ELAN Options History — March 2019

In March 2019, ELAN traded between $28.99 and $33.10. ATM implied volatility averaged 35.1%. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 0.7% (HV 20d: 34.4%). Max pain ranged from $31.00 to $40.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.11.

Notable Days

  • 2019-03-11: Highest Volume — 248,188 contracts
  • 2019-03-08: Largest IV drop — 10.2% change
  • 2019-03-04: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.50$28.99$33.10$31.20$32.06
Max Pain$35.95$31.00$40.00$40.00$31.00
ATM IV35.1%31.1%45.0%42.4%32.9%
Expected Move10.6%9.5%12.9%12.2%10.7%
HV 20d34.4%22.4%39.8%26.0%38.5%
HV 60d29.5%25.9%31.9%26.1%30.2%
Term Structure1.5%-8.0%4.5%-8.0%4.2%
VWIV37.2%30.6%46.9%45.7%34.7%
Skew 25d4.5%1.0%14.3%8.9%3.9%
Skew 10d9.7%2.2%17.8%9.0%13.3%
Call IV 25d32.5%20.8%40.1%40.1%32.1%
Put IV 25d37.0%25.3%49.0%49.0%36.0%
Bid-Ask Spread %53.0127.9385.9750.0051.24
Gamma HHI0.250.190.380.250.20
Net GEX2.8M-618.4K14.4M-425.7K569.9K
Net DEX518.7M-18.8M1.23B933.4M-10.6M
Net VEX-119.8K-191.7K-82.4K-132.1K-82.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.085.541.090.93
Total Volume61,045.857170248,188134,635260
Total OI487,608.8139,7571,057,095697,36444,432

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-03-01$31.20$40.0042.4%12.2%26.0%0.0%45.7%8.9%-8.0%-425.7K933.4M-132.1K1.0950.00N/AN/A64,51570,120347,819349,545
2019-03-04$30.78$40.0045.0%12.9%26.6%0.0%46.9%14.3%-3.2%-380.2K1.01B-145.8K0.5452.91N/AN/A93,27650,011375,273386,306
2019-03-05$30.45$40.0044.1%12.6%27.0%0.0%41.1%4.0%-0.9%-416.8K1.09B-161.5K0.7145.97N/AN/A73,11751,584437,471416,848
2019-03-06$29.62$40.0040.3%11.6%27.3%0.0%41.2%4.7%-2.2%-503.5K1.18B-162.9K0.6575.78N/AN/A89,30658,005468,731447,179
2019-03-07$29.21$40.0037.8%10.8%22.8%0.0%41.3%4.4%-0.9%2.1M1.19B-187.2K1.0277.95N/AN/A39,66340,281479,033456,781
2019-03-08$28.99$40.0033.9%9.7%22.4%0.0%37.0%8.5%2.2%18.3K1.23B-191.7K0.4085.97N/AN/A104,11741,291486,190478,390
2019-03-11$31.28$40.0034.4%9.8%35.0%0.0%33.2%1.0%2.3%13.2M1.09B-176.4K0.8532.39N/AN/A133,840114,348554,841502,254
2019-03-12$31.72$40.0032.0%9.5%35.0%0.0%30.6%4.6%1.1%12.3M894.1M-133.7K1.0433.06N/AN/A29,40530,638509,454433,512
2019-03-13$31.53$40.0032.7%10.1%34.7%0.0%32.9%3.5%2.3%13.9M852.0M-122.6K1.2332.13N/AN/A25,54131,520505,525420,532
2019-03-14$30.79$40.0033.3%10.0%36.1%0.0%33.4%3.1%1.7%14.4M792.0M-106.1K0.6633.86N/AN/A28,00418,546492,721390,185
2019-03-15$30.64$40.0032.1%9.8%36.2%0.0%36.4%3.4%2.1%-618.4K757.6M-90.7K0.4050.48N/AN/A51,04420,510488,390380,116
2019-03-18$31.76$0.0033.0%10.2%38.0%0.0%36.4%3.6%3.1%-174.7K-670.4K-93.2K0.5327.93N/AN/A3,3001,73412,28527,928
2019-03-19$32.90$31.0031.8%10.7%39.2%0.0%37.8%2.1%4.4%160.1K-11.5M-85.5K0.0841.08N/AN/A10,56287912,57527,182
2019-03-20$33.10$31.0031.1%9.9%39.1%0.0%34.0%2.4%4.5%563.2K-18.8M-99.0K0.4765.46N/AN/A1,27759816,05427,275
2019-03-21$32.72$31.0031.6%10.4%39.2%0.0%37.5%1.9%3.9%508.7K-13.9M-97.5K0.6656.73N/AN/A85856516,03927,451
2019-03-22$32.27$31.0034.2%10.5%39.8%0.0%37.9%4.7%3.1%466.5K-10.9M-96.0K0.5365.34N/AN/A1,40674816,31127,504
2019-03-25$32.59$31.0032.4%10.3%39.8%0.0%35.7%4.2%3.5%631.8K-14.3M-89.3K5.5457.12N/AN/A2614416,67827,676
2019-03-26$32.67$31.0034.4%10.2%39.8%0.0%36.2%3.8%2.5%662.9K-15.3M-89.9K3.5456.46N/AN/A8028316,66227,779
2019-03-27$32.80$31.0032.9%10.4%39.6%0.0%35.9%2.9%3.4%734.2K-16.8M-88.0K1.3958.48N/AN/A11015316,65227,772
2019-03-28$32.50$31.0033.7%10.7%39.5%0.0%35.0%3.9%3.3%726.7K-14.2M-84.2K1.0662.89N/AN/A14515316,66927,765
2019-03-29$32.06$31.0032.9%10.7%38.5%0.0%34.7%3.9%4.2%569.9K-10.6M-82.4K0.9351.24N/AN/A13512516,68427,748