ELAN Options History — June 2019

In June 2019, ELAN traded between $31.81 and $34.66. ATM implied volatility averaged 32.8%, placing in the 29.1% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 8.5% (HV 20d: 24.3%). Max pain ranged from $30.00 to $34.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 2.62.

Notable Days

  • 2019-06-27: Highest Volume — 2,628 contracts
  • 2019-06-06: Largest IV spike — 48.3% change
  • 2019-06-06: Highest IV Rank — 76.9%
  • 2019-06-03: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.03$31.81$34.66$31.82$33.94
Max Pain$30.55$30.00$34.00$31.00$34.00
ATM IV32.8%29.7%47.7%35.3%30.3%
Expected Move9.1%8.5%10.1%10.1%8.7%
HV 20d24.3%17.3%32.7%31.5%25.6%
HV 60d25.9%24.4%30.2%29.8%26.0%
IV Rank29.1%19.4%76.9%37.1%21.3%
IV Percentile19.5%3.5%87.6%41.3%6.2%
Term Structure1.8%-1.8%4.2%-1.8%4.2%
VWIV32.8%30.6%36.7%35.3%30.6%
Skew 25d4.3%2.9%5.8%5.8%2.9%
Skew 10d12.0%7.2%20.6%15.5%10.7%
Call IV 25d30.3%27.8%33.3%33.3%29.6%
Put IV 25d34.6%32.4%39.2%39.2%32.5%
Bid-Ask Spread %42.0822.0468.4157.5961.37
Gamma HHI0.140.120.190.120.12
Net GEX404.7K203.0K778.1K214.9K203.0K
Net DEX-8.3M-13.2M-2.5M-2.5M-7.9M
Net VEX-47.3K-51.2K-43.4K-50.6K-46.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.620.0718.065.003.11
Total Volume809.3562,62862,559
Total OI16,892.914,92217,98716,92816,755

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-06-03$31.82$31.0035.3%10.1%31.5%37.1%35.3%5.8%-1.8%214.9K-2.5M-50.6K5.0057.59N/AN/A158,6538,275
2019-06-04$32.62$31.0032.3%9.3%32.7%27.8%32.8%5.2%-0.4%305.0K-5.1M-50.0K18.0664.43N/AN/A183258,6538,277
2019-06-05$32.88$32.0032.2%9.2%29.7%27.3%32.5%3.8%-0.3%332.6K-5.5M-49.4K5.7668.41N/AN/A905188,6658,457
2019-06-06$32.49$31.0047.7%9.8%30.1%76.9%36.7%3.5%0.5%283.7K-4.3M-51.2K5.1640.93N/AN/A1005168,7268,454
2019-06-07$32.81$30.0031.0%8.8%21.9%23.4%35.0%5.6%2.7%375.7K-8.3M-47.7K3.1431.08N/AN/A1544838,7877,577
2019-06-10$32.42$30.0034.3%9.3%22.1%33.9%33.7%4.4%2.3%332.5K-7.1M-46.4K0.4830.12N/AN/A4582218,8517,629
2019-06-11$32.43$30.0035.9%9.3%17.3%39.1%31.8%4.2%2.2%313.4K-6.7M-46.9K0.3532.17N/AN/A6452268,6717,836
2019-06-12$33.25$30.0031.9%9.1%18.8%26.3%31.3%4.6%1.6%533.8K-10.3M-48.5K0.2931.16N/AN/A7852249,2537,840
2019-06-13$32.52$30.0032.6%9.3%20.3%28.6%32.1%4.1%1.4%441.3K-7.7M-47.7K0.2528.94N/AN/A1,0512609,3527,844
2019-06-14$31.97$30.0032.2%9.2%20.9%27.4%33.2%4.1%2.3%328.7K-6.1M-49.1K0.9430.90N/AN/A3823599,6797,875
2019-06-17$31.81$30.0033.8%9.7%20.9%32.3%34.4%4.7%0.8%285.1K-5.6M-48.7K0.3429.21N/AN/A53189,8307,987
2019-06-18$32.74$30.0031.9%9.2%23.3%26.5%33.4%5.1%1.6%570.0K-9.5M-46.6K0.2728.19N/AN/A66189,8707,997
2019-06-19$33.16$30.0031.9%9.1%23.7%26.4%32.1%3.8%1.6%733.0K-10.9M-47.5K0.0731.04N/AN/A196139,8827,997
2019-06-20$33.19$30.0031.4%9.0%23.3%24.7%31.9%3.9%2.4%778.1K-11.9M-47.6K0.2123.12N/AN/A234499,9327,994
2019-06-21$33.66$30.0029.9%8.6%23.7%20.0%30.6%4.6%2.5%363.1K-13.2M-45.0K0.2022.04N/AN/A181369,9638,024
2019-06-24$33.51$30.0029.7%8.5%23.7%19.4%31.2%3.5%3.3%403.6K-9.4M-43.4K2.3062.00N/AN/A461068,1836,739
2019-06-25$34.66$30.0030.3%8.7%25.3%21.3%33.3%3.7%2.9%481.8K-12.2M-43.6K2.9057.47N/AN/A3681,0678,2256,844
2019-06-26$34.45$31.0030.4%8.7%25.6%21.5%32.0%4.5%3.4%392.2K-11.2M-45.8K0.9354.68N/AN/A8978318,3917,795
2019-06-27$34.27$31.0030.3%8.7%25.2%21.4%31.2%3.2%2.8%421.8K-10.6M-45.0K2.7356.68N/AN/A7041,9248,3657,731
2019-06-28$33.94$34.0030.3%8.7%25.6%21.3%30.6%2.9%4.2%203.0K-7.9M-46.3K3.1161.37N/AN/A6231,9368,1508,605