ELAN Options History — August 2019

In August 2019, ELAN traded between $25.64 and $33.16. ATM implied volatility averaged 44.0%, placing in the 42.5% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 8.8% (HV 20d: 35.2%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 10.18.

Notable Days

  • 2019-08-14: Highest Volume — 17,118 contracts
  • 2019-08-13: Largest IV drop — 45.6% change
  • 2019-08-07: Highest IV Rank — 100.0%
  • 2019-08-12: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.98$25.64$33.16$33.16$26.03
Max Pain$32.05$30.00$35.00$33.00$30.00
ATM IV44.0%31.1%90.7%43.3%31.1%
Expected Move10.6%8.9%12.7%12.4%8.9%
HV 20d35.2%21.7%46.5%21.9%46.5%
HV 60d30.0%24.9%35.3%26.7%34.6%
IV Rank42.5%11.1%100.0%62.9%11.1%
IV Percentile60.7%10.1%100.0%81.5%10.1%
Term Structure-1.1%-8.4%3.5%-8.4%3.3%
VWIV36.7%31.5%44.1%41.2%33.7%
Skew 25d4.3%0.8%6.6%4.1%5.0%
Skew 10d12.2%-2.2%24.7%22.9%15.4%
Call IV 25d35.5%30.6%43.7%40.8%30.7%
Put IV 25d39.8%33.2%48.7%44.9%35.7%
Bid-Ask Spread %32.4021.6059.0059.0021.60
Gamma HHI0.280.190.410.220.34
Net GEX-937.8K-2.7M657.8K303.5K-2.1M
Net DEX19.6M-7.1M44.0M-6.1M44.0M
Net VEX-82.8K-127.9K-40.7K-40.7K-106.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.180.00153.220.0219.86
Total Volume4,418.04514317,1181,8862,420
Total OI32,777.9559,76853,7279,76848,037

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-08-01$33.16$33.0043.3%12.4%21.9%62.9%41.2%4.1%-8.4%303.5K-6.1M-40.7K0.0259.00N/AN/A1,841455,7274,041
2019-08-02$32.91$33.0043.6%12.5%21.7%63.9%40.7%5.0%-7.8%487.2K-6.8M-44.2K0.0139.21N/AN/A1,15187,4124,075
2019-08-05$31.84$33.0049.0%11.3%22.9%81.1%39.3%5.5%-2.8%444.6K-4.5M-41.5K0.6335.59N/AN/A88558,4714,083
2019-08-06$32.76$33.0047.0%9.9%25.0%74.5%37.8%4.6%-0.6%657.8K-7.1M-43.7K11.1236.01N/AN/A4565,0698,5044,104
2019-08-07$31.22$33.0062.7%12.1%29.6%100.0%38.6%6.6%-3.8%8.8K1.5M-61.4K6.1339.45N/AN/A8875,4358,7489,120
2019-08-08$31.30$35.0062.1%11.6%28.5%98.4%39.0%6.5%-2.8%-563.4K8.2M-70.5K0.1733.52N/AN/A1,2032109,39614,010
2019-08-09$30.73$35.0069.3%11.9%28.5%100.0%39.0%5.4%-4.6%-532.0K10.4M-70.2K0.0844.30N/AN/A5,1444169,84314,307
2019-08-12$29.96$35.0090.7%12.7%28.7%100.0%44.1%5.0%-5.2%-248.9K12.0M-71.4K0.9832.58N/AN/A1,7781,73514,85914,795
2019-08-13$29.91$35.0049.4%10.3%28.7%38.3%34.3%6.1%-1.1%-1.1M18.0M-64.2K1.2643.84N/AN/A8541,07316,07915,114
2019-08-14$28.72$34.0037.8%10.8%31.3%21.1%38.2%4.9%-2.5%-602.7K22.3M-55.5K153.2225.59N/AN/A11117,00716,02514,416
2019-08-15$29.13$33.0036.3%10.4%32.1%18.9%34.8%4.9%-1.2%-2.7M29.5M-81.9K0.0928.04N/AN/A5855416,10824,947
2019-08-16$29.36$31.0038.2%11.0%32.5%21.7%39.3%4.2%-3.2%-2.5M24.2M-80.3K20.1121.69N/AN/A3637,30116,55624,958
2019-08-19$29.88$31.0034.9%10.0%33.4%16.8%34.8%3.6%0.4%-1.3M13.3M-89.0K0.0041.45N/AN/A33615,96920,744
2019-08-20$27.26$31.0033.2%9.5%44.2%14.2%34.1%6.2%2.2%-1.5M29.6M-76.5K0.5226.31N/AN/A9,9785,2296,26820,755
2019-08-21$26.47$30.0032.6%9.3%44.2%13.3%32.4%0.8%3.5%-1.3M31.5M-111.9K1.9222.51N/AN/A6291,20715,95725,467
2019-08-22$27.21$30.0035.5%10.2%46.3%17.6%35.6%2.6%-0.3%-1.3M25.0M-125.4K0.2028.46N/AN/A3,54872316,46526,511
2019-08-23$26.46$30.0035.3%10.1%45.8%17.3%36.3%3.2%1.7%-1.1M28.6M-127.9K2.7237.34N/AN/A5701,55220,06726,728
2019-08-26$25.80$30.0035.0%10.0%46.0%17.0%34.2%2.0%1.5%-1.2M37.7M-109.0K0.4624.02N/AN/A1,70777720,02828,058
2019-08-27$25.64$30.0035.1%10.1%45.4%17.1%33.6%2.5%1.9%-1.3M39.3M-110.2K0.8223.80N/AN/A1,7681,44220,43328,961
2019-08-28$25.80$30.0032.6%9.4%45.8%13.4%31.5%3.0%3.1%-1.5M39.5M-115.6K3.6024.55N/AN/A5822,09821,18930,053
2019-08-29$25.95$30.0033.9%9.7%46.2%15.3%34.2%3.0%2.2%-1.7M40.4M-124.1K0.0223.95N/AN/A9,55121021,72831,999
2019-08-30$26.03$30.0031.1%8.9%46.5%11.1%33.7%5.0%3.3%-2.1M44.0M-106.5K19.8621.60N/AN/A1162,30415,84832,189