ELAN Options History — October 2019 In October 2019, ELAN traded between $26.01 and $27.26. ATM implied volatility averaged 37.8%, placing in the 21.1% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 15.1% (HV 20d: 22.7%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 1 of 23 trading days. Term structure was in contango for 2 of 23 days. Put/call ratio averaged 1.80.
Notable Days 2019-10-21 : Highest Volume — 6,137 contracts2019-10-21 : Largest IV drop — 12.4% change2019-10-18 : Highest IV Rank — 26.5%2019-10-08 : Largest Expected Move — 12.0%Monthly Statistics Metric Avg Min Max Open Close Price $26.67 $26.01 $27.26 $26.24 $27.19 Max Pain $27.30 $27.00 $28.00 $27.00 $27.00 ATM IV 37.8% 34.1% 41.4% 35.7% 38.0% Expected Move 11.0% 10.2% 12.0% 10.2% 10.9% HV 20d 22.7% 17.3% 30.4% 29.9% 17.3% HV 60d 34.1% 32.0% 34.6% 34.4% 32.0% IV Rank 21.1% 15.6% 26.5% 18.0% 21.4% IV Percentile 63.1% 35.7% 79.8% 51.0% 65.1% Term Structure -3.1% -7.0% 3.0% 3.0% -5.1% VWIV 38.5% 35.0% 43.3% 35.0% 37.3% Skew 25d 4.5% 2.6% 7.0% 2.6% 4.6% Skew 10d 14.8% 6.1% 22.3% 21.5% 13.4% Call IV 25d 36.3% 33.5% 40.2% 34.4% 36.5% Put IV 25d 40.7% 36.9% 44.2% 36.9% 41.1% Bid-Ask Spread % 23.18 13.94 35.99 19.72 13.94 Gamma HHI 0.31 0.19 0.79 0.35 0.25 Net GEX -1.0M -4.3M 291.8K -1.2M -181.1K Net DEX 7.2M -184.2K 17.6M 16.0M 217.4K Net VEX -85.3K -95.0K -71.2K -86.3K -92.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.80 0.00 19.18 0.21 0.90 Total Volume 1,296.87 95 6,137 854 110 Total OI 33,348.696 20,088 41,038 33,087 31,815
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2019-10-01 $26.24 $27.00 35.7% 10.2% 29.9% 18.0% 35.0% 2.6% 3.0% -1.2M 16.0M -86.3K 0.21 19.72 N/A N/A 707 147 12,863 20,224 2019-10-02 $26.01 $27.00 36.2% 10.4% 29.6% 18.8% 37.3% 2.7% 2.5% -1.2M 17.6M -87.0K 0.06 15.85 N/A N/A 1,399 79 13,417 20,203 2019-10-03 $26.56 $28.00 36.7% 11.5% 30.4% 19.4% 42.0% 4.2% -3.7% -1.0M 11.8M -93.6K 1.12 21.59 N/A N/A 275 308 14,582 20,184 2019-10-04 $26.74 $28.00 34.1% 11.0% 27.6% 15.6% 38.3% 4.0% -2.7% -1.1M 10.2M -93.4K 0.20 24.52 N/A N/A 79 16 14,723 20,319 2019-10-07 $26.62 $28.00 36.1% 10.9% 26.7% 18.6% 37.1% 5.0% -1.8% -1.2M 11.5M -87.4K 0.01 20.12 N/A N/A 404 5 14,768 20,320 2019-10-08 $26.80 $28.00 38.4% 12.0% 24.0% 22.1% 41.7% 3.9% -4.0% -1.2M 9.5M -85.4K 0.73 22.58 N/A N/A 273 198 14,522 20,322 2019-10-09 $26.88 $28.00 38.7% 11.1% 21.2% 22.4% 38.9% 4.9% -1.9% -1.3M 8.9M -83.8K 0.19 25.86 N/A N/A 910 175 14,571 20,373 2019-10-10 $26.63 $28.00 40.0% 11.5% 21.3% 24.4% 43.3% 5.8% -4.2% -1.5M 11.5M -81.6K 0.16 18.61 N/A N/A 173 28 15,196 20,480 2019-10-11 $26.86 $28.00 36.8% 10.5% 21.6% 19.6% 40.8% 3.8% -2.0% -1.5M 8.5M -80.1K 0.26 31.69 N/A N/A 1,965 516 15,312 20,495 2019-10-14 $26.62 $27.00 39.2% 11.2% 21.4% 23.2% 38.9% 5.3% -4.9% -1.8M 9.8M -79.9K 0.11 29.56 N/A N/A 411 46 16,717 20,956 2019-10-15 $27.12 $27.00 38.0% 10.9% 22.6% 21.4% 38.2% 5.7% -3.7% -1.4M 2.3M -77.3K 0.90 25.47 N/A N/A 250 225 16,983 20,959 2019-10-16 $27.13 $27.00 38.2% 11.0% 22.0% 21.7% 37.6% 4.0% -4.4% -1.4M 1.0M -75.2K 0.00 35.99 N/A N/A 4,245 6 17,207 20,950 2019-10-17 $26.55 $27.00 37.7% 10.8% 23.1% 21.0% 37.1% 5.7% -4.0% -2.3M 8.1M -73.7K 0.16 29.35 N/A N/A 925 145 19,329 20,941 2019-10-18 $26.21 $27.00 41.4% 11.9% 23.4% 26.5% 40.8% 4.0% -7.0% -4.3M 9.9M -72.0K 0.62 24.50 N/A N/A 569 353 20,187 20,851 2019-10-21 $26.44 $27.00 36.3% 10.4% 21.3% 18.9% 35.6% 3.4% -1.7% 291.8K -19.2K -71.2K 4.49 21.04 N/A N/A 1,117 5,020 11,734 8,354 2019-10-22 $26.04 $27.00 37.0% 10.6% 20.6% 19.9% 37.1% 3.1% -2.1% -178.1K 6.5M -83.3K 2.43 29.92 N/A N/A 490 1,192 12,640 13,252 2019-10-23 $26.05 $27.00 39.8% 11.4% 19.6% 24.0% 39.0% 6.3% -4.5% -228.1K 7.4M -87.4K 19.18 17.55 N/A N/A 159 3,050 12,997 14,267 2019-10-24 $26.36 $27.00 39.4% 11.3% 20.0% 23.5% 39.1% 7.0% -4.3% -443.1K 8.7M -94.0K 4.87 19.59 N/A N/A 112 545 13,092 16,634 2019-10-25 $26.82 $27.00 36.8% 10.5% 20.1% 19.5% 36.6% 3.8% -2.4% -420.9K 5.4M -94.8K 0.23 22.50 N/A N/A 1,280 297 13,191 16,892 2019-10-28 $27.14 $27.00 38.9% 11.1% 20.0% 22.7% 39.1% 4.5% -5.0% -192.4K 1.2M -95.0K 0.70 21.27 N/A N/A 427 299 14,226 16,863 2019-10-29 $27.26 $27.00 37.6% 10.8% 18.9% 20.8% 37.6% 4.9% -3.8% -161.1K -184.2K -93.6K 0.25 19.46 N/A N/A 439 111 14,488 16,895 2019-10-30 $27.10 $27.00 37.5% 10.7% 18.7% 20.6% 37.2% 4.1% -4.3% -219.4K 663.8K -93.5K 3.64 22.38 N/A N/A 75 273 14,802 16,924 2019-10-31 $27.19 $27.00 38.0% 10.9% 17.3% 21.4% 37.3% 4.6% -5.1% -181.1K 217.4K -92.7K 0.90 13.94 N/A N/A 58 52 14,852 16,963
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