TSLA Options History — December 2012

In December 2012, TSLA traded between $2.21 and $2.35. ATM implied volatility averaged 39.1%, placing in the 10.3% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 9.9% (HV 20d: 29.2%). Max pain ranged from $2.00 to $2.20. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.70.

Notable Days

  • 2012-12-03: Highest Volume — 289,740 contracts
  • 2012-12-13: Largest IV spike — 21.5% change
  • 2012-12-24: Highest IV Rank — 16.5%
  • 2012-12-24: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.28$2.21$2.35$2.31$2.26
Max Pain$2.07$2.00$2.20$2.13$2.07
ATM IV39.1%33.9%42.4%36.9%40.8%
Expected Move11.5%10.6%12.2%10.6%11.7%
HV 20d29.2%26.2%41.1%41.1%27.2%
HV 60d41.0%34.4%47.3%47.2%34.5%
IV Rank10.3%0.5%16.5%6.1%13.6%
IV Percentile8.2%0.4%16.7%1.6%10.7%
Term Structure7.2%2.0%10.3%2.1%8.3%
VWIV40.7%36.6%43.8%37.0%42.1%
Skew 25d5.1%3.8%6.3%5.6%4.4%
Skew 10d8.9%6.0%11.5%11.1%7.0%
Call IV 25d38.7%35.6%41.2%35.8%40.1%
Put IV 25d43.8%39.6%46.2%41.3%44.5%
Bid-Ask Spread %26.2312.3743.9713.0115.63
Gamma HHI0.180.130.250.170.21
Net GEX3.4M2.2M5.2M3.4M2.8M
Net DEX-70.6M-102.1M-46.5M-93.8M-60.0M
Net VEX-605.7K-667.8K-458.0K-458.0K-614.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.262.471.270.26
Total Volume82,035.7510,980289,740289,74033,420
Total OI2,895,7652,521,0203,235,6502,682,8852,559,675

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-12-03$2.31$2.1336.9%10.6%41.1%6.1%37.0%5.6%2.1%3.4M-93.8M-458.0K1.2713.01N/AN/A127,830161,9101,255,9951,426,890
2012-12-04$2.26$2.2037.4%10.7%31.0%7.0%36.6%5.8%4.0%2.7M-64.5M-560.9K0.5214.99N/AN/A107,91056,1001,329,4351,518,795
2012-12-05$2.25$2.2038.0%10.9%30.7%8.1%37.0%5.8%2.0%2.4M-61.4M-565.7K0.8713.73N/AN/A35,22030,6001,347,7801,533,450
2012-12-06$2.26$2.2036.9%10.6%30.5%6.1%37.0%4.0%2.3%2.9M-66.0M-569.5K0.4525.51N/AN/A19,2008,5651,373,3851,539,240
2012-12-07$2.28$2.0035.2%11.5%30.3%2.9%40.3%5.5%8.0%3.2M-70.3M-588.3K0.5725.19N/AN/A14,4458,2501,377,9901,541,265
2012-12-10$2.30$2.0033.9%11.4%27.1%0.5%39.5%5.4%9.3%3.9M-84.1M-543.2K1.2440.16N/AN/A13,65016,8751,376,4751,543,845
2012-12-11$2.35$2.0034.5%11.6%26.8%1.6%39.8%6.1%10.3%3.9M-102.1M-544.2K0.5342.09N/AN/A99,85552,7101,376,7451,554,885
2012-12-12$2.35$2.0034.7%11.2%26.6%2.0%38.9%4.7%9.2%4.1M-95.4M-628.5K0.3318.95N/AN/A82,15526,7601,411,9951,616,415
2012-12-13$2.24$2.0042.1%12.1%32.4%16.0%43.1%5.4%7.9%3.0M-50.5M-629.7K0.5223.06N/AN/A48,43525,0501,427,1601,634,730
2012-12-14$2.25$2.0041.1%11.8%31.4%14.1%43.8%5.6%8.2%3.1M-60.4M-594.3K2.4726.33N/AN/A41,730103,0351,445,2651,643,835
2012-12-17$2.29$2.0041.5%11.9%30.1%14.8%43.3%6.3%8.5%3.8M-73.9M-632.9K0.4720.89N/AN/A19,5609,1501,470,9901,666,965
2012-12-18$2.31$2.0738.4%11.0%28.0%8.9%38.5%5.0%9.2%4.3M-80.5M-635.1K0.3124.69N/AN/A100,27530,8101,474,4701,668,735
2012-12-19$2.31$2.0740.4%11.6%28.0%12.6%41.4%3.8%7.5%4.4M-82.0M-667.8K0.3620.77N/AN/A151,17054,3751,483,2751,684,815
2012-12-20$2.30$2.0741.4%11.9%27.3%14.6%40.8%5.6%8.1%4.5M-76.0M-661.3K0.3143.58N/AN/A17,9105,6251,535,7451,690,785
2012-12-21$2.27$2.0742.0%12.0%27.4%15.7%42.5%4.6%7.4%5.2M-63.1M-666.9K0.2637.19N/AN/A33,5408,8501,542,2701,693,380
2012-12-24$2.29$2.0742.4%12.2%27.5%16.5%43.6%4.2%6.8%2.8M-67.5M-658.2K1.0012.37N/AN/A16,35016,3951,296,5551,224,465
2012-12-26$2.24$2.0741.9%12.0%28.7%15.5%43.0%4.5%7.1%2.3M-57.5M-638.3K1.4832.81N/AN/A11,26516,6951,302,5401,237,065
2012-12-27$2.25$2.0740.9%11.7%26.2%13.7%42.5%4.3%8.6%2.4M-56.1M-632.0K0.2629.65N/AN/A19,1404,9201,305,6901,248,225
2012-12-28$2.21$2.0741.8%12.0%26.3%15.4%43.2%5.7%8.9%2.2M-46.5M-625.5K0.6143.97N/AN/A6,8254,1551,303,4701,250,610
2012-12-31$2.26$2.0740.8%11.7%27.2%13.6%42.1%4.4%8.3%2.8M-60.0M-614.6K0.2615.63N/AN/A26,5806,8401,307,6701,252,005