ELAN Options History — May 2019

In May 2019, ELAN traded between $31.01 and $33.34. ATM implied volatility averaged 37.2%. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 7.4% (HV 20d: 29.9%). Max pain ranged from $30.00 to $32.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.99.

Notable Days

  • 2019-05-08: Highest Volume — 11,318 contracts
  • 2019-05-13: Largest IV spike — 36.7% change
  • 2019-05-01: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.15$31.01$33.34$31.47$31.30
Max Pain$31.23$30.00$32.00$30.00$31.00
ATM IV37.2%32.3%50.7%41.9%36.3%
Expected Move10.0%9.3%12.0%12.0%10.4%
HV 20d29.9%19.5%34.6%19.6%31.8%
HV 60d30.1%27.0%31.4%28.8%29.8%
Term Structure-1.5%-6.1%0.9%-5.4%-1.4%
VWIV34.9%32.3%40.2%34.7%36.1%
Skew 25d4.6%3.8%5.5%4.3%5.1%
Skew 10d13.8%9.4%26.9%26.9%13.1%
Call IV 25d33.6%31.0%40.4%40.4%33.9%
Put IV 25d38.2%35.2%44.7%44.7%39.1%
Bid-Ask Spread %43.0926.8368.7659.0950.73
Gamma HHI0.210.110.930.130.12
Net GEX918.5K148.2K10.5M509.7K148.2K
Net DEX-6.2M-13.9M-911.5K-6.1M-911.5K
Net VEX-55.5K-66.9K-45.1K-47.4K-52.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.990.075.820.512.15
Total Volume1,902.0457511,318266280
Total OI19,87714,59427,93014,59416,926

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-05-01$31.47$30.0041.9%12.0%19.6%0.0%34.7%4.3%-5.4%509.7K-6.1M-47.4K0.5159.09N/AN/A176909,7284,866
2019-05-02$31.30$30.0039.4%11.3%19.5%0.0%39.3%5.3%-5.9%516.8K-5.5M-45.1K4.1551.66N/AN/A2941,2219,8174,916
2019-05-03$31.95$30.0039.0%11.2%20.8%0.0%40.2%5.5%-6.1%464.7K-6.4M-50.2K2.3861.05N/AN/A4971,1819,8425,974
2019-05-06$32.15$31.0040.9%9.6%21.0%0.0%33.6%4.7%-1.0%523.6K-7.1M-49.2K0.0727.06N/AN/A825619,9735,986
2019-05-07$31.01$31.0050.7%11.0%24.0%0.0%37.2%5.0%-2.2%346.1K-3.0M-46.8K4.3036.54N/AN/A1,0414,4739,7246,017
2019-05-08$31.22$31.0049.8%11.0%23.8%0.0%38.2%4.5%-2.1%156.2K-1.8M-61.3K2.5526.83N/AN/A3,1888,13010,3239,606
2019-05-09$33.09$31.0034.5%9.5%31.9%0.0%33.3%4.8%-1.1%599.9K-12.3M-66.9K5.6749.36N/AN/A1,2727,21812,36214,637
2019-05-10$33.34$31.0033.4%9.5%31.9%0.0%32.3%4.0%-0.9%792.4K-12.8M-64.0K1.4432.43N/AN/A22131812,43315,076
2019-05-13$32.09$31.0045.6%10.5%34.6%0.0%36.3%3.8%-1.6%187.6K-5.3M-64.2K0.1131.50N/AN/A2182512,43315,076
2019-05-14$32.52$31.0040.0%9.5%34.5%0.0%33.1%4.8%-1.0%652.1K-9.0M-61.4K3.8036.23N/AN/A1,0634,03912,42015,385
2019-05-15$32.83$31.0032.9%9.4%34.3%0.0%34.0%4.2%-0.9%1.2M-11.9M-57.8K0.1135.68N/AN/A3043312,42315,384
2019-05-16$33.06$31.0032.3%9.3%34.0%0.0%32.5%4.2%-0.0%1.9M-13.9M-55.7K0.7833.08N/AN/A27321412,31615,391
2019-05-17$32.98$32.0032.8%9.4%33.9%0.0%32.6%4.3%-0.8%10.5M-13.0M-54.5K0.4735.44N/AN/A85840212,38415,546
2019-05-20$32.65$32.0033.1%9.5%34.0%0.0%34.2%4.3%0.4%241.6K-4.6M-55.2K0.4536.22N/AN/A6142797,7997,506
2019-05-21$32.68$32.0033.3%9.5%33.1%0.0%34.6%4.4%-0.5%273.3K-4.8M-59.4K0.6041.81N/AN/A6133678,3157,780
2019-05-22$32.31$32.0033.5%9.6%32.7%0.0%33.4%4.2%0.3%243.1K-4.0M-56.8K0.4937.11N/AN/A4582258,3357,859
2019-05-23$32.32$32.0034.0%9.8%32.6%0.0%34.1%5.0%-1.6%231.4K-3.8M-57.2K2.8545.22N/AN/A882518,3668,026
2019-05-24$32.18$32.0033.4%9.6%32.6%0.0%33.7%4.9%-0.7%221.8K-3.3M-55.8K2.0746.80N/AN/A1262618,3858,049
2019-05-28$31.70$32.0034.0%9.7%33.0%0.0%34.8%4.9%-0.0%185.2K-2.0M-54.3K5.8254.74N/AN/A11648,4588,055
2019-05-29$31.72$32.0034.7%10.0%31.6%0.0%35.2%4.6%-0.7%172.1K-2.3M-53.6K0.6450.59N/AN/A1801158,4678,129
2019-05-30$31.38$31.0033.6%9.6%31.9%0.0%33.8%4.0%0.9%155.1K-1.3M-51.8K2.3568.76N/AN/A831958,6088,193
2019-05-31$31.30$31.0036.3%10.4%31.8%0.0%36.1%5.1%-1.4%148.2K-911.5K-52.5K2.1550.73N/AN/A891918,6598,267