ELAN Options History — December 2019

In December 2019, ELAN traded between $26.48 and $29.43. ATM implied volatility averaged 29.0%, placing in the 5.1% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 4.4% (HV 20d: 24.6%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.91.

Notable Days

  • 2019-12-19: Highest Volume — 2,367 contracts
  • 2019-12-10: Largest IV spike — 8.0% change
  • 2019-12-03: Highest IV Rank — 11.9%
  • 2019-12-03: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.12$26.48$29.43$27.62$29.43
Max Pain$27.86$27.00$28.00$27.00$28.00
ATM IV29.0%27.1%31.6%30.4%28.9%
Expected Move8.3%7.8%9.1%8.7%8.3%
HV 20d24.6%19.5%30.0%29.6%19.5%
HV 60d23.5%22.5%25.0%25.0%22.5%
IV Rank5.1%0.2%11.9%10.1%3.2%
IV Percentile6.4%0.8%15.9%10.7%7.9%
Term Structure2.4%-0.8%4.4%-0.4%4.1%
VWIV29.0%26.6%31.7%30.4%27.1%
Skew 25d1.9%-0.1%3.5%2.4%2.6%
Skew 10d8.2%-2.8%14.3%5.9%13.8%
Call IV 25d28.1%26.0%30.4%28.9%26.6%
Put IV 25d30.0%28.2%32.0%31.3%29.2%
Bid-Ask Spread %16.6110.6521.7621.7616.41
Gamma HHI0.240.180.310.190.29
Net GEX253.4K-1.3M1.4M-322.2K1.2M
Net DEX-7.0M-19.9M9.2M-2.5M-15.5M
Net VEX-91.2K-109.2K-79.7K-109.2K-79.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.033.880.980.80
Total Volume508.19212,36713181
Total OI35,823.52430,45941,50536,29631,672

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$27.62$27.0030.4%8.7%29.6%10.1%30.4%2.4%-0.4%-322.2K-2.5M-109.2K0.9821.76N/AN/A666514,85821,438
2019-12-03$27.29$27.0031.6%9.1%30.0%11.9%31.1%1.1%-0.8%-528.0K923.8K-108.5K0.2016.95N/AN/A1202414,87821,485
2019-12-04$27.29$27.0029.9%8.6%29.9%9.3%31.7%3.4%0.5%-538.9K1.1M-105.3K1.9621.22N/AN/A19638414,89821,508
2019-12-05$27.15$28.0028.3%8.5%27.2%6.9%29.9%2.2%2.6%-619.4K2.1M-103.1K0.0015.20N/AN/A02114,94621,494
2019-12-06$27.10$28.0029.4%8.4%27.1%8.5%29.5%1.9%2.4%-691.9K2.2M-99.5K0.3314.61N/AN/A551814,94621,488
2019-12-09$26.89$28.0028.7%8.3%26.7%7.5%30.2%2.2%3.1%-945.3K4.2M-94.4K0.0310.65N/AN/A30114,98921,493
2019-12-10$26.48$28.0031.0%8.7%26.2%10.9%30.9%2.5%1.4%-1.3M9.2M-94.1K2.7815.29N/AN/A277515,00121,509
2019-12-11$26.79$28.0029.9%8.6%25.8%9.4%28.3%2.2%2.4%-1.1M5.6M-91.0K2.5615.23N/AN/A8020515,01121,573
2019-12-12$27.45$28.0029.8%8.5%27.0%5.1%29.1%1.8%1.9%-409.5K-1.8M-90.9K0.7017.75N/AN/A443115,08421,770
2019-12-13$27.70$28.0027.4%7.9%24.7%0.8%26.6%3.5%4.2%-69.5K-4.5M-88.4K3.8817.80N/AN/A25096915,12621,786
2019-12-16$28.36$28.0028.7%8.2%24.6%2.9%29.2%0.3%2.8%744.1K-11.3M-85.6K0.3011.59N/AN/A2517515,33022,729
2019-12-17$28.65$28.0029.6%8.5%23.5%4.2%28.9%2.1%1.7%965.4K-13.9M-83.4K0.0414.61N/AN/A1,0994415,32022,776
2019-12-18$28.23$28.0028.1%8.1%22.9%1.9%28.4%1.2%3.1%1.3M-11.8M-87.2K0.0713.42N/AN/A1,1427517,49822,786
2019-12-19$28.97$28.0027.2%7.8%24.1%0.4%29.9%1.3%3.4%1.4M-19.9M-86.5K1.0619.99N/AN/A1,1501,21718,08322,856
2019-12-20$28.86$28.0028.1%8.0%24.2%1.8%28.5%-0.1%3.8%1.4M-19.2M-88.9K0.1317.78N/AN/A97912418,49223,013
2019-12-23$29.11$28.0027.1%7.8%24.0%0.2%27.1%2.3%4.4%933.0K-13.5M-84.6K1.4312.31N/AN/A18025815,73014,729
2019-12-24$29.35$28.0029.2%8.4%20.2%3.6%29.0%1.0%1.3%902.4K-15.4M-85.2K0.5319.39N/AN/A1115915,88215,369
2019-12-26$29.16$28.0028.3%8.1%19.8%2.2%27.0%0.8%2.4%905.9K-13.7M-83.6K0.1220.37N/AN/A84610515,95415,394
2019-12-27$29.31$28.0028.6%8.2%19.7%2.6%26.6%2.1%3.1%1.0M-15.3M-84.0K0.1715.88N/AN/A721216,34215,347
2019-12-30$29.27$28.0029.1%8.3%19.7%3.4%30.0%2.4%2.4%1.1M-14.8M-81.5K0.2020.62N/AN/A1092216,36315,348
2019-12-31$29.43$28.0028.9%8.3%19.5%3.2%27.1%2.6%4.1%1.2M-15.5M-79.7K0.8016.41N/AN/A453616,32215,350