ELAN Options History — December 2018

In December 2018, ELAN traded between $29.51 and $33.75. ATM implied volatility averaged 36.0%. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 9.4% (HV 20d: 26.6%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 37.36.

Notable Days

  • 2018-12-17: Highest Volume — 1,056 contracts
  • 2018-12-27: Largest IV spike — 36.1% change
  • 2018-12-27: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.92$29.51$33.75$33.75$31.49
Max Pain$34.25$30.00$35.00$30.00$35.00
ATM IV36.0%23.6%51.7%33.1%50.0%
Expected Move10.3%7.5%14.8%9.5%14.3%
HV 20d26.6%24.1%28.9%24.3%28.1%
Term Structure0.8%-5.1%8.7%-3.7%-3.8%
VWIV40.8%30.7%67.0%32.4%67.0%
Skew 25d3.6%-15.7%20.4%8.8%13.1%
Skew 10d9.1%-13.2%26.7%13.0%17.5%
Call IV 25d36.0%27.0%53.8%32.2%38.2%
Put IV 25d39.6%23.2%51.2%41.0%51.2%
Bid-Ask Spread %99.0176.83114.03111.3876.83
Gamma HHI0.460.330.940.330.38
Net GEX-55.0K-596.8K7.0K7.0K-24.7K
Net DEX363.3K-48.8K838.6K-48.8K578.9K
Net VEX-3.7K-5.1K-2.9K-3.0K-4.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio37.360.10351.0010.001.88
Total Volume302.6111,0561183
Total OI1,034.256981,7396981,138

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-12-03$33.75$30.0033.1%9.5%0.0%0.0%0.0%8.8%-3.7%7.0K-48.8K-3.0K10.00111.38N/AN/A110386312
2018-12-04$33.04$30.0029.7%8.5%0.0%0.0%0.0%4.7%-3.9%3.9K33.6K-3.0K1.43110.73N/AN/A710387322
2018-12-05$33.10$30.0030.2%8.6%0.0%0.0%0.0%5.5%-4.6%3.8K44.9K-3.0K1.43109.17N/AN/A710387322
2018-12-06$32.54$35.0032.7%9.5%0.0%0.0%32.4%-1.7%3.9%59131.6K-3.0K5.50102.41N/AN/A211390332
2018-12-07$32.93$35.0031.8%7.5%0.0%0.0%31.1%0.6%4.5%75278.4K-3.0K3.50103.81N/AN/A621391343
2018-12-10$33.26$35.0034.6%9.0%0.0%0.0%0.0%2.9%5.0%4.5K36.0K-3.1K0.1089.73N/AN/A101406353
2018-12-11$32.99$35.0023.6%7.6%0.0%0.0%0.0%-5.7%4.8%3.0K54.2K-3.0K0.1081.48N/AN/A101406354
2018-12-12$33.08$35.0026.5%7.6%0.0%0.0%0.0%-12.3%4.9%3.6K54.7K-3.0K1.1090.85N/AN/A1011406354
2018-12-13$32.66$35.0027.0%7.7%0.0%0.0%0.0%-3.1%7.5%638146.5K-2.9K0.7098.10N/AN/A2014406344
2018-12-14$32.31$35.0031.0%8.9%0.0%0.0%32.9%-15.7%8.7%-1.6K165.7K-2.9K1.0596.61N/AN/A2122396347
2018-12-17$31.53$35.0040.4%11.6%0.0%0.0%30.7%4.5%-1.8%-1.7K213.0K-2.9K351.0088.79N/AN/A31,053395345
2018-12-18$30.99$35.0038.9%11.2%0.0%0.0%39.6%4.3%-1.9%-151.0K831.0K-4.9K111.44102.47N/AN/A91,0033951,344
2018-12-19$31.64$35.0036.8%10.6%0.0%0.0%36.1%4.3%1.4%-87.7K679.8K-4.8K92.0094.02N/AN/A111,0123971,339
2018-12-20$30.82$35.0040.5%11.6%24.3%0.0%40.5%5.4%-5.1%-146.3K812.1K-5.1K53.26106.96N/AN/A191,0123951,339
2018-12-21$30.11$35.0036.8%10.6%24.4%0.0%38.3%5.5%1.2%-596.8K664.3K-4.6K48.19102.27N/AN/A211,0123961,339
2018-12-24$29.51$35.0037.5%10.8%24.1%0.0%40.6%6.8%2.7%-34.2K838.6K-4.5K23.86104.82N/AN/A22525275844
2018-12-26$30.62$35.0038.0%10.9%28.9%0.0%36.8%20.4%4.1%-31.4K696.0K-4.5K1.71114.03N/AN/A712277854
2018-12-27$30.80$35.0051.7%14.8%28.4%0.0%53.0%10.9%-3.5%-26.5K679.2K-4.6K1.50103.93N/AN/A812280854
2018-12-28$31.16$35.0050.1%14.4%28.2%0.0%51.8%12.4%-4.7%-24.8K576.7K-4.5K1.8891.75N/AN/A815281854
2018-12-31$31.49$35.0050.0%14.3%28.1%0.0%67.0%13.1%-3.8%-24.7K578.9K-4.5K0.0076.83N/AN/A083281857