ELAN Options History — July 2019

In July 2019, ELAN traded between $32.25 and $34.90. ATM implied volatility averaged 35.0%, placing in the 36.4% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 7.1% (HV 20d: 27.9%). Max pain ranged from $33.00 to $34.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 1.59.

Notable Days

  • 2019-07-09: Highest Volume — 5,452 contracts
  • 2019-07-08: Largest IV spike — 12.1% change
  • 2019-07-31: Highest IV Rank — 51.0%
  • 2019-07-31: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.41$32.25$34.90$34.90$33.24
Max Pain$33.23$33.00$34.00$34.00$33.00
ATM IV35.0%27.7%39.6%28.6%39.6%
Expected Move10.2%7.9%11.4%8.2%11.4%
HV 20d27.9%23.4%30.6%26.6%23.4%
HV 60d27.8%26.6%28.3%26.6%27.8%
IV Rank36.4%13.0%51.0%15.8%51.0%
IV Percentile45.9%2.7%72.5%2.7%72.5%
Term Structure-1.8%-6.4%5.9%4.9%-6.2%
VWIV35.6%28.8%39.3%31.0%39.3%
Skew 25d4.7%3.5%6.2%3.5%5.1%
Skew 10d10.9%3.8%16.9%9.6%10.1%
Call IV 25d33.8%25.1%37.8%28.1%37.8%
Put IV 25d38.5%29.7%43.0%31.6%43.0%
Bid-Ask Spread %40.8128.0369.8850.5852.52
Gamma HHI0.270.130.510.150.22
Net GEX414.8K131.2K975.9K299.2K316.5K
Net DEX-7.3M-11.7M-3.0M-10.7M-6.2M
Net VEX-44.0K-51.0K-39.9K-44.3K-41.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.590.003.051.800.42
Total Volume858.27315,452701172
Total OI16,334.2278,96122,69616,7889,771

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-07-01$34.90$34.0028.6%8.2%26.6%15.8%31.0%3.5%4.9%299.2K-10.7M-44.3K1.8050.58N/AN/A2504518,1908,598
2019-07-02$34.00$34.0027.7%7.9%27.6%13.0%28.8%3.5%3.7%206.4K-7.8M-45.2K1.9359.42N/AN/A2324478,3348,927
2019-07-03$34.72$34.0028.4%8.1%28.4%15.1%29.3%5.3%5.9%273.8K-10.1M-45.1K1.7769.88N/AN/A2534498,3698,989
2019-07-05$34.27$34.0028.6%9.6%28.5%15.7%31.7%4.3%0.1%254.5K-8.8M-44.0K1.9628.03N/AN/A2534958,4928,989
2019-07-08$33.41$34.0032.0%9.8%30.0%26.7%38.7%5.4%-0.6%131.2K-5.6M-41.7K2.8431.96N/AN/A1724888,4928,983
2019-07-09$33.76$33.0033.8%10.6%29.8%32.5%36.0%4.7%0.3%167.6K-7.2M-43.4K0.1736.75N/AN/A4,6637898,5949,403
2019-07-10$33.16$33.0036.5%10.5%30.6%41.0%37.7%4.8%-3.5%686.7K-8.6M-50.5K1.9328.09N/AN/A6901,33511,92010,097
2019-07-11$33.78$33.0035.3%10.1%30.0%37.2%36.3%5.7%-1.3%919.7K-11.7M-51.0K3.0538.36N/AN/A4421,34612,07610,127
2019-07-12$33.17$33.0035.4%10.1%29.6%37.4%35.7%4.5%-1.8%760.7K-8.6M-50.0K2.6935.61N/AN/A5041,35812,11010,150
2019-07-15$33.65$33.0036.2%10.4%29.2%40.0%35.8%5.9%-1.2%975.9K-11.2M-48.0K0.0337.61N/AN/A72212,20010,164
2019-07-16$33.38$33.0037.0%10.6%29.3%42.7%36.7%4.6%-2.6%917.9K-9.1M-46.2K1.8736.11N/AN/A7013112,23910,166
2019-07-17$33.23$33.0036.2%10.4%27.7%40.1%36.2%3.9%-2.5%798.1K-7.0M-44.5K2.5734.96N/AN/A10426712,22810,361
2019-07-18$32.81$33.0036.1%10.3%27.7%39.7%35.6%4.5%-1.9%246.1K-4.1M-41.0K0.7940.71N/AN/A25520112,25510,385
2019-07-19$32.58$33.0035.6%10.2%27.8%38.2%35.6%3.9%-1.4%228.1K-3.0M-39.9K0.5539.34N/AN/A49126812,32310,373
2019-07-22$32.25$33.0037.8%10.8%27.4%45.3%37.0%4.0%-3.7%228.7K-4.7M-40.2K1.6137.77N/AN/A1061715,3643,597
2019-07-23$33.01$33.0036.3%10.4%28.8%40.4%36.3%5.1%-3.1%282.6K-6.0M-41.8K2.5934.60N/AN/A1102855,4433,731
2019-07-24$33.28$33.0036.8%10.5%26.0%42.0%36.1%6.1%-2.8%287.6K-6.1M-42.8K1.7444.95N/AN/A1712985,5693,969
2019-07-25$32.74$33.0037.2%10.7%26.5%43.2%36.7%4.2%-4.4%256.6K-5.1M-42.3K1.7836.98N/AN/A1703035,5833,975
2019-07-26$33.24$33.0037.8%10.8%27.2%45.1%37.0%4.5%-5.3%288.0K-6.1M-41.9K1.7039.31N/AN/A1933285,5913,980
2019-07-29$33.08$33.0038.4%11.0%27.1%47.1%37.7%4.0%-5.7%289.2K-5.8M-41.5K0.0042.44N/AN/A105,6074,005
2019-07-30$33.34$33.0039.6%11.3%25.1%50.9%39.0%6.2%-6.4%309.9K-6.3M-41.2K1.0941.85N/AN/A46505,6274,007
2019-07-31$33.24$33.0039.6%11.4%23.4%51.0%39.3%5.1%-6.2%316.5K-6.2M-41.0K0.4252.52N/AN/A121515,7294,042