ELAN Options History — November 2019

In November 2019, ELAN traded between $25.45 and $27.88. ATM implied volatility averaged 32.3%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 8.3% (HV 20d: 24.0%). Max pain ranged from $27.00 to $27.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 2.62.

Notable Days

  • 2019-11-04: Highest Volume — 15,713 contracts
  • 2019-11-04: Largest IV spike — 33.3% change
  • 2019-11-04: Highest IV Rank — 40.3%
  • 2019-11-01: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.80$25.45$27.88$27.37$27.76
Max Pain$27.00$27.00$27.00$27.00$27.00
ATM IV32.3%26.9%50.6%38.0%29.7%
Expected Move8.8%7.7%10.9%10.9%8.5%
HV 20d24.0%17.2%29.6%17.3%29.6%
HV 60d27.8%24.6%32.2%32.1%26.1%
IV Rank12.9%4.9%40.3%21.4%9.0%
IV Percentile20.4%0.8%94.9%65.7%5.2%
Term Structure-0.1%-4.8%2.2%-4.8%0.4%
VWIV30.2%26.5%37.8%37.8%27.7%
Skew 25d2.9%1.3%6.3%6.3%1.9%
Skew 10d7.8%-4.5%14.7%10.8%10.3%
Call IV 25d29.2%25.8%34.1%34.1%28.4%
Put IV 25d32.1%28.8%40.4%40.4%30.3%
Bid-Ask Spread %21.9114.7729.4314.7723.48
Gamma HHI0.280.150.860.240.19
Net GEX-1.5M-11.6M-120.1K-120.1K-257.3K
Net DEX8.2M-3.8M35.1M-2.1M-3.7M
Net VEX-105.6K-123.9K-87.6K-92.2K-110.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.620.0416.7113.070.60
Total Volume2,8821615,7135,09416
Total OI40,445.3526,48450,85431,78936,291

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-11-01$27.37$27.0038.0%10.9%17.3%21.4%37.8%6.3%-4.8%-120.1K-2.1M-92.2K13.0714.77N/AN/A3624,73214,84616,943
2019-11-04$27.32$27.0050.6%10.5%17.2%40.3%36.7%3.1%-3.7%-206.5K-1.4M-106.5K1.5829.43N/AN/A6,1009,61315,20120,461
2019-11-05$27.48$27.0046.5%10.1%17.2%34.1%35.2%5.0%-1.3%-469.4K1.4M-123.9K1.0128.60N/AN/A1,0701,07721,29128,699
2019-11-06$26.56$27.0032.8%9.0%21.3%13.7%31.2%2.8%-0.7%-1.8M16.2M-112.8K1.4224.49N/AN/A54878022,13127,957
2019-11-07$26.80$27.0033.4%9.1%21.3%14.5%30.4%2.5%-1.3%-1.6M12.4M-108.2K3.5227.59N/AN/A16959522,69427,963
2019-11-08$27.19$27.0027.9%8.3%21.7%6.3%29.4%2.6%1.6%-1.4M3.7M-105.3K2.3826.44N/AN/A4,37310,40723,01127,843
2019-11-11$26.64$27.0032.2%8.3%22.7%12.8%28.4%3.8%1.0%-1.8M11.2M-108.9K0.7421.73N/AN/A16312121,47025,953
2019-11-12$26.19$27.0034.3%8.8%22.3%15.9%30.5%2.8%0.2%-2.7M20.0M-100.4K0.6724.18N/AN/A1,47899521,51126,067
2019-11-13$26.16$27.0030.0%8.6%22.3%9.5%29.9%1.6%1.3%-3.3M20.3M-100.0K1.5921.22N/AN/A32551722,04926,479
2019-11-14$25.45$27.0029.8%8.5%23.1%9.1%28.9%2.0%0.6%-1.7M35.1M-87.8K3.9521.98N/AN/A24897922,23725,880
2019-11-15$26.09$27.0027.1%7.8%24.6%5.1%26.5%4.4%2.2%-11.6M13.2M-91.2K0.8221.52N/AN/A39732622,42024,207
2019-11-18$25.70$27.0030.9%8.9%24.9%10.8%30.6%1.8%-1.1%-257.2K8.2M-87.6K16.7121.85N/AN/A3035,06211,77714,707
2019-11-19$26.45$27.0029.9%8.6%26.5%9.3%28.3%4.2%-0.0%-668.4K9.3M-105.0K0.9122.99N/AN/A70163712,06019,261
2019-11-20$26.34$27.0030.8%8.8%26.6%10.7%30.3%1.7%0.4%-677.4K10.2M-107.0K0.1416.06N/AN/A4646612,52319,783
2019-11-21$26.43$27.0029.8%8.5%26.3%9.2%29.4%3.2%-1.2%-670.0K9.3M-107.5K1.6815.53N/AN/A1,1501,93612,85119,823
2019-11-22$26.80$27.0029.8%8.5%26.0%9.1%29.2%1.6%-0.3%-713.3K7.0M-116.9K0.2119.66N/AN/A48710213,80021,315
2019-11-25$27.88$27.0026.9%7.7%29.3%4.9%27.1%2.9%1.9%-269.5K-2.1M-112.8K0.0419.54N/AN/A6682813,89921,413
2019-11-26$27.57$27.0027.6%7.9%29.6%5.8%27.2%3.5%1.7%-393.6K-1.2M-114.1K0.1317.68N/AN/A4846214,42921,412
2019-11-27$27.80$27.0028.5%8.2%29.6%7.2%29.2%1.3%1.1%-240.8K-3.8M-113.6K1.2519.52N/AN/A445514,84921,401
2019-11-29$27.76$27.0029.7%8.5%29.6%9.0%27.7%1.9%0.4%-257.3K-3.7M-110.8K0.6023.48N/AN/A10614,85721,434