ELAN Options History — January 2019

In January 2019, ELAN traded between $29.26 and $32.76. ATM implied volatility averaged 44.9%. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 17.9% (HV 20d: 27.0%). Max pain ranged from $25.00 to $35.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 11.42.

Notable Days

  • 2019-01-16: Highest Volume — 1,788 contracts
  • 2019-01-07: Largest IV drop — 46.0% change
  • 2019-01-02: Largest Expected Move — 15.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.32$29.26$32.76$31.62$29.26
Max Pain$29.52$25.00$35.00$35.00$30.00
ATM IV44.9%27.0%53.7%53.7%44.4%
Expected Move12.8%9.5%15.4%15.4%12.4%
HV 20d27.0%21.1%30.7%27.6%24.6%
Term Structure-3.4%-11.4%4.7%-11.4%1.5%
VWIV45.1%35.5%55.1%41.3%44.6%
Skew 25d14.2%-0.0%54.8%7.8%7.3%
Skew 10d23.4%-7.1%90.8%-7.1%14.8%
Call IV 25d37.2%25.7%50.1%41.3%41.6%
Put IV 25d51.4%39.3%89.8%49.1%48.9%
Bid-Ask Spread %103.4380.36116.47100.0692.90
Gamma HHI0.410.330.500.380.41
Net GEX-77.5K-121.2K-19.3K-25.2K-111.7K
Net DEX3.2M388.6K6.5M544.4K6.5M
Net VEX-17.8K-31.0K-3.8K-4.3K-25.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio11.421.0498.8827.674.67
Total Volume402.76231,78886505
Total OI4,178.7621,2196,7451,2196,473

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-01-02$31.62$35.0053.7%15.4%27.6%0.0%41.3%7.8%-11.4%-25.2K544.4K-4.3K27.67100.06N/AN/A383281938
2019-01-03$31.30$25.0051.7%13.1%26.9%0.0%0.0%11.7%-6.5%-25.7K561.6K-4.3K20.75107.38N/AN/A483283938
2019-01-04$31.92$25.0049.9%12.4%28.1%0.0%0.0%9.6%-3.0%-24.1K529.0K-4.2K22.00108.48N/AN/A488284938
2019-01-07$32.76$25.0027.0%9.5%29.1%0.0%35.5%5.6%2.4%-19.4K399.9K-3.8K4.40110.88N/AN/A522284938
2019-01-08$32.53$30.0031.9%10.1%28.9%0.0%55.1%11.9%-1.2%-20.2K401.3K-4.0K10.00110.36N/AN/A330288958
2019-01-09$32.59$30.0037.8%10.8%28.6%0.0%42.4%8.8%-2.6%-19.3K388.6K-3.8K2.50106.04N/AN/A410289982
2019-01-10$31.61$30.0045.2%13.0%30.4%0.0%46.4%11.4%-5.6%-28.6K554.2K-4.0K98.88108.65N/AN/A171,681291990
2019-01-11$31.93$30.0045.0%12.9%30.7%0.0%51.1%11.6%-2.0%-100.5K1.7M-11.0K1.84105.30N/AN/A2494572962,571
2019-01-14$31.55$30.0044.4%12.7%30.6%0.0%0.0%13.0%-3.9%-120.3K2.0M-13.5K1.96103.68N/AN/A4067954932,966
2019-01-15$31.67$30.0041.2%11.8%30.5%0.0%42.6%21.1%3.5%-117.9K2.4M-16.4K4.72112.25N/AN/A864067113,421
2019-01-16$31.71$30.0046.2%13.2%29.2%0.0%47.2%8.8%-3.0%-121.2K3.2M-20.8K1.04112.20N/AN/A8769121,1694,023
2019-01-17$31.62$30.0046.0%13.2%28.5%0.0%43.4%12.3%-3.4%-94.8K4.3M-28.3K1.69105.92N/AN/A2434101,8684,622
2019-01-18$31.70$30.0045.7%13.1%27.5%0.0%38.9%17.6%-5.9%-89.0K4.5M-31.0K1.91110.74N/AN/A1092081,9954,750
2019-01-22$31.21$30.0048.1%13.8%26.4%0.0%48.0%8.0%-5.9%-99.2K5.0M-29.3K2.2990.39N/AN/A7161,8694,198
2019-01-23$30.38$30.0044.5%12.8%26.9%0.0%44.5%24.2%-3.9%-100.8K5.3M-29.5K1.4983.37N/AN/A53791,8754,191
2019-01-24$30.41$30.0048.0%13.8%25.8%0.0%46.2%9.9%-4.4%-106.4K5.4M-26.6K2.6380.36N/AN/A681791,9154,258
2019-01-25$30.46$30.0046.3%13.3%22.1%0.0%37.4%20.0%-4.0%-97.5K5.6M-28.4K1.3288.14N/AN/A991311,9324,358
2019-01-28$30.49$30.0042.8%12.3%22.0%0.0%0.0%54.8%4.7%-101.4K5.7M-28.0K0.00116.47N/AN/A031,9544,415
2019-01-29$30.51$30.0050.3%14.4%21.6%0.0%50.3%22.9%-8.6%-105.9K5.7M-27.8K13.00107.58N/AN/A1131,9544,415
2019-01-30$30.39$30.0052.3%15.0%21.1%0.0%52.3%-0.0%-9.0%-99.1K5.5M-28.6K3.58110.89N/AN/A24861,9554,425
2019-01-31$29.26$30.0044.4%12.4%24.6%0.0%44.6%7.3%1.5%-111.7K6.5M-25.5K4.6792.90N/AN/A894161,9784,495