ELAN Options History — April 2019

In April 2019, ELAN traded between $30.94 and $33.35. ATM implied volatility averaged 36.1%. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 12.6% (HV 20d: 23.4%). Max pain ranged from $30.00 to $31.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.94.

Notable Days

  • 2019-04-18: Highest Volume — 2,652 contracts
  • 2019-04-02: Largest IV drop — 11.8% change
  • 2019-04-30: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.26$30.94$33.35$32.25$31.49
Max Pain$30.62$30.00$31.00$31.00$30.00
ATM IV36.1%30.9%40.6%35.0%40.6%
Expected Move10.7%10.1%11.6%10.6%11.6%
HV 20d23.4%15.1%38.1%38.1%20.1%
HV 60d29.2%28.3%30.1%30.1%28.8%
Term Structure-2.1%-5.2%6.8%-0.2%-5.2%
VWIV37.9%34.0%40.6%36.0%35.6%
Skew 25d4.5%2.6%6.7%5.0%5.3%
Skew 10d11.9%3.5%37.0%13.6%26.6%
Call IV 25d35.2%31.7%38.9%32.0%37.6%
Put IV 25d39.7%35.2%42.8%37.1%42.8%
Bid-Ask Spread %49.5724.5170.7659.8244.84
Gamma HHI0.260.140.810.220.14
Net GEX704.5K-2.0M1.5M682.7K523.2K
Net DEX-12.7M-23.1M-4.9M-12.1M-6.7M
Net VEX-55.1K-76.3K-40.0K-75.8K-47.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.045.150.100.05
Total Volume942.8571192,6521,443119
Total OI35,095.57112,38948,02844,43314,537

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-04-01$32.25$31.0035.0%10.6%38.1%0.0%36.0%5.0%-0.2%682.7K-12.1M-75.8K0.1059.82N/AN/A1,30713616,69127,742
2019-04-02$32.56$31.0030.9%10.7%37.8%0.0%40.4%3.5%6.8%830.8K-15.6M-76.3K4.5359.16N/AN/A7835316,82827,865
2019-04-03$32.73$31.0031.1%10.5%36.0%0.0%36.8%6.7%-2.2%977.3K-17.7M-71.5K0.2753.26N/AN/A69418416,86528,070
2019-04-04$33.01$31.0032.9%10.1%35.3%0.0%37.4%5.5%-1.8%1.2M-20.5M-71.9K0.5640.26N/AN/A54330317,13728,093
2019-04-05$33.08$31.0032.1%10.2%35.0%0.0%35.5%4.0%-2.0%1.2M-20.1M-68.9K1.4728.61N/AN/A27139817,01928,196
2019-04-08$33.35$31.0032.8%10.4%23.6%0.0%39.1%5.0%-3.0%1.5M-23.1M-62.8K5.1536.10N/AN/A3317017,06728,230
2019-04-09$32.84$31.0033.2%10.2%24.1%0.0%38.1%4.7%-1.3%1.3M-18.8M-56.9K0.8424.51N/AN/A25421317,07028,198
2019-04-10$32.51$31.0035.8%10.3%24.3%0.0%38.0%3.5%-1.6%1.1M-15.1M-57.2K1.6231.45N/AN/A22937017,24028,228
2019-04-11$32.32$31.0036.8%10.5%22.6%0.0%38.3%4.9%-1.5%1.0M-13.8M-52.3K1.0060.06N/AN/A51051017,27728,475
2019-04-12$32.65$31.0035.4%10.1%22.6%0.0%37.5%3.9%0.2%1.5M-17.8M-48.4K0.4559.49N/AN/A78635217,53628,329
2019-04-15$32.14$31.0038.2%11.0%20.0%0.0%34.0%5.6%-1.6%1.0M-13.4M-43.6K0.0470.76N/AN/A1,1494717,81528,348
2019-04-16$31.72$31.0037.7%10.8%15.8%0.0%35.6%2.6%-1.4%734.3K-11.3M-45.0K0.0667.81N/AN/A1,3398518,95328,325
2019-04-17$31.38$31.0037.2%10.7%15.8%0.0%38.5%4.3%-2.8%-25.5K-8.0M-40.0K0.2249.42N/AN/A1,10924018,99728,373
2019-04-18$31.21$30.0037.1%10.6%15.5%0.0%37.1%3.9%-2.9%-2.0M-8.5M-42.8K0.1051.87N/AN/A2,41024219,58928,439
2019-04-22$30.94$30.0039.8%11.4%15.1%0.0%40.6%3.6%-3.0%438.3K-4.9M-45.2K0.3946.09N/AN/A5562158,6783,711
2019-04-23$31.68$30.0037.5%10.7%17.2%0.0%40.4%4.8%-2.6%487.2K-6.4M-48.3K1.7049.37N/AN/A4677948,9373,926
2019-04-24$32.28$30.0038.2%11.0%18.6%0.0%40.3%5.1%-3.6%508.4K-7.8M-50.3K0.4149.17N/AN/A5602319,1144,481
2019-04-25$32.49$30.0038.3%11.0%18.7%0.0%39.4%4.3%-4.6%532.5K-8.3M-51.9K0.4348.81N/AN/A7333149,2754,561
2019-04-26$32.47$30.0038.0%10.9%18.4%0.0%39.4%5.2%-4.3%559.5K-8.1M-49.7K0.3748.33N/AN/A1,0033749,5094,707
2019-04-29$32.34$30.0039.2%11.2%17.8%0.0%37.5%4.2%-5.1%581.1K-8.7M-51.1K0.0461.82N/AN/A11459,7344,842
2019-04-30$31.49$30.0040.6%11.6%20.1%0.0%35.6%5.3%-5.2%523.2K-6.7M-47.9K0.0544.84N/AN/A11369,6964,841