ELAN Options History — January 2020

In January 2020, ELAN traded between $28.11 and $32.27. ATM implied volatility averaged 33.5%, placing in the 10.3% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 6.6% (HV 20d: 26.9%). Max pain ranged from $28.00 to $32.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.49.

Notable Days

  • 2020-01-23: Highest Volume — 23,871 contracts
  • 2020-01-13: Largest IV spike — 27.0% change
  • 2020-01-27: Highest IV Rank — 19.0%
  • 2020-01-27: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.24$28.11$32.27$29.38$30.81
Max Pain$29.95$28.00$32.00$28.00$32.00
ATM IV33.5%27.2%39.1%30.4%34.5%
Expected Move9.7%8.7%11.2%8.7%9.9%
HV 20d26.9%18.8%35.5%18.8%35.5%
HV 60d25.3%22.5%28.5%22.5%28.5%
IV Rank10.3%0.4%19.0%5.5%12.0%
IV Percentile39.7%1.2%80.6%15.9%48.4%
Term Structure-1.5%-4.8%2.1%2.1%-1.7%
VWIV33.8%28.6%39.5%29.4%35.5%
Skew 25d1.7%-0.1%5.5%1.2%1.4%
Skew 10d4.8%1.2%14.2%14.2%2.9%
Call IV 25d33.4%29.0%39.4%29.5%35.0%
Put IV 25d35.1%30.7%40.5%30.7%36.4%
Bid-Ask Spread %26.3013.1739.0815.2537.08
Gamma HHI0.300.210.690.290.21
Net GEX1.5M-484.1K4.9M1.2M1.2M
Net DEX-23.3M-50.7M-3.7M-15.4M-16.8M
Net VEX-113.5K-185.1K-68.7K-76.9K-166.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.490.0018.040.300.00
Total Volume6,409.71413323,8711337,897
Total OI44,154.42926,20757,33231,67553,823

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$29.38$28.0030.4%8.7%18.8%5.5%29.4%1.2%2.1%1.2M-15.4M-76.9K0.3015.25N/AN/A1023116,30115,374
2020-01-03$29.23$28.0032.0%9.2%19.0%8.0%28.6%1.9%0.5%1.1M-13.9M-77.4K0.7613.17N/AN/A1058016,37315,370
2020-01-06$28.90$29.0027.9%9.1%19.5%1.6%31.8%2.5%-0.3%995.9K-10.2M-69.6K1.7223.24N/AN/A508616,42715,344
2020-01-07$28.64$29.0029.9%9.3%19.9%4.7%32.8%2.1%-0.6%804.3K-8.6M-68.7K18.0425.70N/AN/A1372,47216,45915,306
2020-01-08$28.61$29.0029.3%9.2%19.6%3.8%31.5%1.8%-0.2%386.9K-6.3M-71.0K0.0426.43N/AN/A2,1859816,51417,238
2020-01-09$28.11$29.0036.1%9.7%19.9%14.4%33.7%3.2%-1.5%503.4K-4.8M-75.1K1.8422.40N/AN/A7,84314,45418,69317,355
2020-01-10$28.87$29.0027.2%8.9%21.4%0.4%30.8%2.9%0.0%533.5K-13.8M-98.0K0.3023.53N/AN/A4,2241,25022,89826,869
2020-01-13$28.28$29.0034.5%9.1%21.6%11.9%31.6%2.2%-0.8%-484.1K-3.7M-93.5K0.0619.99N/AN/A2,79716425,35827,220
2020-01-14$29.38$29.0032.3%9.3%25.2%8.4%32.4%1.3%-1.7%2.8M-27.3M-82.0K0.1322.84N/AN/A1,82923924,81727,290
2020-01-15$30.71$29.0035.0%10.0%28.3%12.6%34.6%0.5%-3.2%2.7M-50.7M-71.7K0.1026.42N/AN/A10,2561,02924,83627,352
2020-01-16$30.60$29.0032.1%9.2%28.3%8.2%33.4%5.5%-1.9%3.1M-50.5M-90.9K0.3929.38N/AN/A3,3991,31528,03827,800
2020-01-17$30.09$30.0031.6%9.1%28.5%7.3%30.9%2.2%-1.0%4.9M-43.4M-92.6K1.0326.75N/AN/A1,7641,81428,23229,100
2020-01-21$30.79$30.0031.9%9.2%28.2%7.9%32.0%0.9%-1.2%706.6K-17.2M-100.0K1.3726.09N/AN/A1,6922,32013,83212,375
2020-01-22$32.25$31.0038.3%11.0%32.0%17.9%39.5%-0.1%-2.4%666.7K-25.9M-106.0K0.0726.92N/AN/A19,1451,34915,24114,211
2020-01-23$32.27$31.0037.8%10.8%32.0%17.1%38.1%0.6%-3.0%1.6M-34.3M-145.1K0.3032.55N/AN/A18,4195,45225,52315,241
2020-01-24$31.63$32.0036.4%10.4%33.2%14.9%36.2%1.3%-2.4%1.5M-28.3M-185.1K0.0530.74N/AN/A5,72429631,19219,152
2020-01-27$31.28$32.0039.1%11.2%33.4%19.0%39.5%2.5%-4.3%1.4M-24.2M-182.1K0.2530.24N/AN/A2,87971632,71819,345
2020-01-28$31.64$32.0038.2%10.9%33.5%17.6%38.5%1.2%-4.8%1.8M-30.1M-182.9K1.4519.05N/AN/A1,4562,10634,70319,149
2020-01-29$31.80$31.0035.5%10.2%33.5%13.5%36.0%0.4%-1.9%2.0M-32.9M-172.5K1.1535.38N/AN/A2,5622,94633,82817,233
2020-01-30$31.71$31.0033.1%9.5%33.6%9.7%33.0%1.1%-1.1%2.0M-31.5M-176.7K1.8939.08N/AN/A6661,25634,33118,782
2020-01-31$30.81$32.0034.5%9.9%35.5%12.0%35.5%1.4%-1.7%1.2M-16.8M-166.4K0.0037.08N/AN/A7,8623534,26319,560