0.33	28.07	N/A	N/A	93,075	30,960	764,580	999,930
2012-03-13	$2.41	$2.20	37.9%	12.0%	34.5%	0.0%	39.2%	5.8%	3.1%	2.7M	-70.6M	-545.1K	0.68	27.15	N/A	N/A	83,850	56,775	772,395	1,015,560
2012-03-14	$2.35	$2.40	41.4%	12.0%	31.5%	7.1%	40.7%	7.7%	2.8%	2.3M	-47.8M	-512.3K	0.36	26.16	N/A	N/A	47,460	17,130	761,400	1,043,085
2012-03-15	$2.33	$2.40	41.8%	12.0%	31.6%	7.9%	41.7%	7.2%	2.8%	2.1M	-41.8M	-526.2K	0.29	31.78	N/A	N/A	21,480	6,330	758,400	1,053,645
2012-03-16	$2.35	$2.33	40.5%	11.6%	31.2%	5.4%	36.8%	6.2%	4.0%	1.6M	-51.9M	-505.0K	0.64	48.87	N/A	N/A	43,110	27,450	753,855	1,057,545
2012-03-19	$2.33	$2.33	41.5%	11.9%	30.4%	7.4%	42.6%	6.4%	4.9%	780.2K	-31.6M	-520.2K	0.17	28.11	N/A	N/A	125,415	20,940	572,940	527,910
2012-03-20	$2.33	$2.33	38.6%	11.1%	29.9%	1.4%	40.2%	5.5%	5.8%	1.1M	-36.5M	-594.6K	1.18	36.62	N/A	N/A	22,950	27,135	671,460	546,180
2012-03-21	$2.34	$2.33	38.5%	11.0%	29.8%	1.1%	39.7%	5.5%	5.9%	949.0K	-41.8M	-587.0K	0.42	28.17	N/A	N/A	16,545	6,975	686,745	566,610
2012-03-22	$2.29	$2.33	40.1%	11.5%	30.7%	4.4%	40.3%	6.6%	6.2%	827.3K	-33.6M	-583.8K	1.31	23.46	N/A	N/A	8,445	11,040	693,120	572,655
2012-03-23	$2.27	$2.33	39.7%	11.4%	29.8%	3.7%	37.8%	5.8%	6.1%	779.4K	-28.1M	-595.5K	1.09	25.77	N/A	N/A	37,620	40,830	696,945	581,130
2012-03-26	$2.49	$2.40	43.8%	12.6%	44.2%	12.0%	42.8%	4.8%	5.4%	1.1M	-71.0M	-608.4K	0.18	21.00	N/A	N/A	139,350	24,570	729,345	612,525
2012-03-27	$2.53	$2.47	42.8%	12.3%	44.3%	9.9%	43.3%	2.7%	4.3%	1.7M	-77.2M	-671.3K	0.69	28.60	N/A	N/A	96,735	66,900	780,975	622,635
2012-03-28	$2.52	$2.47	46.0%	13.2%	44.0%	16.4%	47.0%	4.3%	4.3%	1.6M	-72.0M	-700.0K	0.26	20.42	N/A	N/A	71,415	18,330	808,965	676,605
2012-03-29	$2.49	$2.47	44.8%	12.9%	43.6%	14.1%	44.8%	2.5%	5.6%	1.7M	-69.7M	-711.7K	0.46	37.18	N/A	N/A	35,310	16,245	854,040	682,905
2012-03-30	$2.48	$2.47	41.2%	11.8%	43.3%	6.7%	40.9%	2.6%	6.4%	1.9M	-67.0M	-722.7K	0.51	45.88	N/A	N/A	60,060	30,720	879,345	693,465