ELAN Options History — September 2019

In September 2019, ELAN traded between $26.01 and $28.70. ATM implied volatility averaged 34.6%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded below realized volatility by 3.3% (HV 20d: 37.9%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 4.03.

Notable Days

  • 2019-09-25: Highest Volume — 6,142 contracts
  • 2019-09-09: Largest IV spike — 14.0% change
  • 2019-09-20: Highest IV Rank — 20.7%
  • 2019-09-20: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.42$26.01$28.70$26.01$26.68
Max Pain$26.20$25.00$30.00$30.00$27.00
ATM IV34.6%31.1%37.5%36.3%33.8%
Expected Move10.0%9.2%10.8%10.4%9.7%
HV 20d37.9%26.9%48.1%45.9%29.2%
HV 60d35.2%34.5%36.3%34.5%34.6%
IV Rank16.4%11.1%20.7%18.9%15.1%
IV Percentile39.8%9.8%61.6%52.6%32.5%
Term Structure0.9%-2.3%3.9%-0.8%3.9%
VWIV34.9%32.0%38.0%33.2%34.6%
Skew 25d4.2%0.2%6.4%4.3%2.1%
Skew 10d10.9%5.8%25.2%17.6%12.9%
Call IV 25d33.4%31.1%36.0%34.1%33.1%
Put IV 25d37.6%34.2%39.5%38.5%35.2%
Bid-Ask Spread %20.8214.0625.6020.2214.06
Gamma HHI0.310.160.780.310.31
Net GEX-1.7M-3.7M481.5K-2.1M-1.0M
Net DEX16.6M-6.5M45.7M45.7M11.2M
Net VEX-95.0K-124.6K-71.0K-112.4K-87.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.030.0629.410.205.27
Total Volume1,425.251046,142421978
Total OI43,230.3520,35051,35750,05332,255

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-09-03$26.01$30.0036.3%10.4%45.9%18.9%33.2%4.3%-0.8%-2.1M45.7M-112.4K0.2020.22N/AN/A3517015,90534,148
2019-09-04$26.38$30.0034.7%9.9%44.6%16.5%35.2%6.4%1.9%-2.4M41.8M-114.9K0.6319.45N/AN/A78949816,16534,201
2019-09-05$26.59$26.0031.4%9.8%42.7%11.6%33.4%4.6%1.3%-2.4M38.6M-115.9K0.9421.13N/AN/A70166016,54634,237
2019-09-06$27.55$26.0031.1%9.7%45.3%11.1%35.9%4.0%2.1%-2.3M24.8M-124.6K2.5318.93N/AN/A1,1822,98816,86834,489
2019-09-09$27.01$25.0035.4%10.0%45.4%17.5%33.2%5.2%0.7%-2.2M30.7M-109.4K0.1520.24N/AN/A2203317,18032,681
2019-09-10$27.88$25.0036.4%10.1%46.7%19.1%34.0%5.2%-1.2%-2.0M17.6M-113.0K1.5319.15N/AN/A21232517,31432,700
2019-09-11$28.70$25.0035.4%10.1%48.1%17.5%35.1%4.5%-0.8%-1.6M5.7M-108.4K1.3821.84N/AN/A37551917,36432,514
2019-09-12$28.54$25.0032.2%9.2%46.0%12.8%32.0%4.7%2.3%-1.6M7.8M-104.7K0.2523.26N/AN/A2887117,49732,188
2019-09-13$28.65$25.0034.6%9.9%45.7%16.3%35.7%4.9%-0.1%-1.6M6.9M-101.4K0.9221.16N/AN/A857817,32532,218
2019-09-16$28.30$25.0035.9%10.3%45.8%18.3%36.3%3.6%-1.9%-1.8M9.5M-89.5K0.1923.40N/AN/A1893617,32832,242
2019-09-17$28.06$25.0034.8%10.0%45.2%16.7%34.7%5.4%0.0%-2.1M12.7M-86.1K0.7723.17N/AN/A695317,28832,238
2019-09-18$27.61$25.0035.0%10.0%31.4%17.0%35.3%6.2%-0.3%-2.9M19.5M-80.2K5.1222.78N/AN/A178717,30832,277
2019-09-19$27.38$25.0034.6%9.9%29.6%16.4%34.5%3.2%0.3%-3.7M20.2M-76.2K0.0620.75N/AN/A3612317,31531,703
2019-09-20$27.38$26.0037.5%10.8%28.0%20.7%38.0%2.9%-2.3%-2.6M17.6M-71.0K5.3425.60N/AN/A6953,71217,29531,647
2019-09-23$28.11$26.0034.5%9.9%27.3%16.2%36.3%5.3%2.2%481.5K-6.5M-72.1K13.3121.28N/AN/A2863,80611,9408,410
2019-09-24$27.49$27.0035.6%10.2%26.9%17.9%37.3%4.5%1.1%-80.0K1.1M-79.6K1.4919.40N/AN/A18126912,24413,543
2019-09-25$26.95$27.0034.6%9.9%28.0%16.4%33.9%3.3%2.6%-209.0K4.1M-77.2K29.4118.57N/AN/A2025,94012,24313,723
2019-09-26$26.76$27.0034.0%9.8%28.1%15.5%35.7%3.7%3.5%-770.2K9.9M-89.4K0.4221.47N/AN/A29512412,38118,485
2019-09-27$26.32$27.0034.4%9.9%28.8%16.0%33.9%0.2%3.0%-870.7K12.9M-87.4K10.7420.55N/AN/A1481,58912,67518,527
2019-09-30$26.68$27.0033.8%9.7%29.2%15.1%34.6%2.1%3.9%-1.0M11.2M-87.1K5.2714.06N/AN/A15682212,72819,527