ELAN Options History — February 2019

In February 2019, ELAN traded between $28.93 and $30.23. ATM implied volatility averaged 41.7%. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 15.5% (HV 20d: 26.2%). Max pain ranged from $30.00 to $40.00. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 1.32.

Notable Days

  • 2019-02-26: Highest Volume — 106,735 contracts
  • 2019-02-19: Largest IV spike — 44.0% change
  • 2019-02-19: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.41$28.93$30.23$29.44$30.22
Max Pain$37.89$30.00$40.00$35.00$40.00
ATM IV41.7%32.0%54.9%51.3%39.5%
Expected Move11.5%9.2%15.3%12.1%11.3%
HV 20d26.2%23.2%28.0%24.7%27.5%
HV 60d26.3%25.1%27.4%26.0%25.4%
Term Structure-1.8%-13.7%11.9%-4.5%1.1%
VWIV42.7%34.5%55.7%41.2%37.6%
Skew 25d7.3%-5.2%47.5%8.0%3.5%
Skew 10d7.7%-31.7%59.7%14.5%0.0%
Call IV 25d39.9%23.3%63.3%40.4%39.6%
Put IV 25d47.2%36.1%81.7%48.4%43.2%
Bid-Ask Spread %92.2168.30115.1397.6693.44
Gamma HHI0.530.300.850.430.30
Net GEX-884.4K-1.9M41.4K-151.4K-1.6M
Net DEX283.3M6.5M815.1M7.2M815.1M
Net VEX-60.2K-137.1K-24.8K-27.6K-137.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.320.135.615.610.80
Total Volume46,996.94732106,735502102,482
Total OI202,623.8426,951587,2986,951587,298

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-02-01$29.44$35.0051.3%12.1%24.7%0.0%41.2%8.0%-4.5%-151.4K7.2M-27.6K5.6197.66N/AN/A764262,0604,891
2019-02-04$29.46$35.0050.5%11.6%23.3%0.0%40.1%-3.8%-3.1%-152.8K6.8M-28.5K0.5289.30N/AN/A21112,0704,901
2019-02-05$30.23$35.0054.9%13.1%23.2%0.0%44.5%8.6%-8.1%-164.5K6.8M-24.8K0.1394.89N/AN/A368472,0874,912
2019-02-06$28.93$35.0036.2%10.4%27.2%0.0%34.8%40.4%2.5%-127.5K6.5M-33.8K0.73113.10N/AN/A1,0487602,4055,056
2019-02-07$29.33$30.0034.5%9.9%28.0%0.0%34.5%8.1%2.3%-55.6K7.5M-25.8K3.2592.88N/AN/A2247283,3355,783
2019-02-08$29.77$30.0046.7%13.4%27.2%0.0%51.8%47.5%-10.6%-68.3K6.7M-33.3K1.02115.13N/AN/A16,24416,5293,5046,160
2019-02-11$29.56$40.0041.4%11.9%26.8%0.0%40.4%2.8%-13.7%-49.7K48.2M-36.1K1.0096.76N/AN/A12,89512,91018,15120,512
2019-02-12$29.22$40.0043.9%12.6%26.7%0.0%49.7%1.5%-11.9%41.4K81.9M-35.6K1.0388.24N/AN/A35,86236,79929,90132,032
2019-02-13$29.30$40.0040.3%11.6%26.7%0.0%42.7%2.9%-2.1%-28.2K194.1M-41.7K1.3568.30N/AN/A16,00621,57867,73270,996
2019-02-14$29.26$40.0038.4%11.0%26.7%0.0%41.6%6.1%0.9%-1.0M203.6M-55.8K1.1773.11N/AN/A25,13429,34766,54476,273
2019-02-15$29.60$40.0037.1%10.6%27.2%0.0%55.7%6.8%2.7%-1.5M285.5M-69.4K0.9971.34N/AN/A20,82220,61689,476105,413
2019-02-19$29.31$40.0053.4%15.3%27.2%0.0%48.3%8.6%-7.1%-1.3M317.8M-63.8K1.1590.20N/AN/A22,02925,346102,738116,513
2019-02-20$29.27$40.0032.0%9.2%26.9%0.0%47.0%-1.0%11.9%-1.6M389.1M-77.8K1.08103.72N/AN/A38,38141,369126,193144,382
2019-02-21$28.98$40.0035.4%10.2%25.5%0.0%42.2%-4.9%6.7%-1.9M467.8M-68.6K1.0194.51N/AN/A38,92939,251151,744173,430
2019-02-22$29.05$40.0041.2%11.8%25.6%0.0%43.3%-5.2%-2.7%-1.8M543.0M-85.5K0.90100.47N/AN/A36,36132,867181,658203,069
2019-02-25$29.05$40.0041.9%12.0%25.5%0.0%39.1%-4.3%-2.8%-1.7M601.8M-92.8K0.9988.19N/AN/A27,34127,168205,661227,194
2019-02-26$29.12$40.0038.1%10.9%25.6%0.0%39.4%0.4%-2.2%-1.8M674.5M-95.9K1.0170.28N/AN/A53,11753,618233,571252,047
2019-02-27$29.65$40.0036.0%10.3%26.6%0.0%36.9%13.5%6.9%-1.8M718.6M-110.6K1.33110.57N/AN/A36,97549,257253,222266,939
2019-02-28$30.22$40.0039.5%11.3%27.5%0.0%37.6%3.5%1.1%-1.6M815.1M-137.1K0.8093.44N/AN/A56,99545,487278,461308,837