TSLA Options History — November 2012

In November 2012, TSLA traded between $1.93 and $2.25. ATM implied volatility averaged 43.5%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 0.3% (HV 20d: 43.2%). Max pain ranged from $2.00 to $2.33. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.89.

Notable Days

2012-11-27: Highest Volume — 198,600 contracts
2012-11-05: Largest IV drop — 18.5% change
2012-11-02: Highest IV Rank — 53.6%
2012-11-02: Largest Expected Move — 18.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2.12	$1.93	$2.25	$1.95	$2.25
Max Pain	$2.08	$2.00	$2.33	$2.33	$2.13
ATM IV	43.5%	33.6%	64.2%	60.1%	33.6%
Expected Move	12.5%	9.6%	18.4%	17.2%	9.6%
HV 20d	43.2%	33.4%	45.8%	33.7%	41.4%
HV 60d	48.0%	46.7%	49.7%	49.2%	47.0%
IV Rank	13.0%	0.0%	53.6%	45.3%	0.0%
IV Percentile	16.8%	0.0%	94.4%	84.5%	0.0%
Term Structure	1.7%	-7.4%	6.4%	-7.2%	2.8%
VWIV	43.5%	33.5%	69.2%	58.9%	35.0%
Skew 25d	6.8%	3.0%	12.3%	12.3%	3.0%
Skew 10d	12.0%	4.4%	27.7%	21.4%	5.4%
Call IV 25d	41.4%	33.3%	61.6%	55.8%	33.3%
Put IV 25d	48.2%	36.4%	70.7%	68.2%	36.4%
Bid-Ask Spread %	24.83	13.67	44.52	41.67	15.59
Gamma HHI	0.12	0.10	0.17	0.14	0.17
Net GEX	1.1M	-893.8K	3.4M	-893.8K	3.4M
Net DEX	-16.0M	-69.3M	43.4M	36.9M	-67.6M
Net VEX	-479.6K	-550.3K	-415.8K	-513.8K	-484.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.89	0.28	4.16	0.45	0.60
Total Volume	104,140.714	25,590	198,600	62,685	86,085
Total OI	2,671,700.714	2,350,260	2,911,995	2,626,560	2,668,395

Daily Data (21 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
2012-11-01	$1.95	$2.33	60.1%	17.2%	33.7%	45.3%	58.9%	12.3%	-7.2%	-893.8K	36.9M	-513.8K	0.45	41.67	N/A	N/A	43,170	19,515	1,235,535	1,391,025
2012-11-02	$1.93	$2.33	64.2%	18.4%	33.4%	53.6%	69.2%	9.0%	-7.4%	-810.0K	43.4M	-522.9K	4.16	44.52	N/A	N/A	29,445	122,595	1,248,435	1,394,220
2012-11-05	$2.10	$2.00	52.3%	13.9%	45.3%	29.4%	49.3%	6.0%	0.8%	391.7K	-8.7M	-479.0K	0.99	35.72	N/A	N/A	97,740	96,945	1,265,355	1,439,100
2012-11-06	$2.08	$2.00	47.7%	13.9%	45.0%	19.9%	49.2%	7.0%	-2.6%	273.1K	3.6M	-522.7K	0.28	32.18	N/A	N/A	100,620	28,575	1,300,200	1,470,465
2012-11-07	$2.10	$2.00	44.1%	13.3%	45.0%	12.6%	49.3%	8.9%	0.5%	706.3K	-5.9M	-510.2K	3.26	32.14	N/A	N/A	42,330	138,000	1,301,295	1,470,000
2012-11-08	$2.09	$2.00	44.4%	13.7%	43.4%	13.2%	46.9%	9.4%	0.8%	932.7K	5.5M	-550.3K	0.75	32.13	N/A	N/A	27,000	20,325	1,309,410	1,540,845
2012-11-09	$2.02	$2.00	49.2%	13.4%	45.3%	23.1%	48.9%	7.0%	1.1%	428.7K	22.8M	-537.4K	1.64	24.89	N/A	N/A	55,275	90,615	1,316,445	1,522,515
2012-11-12	$2.07	$2.00	49.6%	13.1%	45.8%	23.9%	45.8%	7.8%	2.3%	593.7K	-636.6K	-477.6K	0.48	31.23	N/A	N/A	24,480	11,865	1,333,695	1,576,860
2012-11-13	$2.11	$2.00	41.6%	12.6%	44.7%	7.5%	43.5%	6.9%	2.9%	1.2M	-14.4M	-475.8K	0.33	25.09	N/A	N/A	60,255	20,100	1,338,915	1,573,080
2012-11-14	$2.09	$2.00	43.7%	13.1%	44.5%	11.8%	43.2%	8.9%	2.9%	1.3M	-1.2M	-483.0K	0.91	32.31	N/A	N/A	46,485	42,195	1,327,605	1,580,280
2012-11-15	$2.05	$2.07	44.0%	12.6%	44.7%	12.4%	45.2%	9.7%	3.4%	1.0M	12.4M	-463.6K	0.48	16.10	N/A	N/A	35,175	16,785	1,297,155	1,546,605
2012-11-16	$2.12	$2.07	43.1%	12.4%	45.2%	10.7%	41.6%	7.0%	1.6%	1.4M	-12.4M	-447.8K	0.57	20.54	N/A	N/A	55,890	31,620	1,305,510	1,558,065
2012-11-19	$2.19	$2.07	37.1%	10.6%	44.5%	0.0%	37.7%	6.1%	3.9%	1.5M	-37.2M	-462.2K	0.39	19.21	N/A	N/A	80,895	31,740	1,068,240	1,282,020
2012-11-20	$2.20	$2.07	38.1%	10.9%	44.0%	2.0%	34.7%	6.9%	4.2%	1.2M	-47.1M	-418.0K	0.41	16.85	N/A	N/A	91,935	37,485	1,093,980	1,293,960
2012-11-21	$2.16	$2.07	38.1%	10.9%	44.9%	2.0%	37.1%	3.7%	2.6%	1.4M	-36.9M	-426.9K	0.45	17.42	N/A	N/A	56,685	25,230	1,101,975	1,293,960
2012-11-23	$2.14	$2.07	38.2%	10.9%	45.1%	2.1%	37.8%	4.2%	2.5%	987.5K	-28.6M	-451.1K	0.69	21.05	N/A	N/A	15,120	10,470	1,131,060	1,310,955
2012-11-26	$2.15	$2.07	38.6%	11.1%	42.5%	3.0%	37.4%	5.5%	6.4%	1.2M	-33.8M	-415.8K	0.37	14.52	N/A	N/A	52,560	19,245	1,135,050	1,316,550
2012-11-27	$2.14	$2.07	36.4%	10.4%	42.7%	0.0%	33.5%	4.3%	5.1%	1.1M	-29.0M	-463.9K	0.49	16.85	N/A	N/A	133,560	65,040	1,162,215	1,327,395
2012-11-28	$2.22	$2.13	36.1%	10.3%	43.3%	0.0%	35.4%	5.6%	4.2%	2.1M	-67.1M	-469.5K	0.40	17.74	N/A	N/A	124,275	50,115	1,229,970	1,374,315
2012-11-29	$2.25	$2.13	33.9%	9.7%	42.8%	0.0%	33.8%	3.0%	4.6%	2.9M	-69.3M	-494.7K	0.53	13.67	N/A	N/A	32,340	17,175	1,265,340	1,407,720
2012-11-30	$2.25	$2.13	33.6%	9.6%	41.4%	0.0%	35.0%	3.0%	2.8%	3.4M	-67.6M	-484.9K	0.60	15.59	N/A	N/A	53,760	32,325	1,251,750	1,416,645