ELAN Options History — February 2020

In February 2020, ELAN traded between $27.05 and $31.69. ATM implied volatility averaged 33.6%, placing in the 10.6% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 5.9% (HV 20d: 27.7%). Max pain ranged from $29.00 to $32.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 1.14.

Notable Days

  • 2020-02-18: Highest Volume — 12,018 contracts
  • 2020-02-12: Largest IV drop — 20.8% change
  • 2020-02-28: Highest IV Rank — 26.0%
  • 2020-02-28: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.50$27.05$31.69$31.20$27.05
Max Pain$30.42$29.00$32.00$32.00$29.00
ATM IV33.6%28.0%43.5%35.5%43.5%
Expected Move9.3%8.0%12.5%10.2%12.5%
HV 20d27.7%17.2%35.5%35.5%27.2%
HV 60d26.6%25.5%28.6%28.6%28.2%
IV Rank10.6%1.7%26.0%13.5%26.0%
IV Percentile42.0%4.0%93.7%57.5%93.7%
Term Structure-1.8%-4.8%0.2%-2.4%-4.8%
VWIV32.2%27.5%42.4%37.5%42.4%
Skew 25d2.7%0.7%5.7%1.3%5.3%
Skew 10d6.6%2.7%11.8%2.8%11.2%
Call IV 25d31.5%27.2%43.4%35.4%43.4%
Put IV 25d34.1%29.1%48.7%36.7%48.7%
Bid-Ask Spread %32.0413.9250.0344.1827.93
Gamma HHI0.240.150.530.270.15
Net GEX1.2M-2.3M2.4M2.0M486.1K
Net DEX-18.1M-32.1M3.8M-26.4M-435.5K
Net VEX-151.3K-187.4K-111.1K-187.4K-136.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.008.030.231.60
Total Volume2,276.5265012,018164643
Total OI54,888.84237,51966,16160,32641,581

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-02-03$31.20$32.0035.5%10.2%35.5%13.5%37.5%1.3%-2.4%2.0M-26.4M-187.4K0.2344.18N/AN/A1333140,75119,575
2020-02-04$31.59$32.0033.3%9.5%35.2%10.0%35.3%0.9%-1.9%2.3M-31.0M-183.5K0.0745.09N/AN/A2752040,74619,485
2020-02-05$31.69$32.0034.4%9.9%34.9%11.8%34.6%2.2%-3.2%2.4M-32.1M-181.3K0.0450.03N/AN/A5102040,71419,492
2020-02-06$31.63$30.0033.0%8.8%34.9%9.6%30.3%2.0%-0.3%2.3M-30.7M-175.3K0.0342.56N/AN/A109340,52719,492
2020-02-07$31.45$30.0036.0%9.0%34.1%14.2%31.8%2.4%-1.4%2.2M-27.8M-170.8K0.1147.26N/AN/A3413840,51019,493
2020-02-10$31.54$30.0038.9%8.8%33.2%18.8%30.8%3.1%-1.6%2.2M-28.0M-164.2K0.0040.02N/AN/A7,3862740,74219,509
2020-02-11$31.66$30.0038.7%8.5%31.9%18.4%30.1%3.5%-1.0%2.0M-28.1M-154.4K4.5142.17N/AN/A22199638,58819,524
2020-02-12$31.37$30.0030.6%8.8%29.8%5.8%30.2%1.8%-1.4%1.8M-24.3M-149.7K8.0343.78N/AN/A1471,18138,60520,324
2020-02-13$31.14$30.0030.7%8.8%25.8%6.0%30.7%1.7%-1.9%1.3M-18.3M-141.7K0.1331.14N/AN/A2272938,63920,493
2020-02-14$30.90$31.0030.0%8.6%25.9%4.9%30.1%0.7%-2.4%1.1M-14.8M-136.0K0.4331.85N/AN/A351538,68920,486
2020-02-18$30.37$31.0033.1%9.5%25.9%9.8%32.9%0.9%-3.4%666.6K-7.5M-122.0K2.3528.20N/AN/A3,5878,43138,68620,504
2020-02-19$30.14$31.0028.2%8.1%24.6%2.0%28.3%2.6%-0.4%25.5K3.8M-111.1K1.3121.22N/AN/A2,6923,51540,57522,830
2020-02-20$30.14$30.0028.0%8.0%17.2%1.7%28.4%1.2%0.2%44.7K1.7M-117.7K0.0613.92N/AN/A5,07229140,27722,407
2020-02-21$30.99$30.0028.5%8.2%20.4%2.4%27.7%2.7%-0.6%-2.3M-24.2M-156.2K0.1217.48N/AN/A1,44716945,08621,075
2020-02-24$30.13$30.0031.0%8.9%21.6%6.4%27.5%4.7%-1.1%1.2M-20.8M-149.6K1.8619.54N/AN/A32460424,63112,888
2020-02-25$29.32$30.0034.1%9.8%23.1%11.2%33.6%4.1%-1.7%925.3K-14.6M-150.3K0.2621.26N/AN/A3288624,77013,397
2020-02-26$28.80$30.0033.6%9.6%23.0%10.5%33.2%4.5%-1.6%757.0K-10.3M-142.1K0.0620.95N/AN/A2,43814724,67113,409
2020-02-27$28.34$30.0038.0%10.9%23.0%17.4%36.2%5.7%-4.2%789.7K-9.3M-144.9K0.5120.23N/AN/A1,14659026,34013,377
2020-02-28$27.05$29.0043.5%12.5%27.2%26.0%42.4%5.3%-4.8%486.1K-435.5K-136.8K1.6027.93N/AN/A24739627,41514,166