TSLA Options History — September 2012

In September 2012, TSLA traded between $1.82 and $2.17. ATM implied volatility averaged 52.9%, placing in the 30.6% IV rank vs the trailing year. The 30-day expected move averaged 15.3%. IV traded above realized volatility by 2.7% (HV 20d: 50.2%). Max pain ranged from $1.87 to $2.20. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.14.

Notable Days

  • 2012-09-25: Highest Volume — 471,810 contracts
  • 2012-09-14: Largest IV spike — 10.8% change
  • 2012-09-14: Highest IV Rank — 39.7%
  • 2012-09-14: Largest Expected Move — 16.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.95$1.82$2.17$1.88$1.95
Max Pain$2.11$1.87$2.20$2.20$2.13
ATM IV52.9%50.0%57.3%55.9%53.8%
Expected Move15.3%14.6%16.4%16.0%15.4%
HV 20d50.2%40.9%62.5%49.2%62.5%
HV 60d54.5%52.8%57.8%53.1%57.8%
IV Rank30.6%24.7%39.7%36.8%32.5%
IV Percentile44.1%26.6%70.6%59.9%54.8%
Term Structure2.5%0.2%6.4%1.2%6.4%
VWIV52.4%38.7%61.5%56.9%56.6%
Skew 25d6.6%4.1%11.7%4.5%8.9%
Skew 10d12.7%6.2%23.9%11.7%18.3%
Call IV 25d50.8%48.4%54.6%54.6%51.0%
Put IV 25d57.4%55.0%64.3%59.1%60.0%
Bid-Ask Spread %31.4713.7551.3716.0819.74
Gamma HHI0.110.090.180.090.10
Net GEX569.8K-611.2K2.4M-60.2K-9.6K
Net DEX24.6M-41.3M54.9M41.7M28.9M
Net VEX-525.0K-582.1K-451.5K-525.3K-548.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.182.750.411.70
Total Volume123,239.21127,255471,81027,255163,455
Total OI2,527,438.4211,962,7052,859,2402,429,8802,406,300

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-09-04$1.88$2.2055.9%16.0%49.2%36.8%56.9%4.5%1.2%-60.2K41.7M-525.3K0.4116.08N/AN/A19,3357,9201,326,5401,103,340
2012-09-05$1.86$2.2055.7%16.0%42.2%36.3%55.7%5.3%1.7%-60.7K45.3M-522.6K0.6516.66N/AN/A16,72510,9501,334,4601,107,075
2012-09-06$1.90$2.2051.5%14.8%40.9%27.7%51.6%4.8%2.9%121.3K38.1M-529.6K0.5413.75N/AN/A55,30529,7301,335,6751,111,620
2012-09-07$1.96$1.8750.0%15.2%42.0%24.7%53.6%6.6%2.6%496.2K24.7M-548.0K2.7549.26N/AN/A11,80532,4601,347,8701,136,715
2012-09-10$1.82$1.8754.2%15.9%48.1%33.3%55.6%4.9%0.2%-453.1K54.9M-494.2K2.0733.31N/AN/A37,92078,4351,352,4151,147,470
2012-09-11$1.85$1.8752.9%15.7%45.8%30.7%47.5%5.7%1.3%-501.5K54.1M-522.0K0.7031.40N/AN/A61,20042,6151,359,9451,207,410
2012-09-12$1.89$2.1354.8%16.0%42.1%34.4%53.5%4.1%0.5%-139.1K49.4M-537.4K0.3834.16N/AN/A40,23015,1951,397,4901,237,695
2012-09-13$1.97$2.1351.7%14.8%44.8%28.3%46.6%6.7%2.9%491.3K28.0M-527.6K0.9536.37N/AN/A50,61048,2251,435,3051,247,040
2012-09-14$2.03$2.1357.3%16.4%44.9%39.7%61.5%11.7%0.8%994.5K12.4M-561.4K1.2239.62N/AN/A89,115108,8101,457,6851,282,020
2012-09-17$2.17$2.1352.6%15.1%50.8%30.1%53.7%6.6%1.4%2.1M-41.3M-582.1K0.1844.30N/AN/A173,11531,9501,482,9301,260,975
2012-09-18$2.09$2.1352.9%15.2%52.4%30.7%54.4%10.0%3.8%2.2M-16.9M-535.7K0.3741.93N/AN/A68,20524,9451,541,4301,271,190
2012-09-19$2.07$2.1351.3%14.7%52.2%27.5%52.8%6.0%2.4%2.2M-6.4M-541.8K2.2551.37N/AN/A16,65037,5301,525,5301,285,005
2012-09-20$2.06$2.1351.3%14.7%51.4%27.4%38.7%7.2%2.6%2.4M-2.2M-515.9K0.6634.07N/AN/A133,21588,3201,526,2051,291,485
2012-09-21$2.00$2.1351.7%14.8%51.7%28.2%50.6%6.3%4.3%1.4M28.4M-482.0K1.2434.37N/AN/A61,74076,6951,557,1351,302,105
2012-09-24$2.04$2.1351.0%14.6%50.0%26.7%51.2%7.4%1.5%995.9K-468.2K-552.1K1.0043.73N/AN/A35,65535,8051,069,470893,235
2012-09-25$1.84$2.1353.2%15.2%60.8%31.2%52.1%6.4%2.6%-234.6K36.0M-451.5K1.5815.42N/AN/A183,015288,7951,091,025919,725
2012-09-26$1.84$2.2050.9%14.6%60.6%26.5%51.4%5.7%4.3%-611.2K52.7M-493.0K2.1017.87N/AN/A20,07042,0901,198,2301,121,220
2012-09-27$1.90$2.2052.2%15.0%61.8%29.3%51.4%6.6%4.1%-476.4K40.4M-503.8K0.8224.58N/AN/A56,83546,8751,206,4651,143,900
2012-09-28$1.95$2.1353.8%15.4%62.5%32.5%56.6%8.9%6.4%-9.6K28.9M-548.9K1.7019.74N/AN/A60,525102,9301,243,0801,163,220