ELAN Options History — March 2020

In March 2020, ELAN traded between $16.01 and $27.47. ATM implied volatility averaged 67.3%, placing in the 60.2% IV rank vs the trailing year. The 30-day expected move averaged 18.8%. IV traded below realized volatility by 2.0% (HV 20d: 69.3%). Max pain ranged from $28.00 to $29.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 1.08.

Notable Days

  • 2020-03-06: Highest Volume — 3,911 contracts
  • 2020-03-06: Largest IV spike — 37.3% change
  • 2020-03-16: Highest IV Rank — 100.0%
  • 2020-03-18: Largest Expected Move — 27.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.90$16.01$27.47$27.47$22.16
Max Pain$28.77$28.00$29.00$29.00$28.00
ATM IV67.3%37.7%95.9%41.1%64.3%
Expected Move18.8%10.8%27.5%11.8%18.4%
HV 20d69.3%25.6%117.3%27.2%117.3%
HV 60d49.2%28.3%71.7%28.3%71.7%
IV Rank60.2%17.0%100.0%22.3%54.2%
IV Percentile96.1%76.6%100.0%91.7%93.3%
Term Structure-8.9%-28.5%0.6%-4.2%-7.0%
VWIV63.5%34.6%95.6%34.6%61.5%
Skew 25d8.3%-1.6%22.0%5.3%5.8%
Skew 10d23.3%1.0%46.2%19.5%27.2%
Call IV 25d61.4%36.2%94.2%37.4%60.6%
Put IV 25d69.7%40.8%100.0%42.7%66.5%
Bid-Ask Spread %66.0921.3393.1721.3389.77
Gamma HHI0.170.150.210.160.21
Net GEX100.2K-122.5K631.6K602.9K-76.1K
Net DEX11.2M-3.1M19.1M-3.1M10.5M
Net VEX-94.8K-146.4K-46.5K-139.6K-87.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.016.110.010.47
Total Volume937.636973,9113,095173
Total OI45,699.31841,56750,26541,89941,597

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-03-02$27.47$29.0041.1%11.8%27.2%22.3%34.6%5.3%-4.2%602.9K-3.1M-139.6K0.0121.33N/AN/A3,0643127,57114,328
2020-03-03$27.19$29.0042.3%12.1%26.3%24.1%39.5%7.6%-4.8%610.0K-2.0M-146.4K0.6726.65N/AN/A644330,60114,349
2020-03-04$27.27$29.0037.7%10.8%25.6%17.0%36.8%4.5%-1.3%631.6K-2.5M-144.7K0.2921.94N/AN/A1343930,61814,360
2020-03-05$25.93$29.0048.2%12.2%29.5%33.4%37.4%4.3%-7.4%340.0K3.9M-129.8K0.0328.62N/AN/A2,6367530,60314,402
2020-03-06$25.25$29.0066.2%14.4%29.9%61.6%40.2%6.1%-10.4%241.7K6.0M-128.4K0.1035.14N/AN/A3,55935231,17314,413
2020-03-09$24.06$29.0070.5%17.4%32.5%68.3%56.8%8.2%-15.6%147.1K10.2M-115.2K0.2677.92N/AN/A1,15730332,91014,534
2020-03-10$24.50$29.0059.8%15.2%34.0%51.5%51.2%8.1%-9.5%189.9K8.5M-123.4K0.7656.27N/AN/A554233,94314,708
2020-03-11$23.66$29.0056.0%16.1%34.2%45.6%48.4%6.4%-10.8%86.9K11.3M-113.3K0.0936.54N/AN/A1611433,95814,689
2020-03-12$21.61$29.0071.7%20.6%43.5%70.3%71.8%8.2%-21.2%-36215.3M-92.2K0.8379.25N/AN/A14512033,91714,680
2020-03-13$22.06$29.0077.8%22.3%45.6%79.8%75.6%9.1%-11.7%46.3K12.7M-102.9K1.5379.26N/AN/A6671,02134,03114,655
2020-03-16$19.44$29.0094.5%27.1%59.6%100.0%89.5%13.4%-28.5%-8.0K16.2M-79.3K0.3564.66N/AN/A55519634,11814,795
2020-03-17$19.86$29.0072.3%20.7%61.6%67.1%83.7%7.9%-10.1%-50.0K16.9M-79.7K6.1175.09N/AN/A2817134,64614,851
2020-03-18$16.01$29.0095.9%27.5%92.2%100.0%95.6%5.8%-23.3%-22.8K18.1M-46.5K5.3282.88N/AN/A14778234,67114,904
2020-03-19$17.28$29.0085.5%24.5%99.3%84.9%82.0%22.0%-11.3%-54.1K18.9M-57.2K0.3682.67N/AN/A2218034,71615,542
2020-03-20$17.55$29.0073.5%21.1%98.5%67.4%87.9%12.7%-10.5%-61.3K19.1M-55.9K2.3587.51N/AN/A20748734,70915,556
2020-03-23$16.89$29.0079.9%22.9%98.6%76.7%66.0%8.3%-2.7%-66.8K18.3M-47.2K0.0273.54N/AN/A2,4954927,25514,990
2020-03-24$18.31$29.0067.5%19.3%106.0%58.8%69.3%11.4%-0.5%-122.5K19.1M-52.2K1.2479.76N/AN/A809927,13714,933
2020-03-25$19.86$28.0069.5%19.9%112.3%61.7%66.4%-1.6%0.6%-100.2K14.9M-74.3K0.8993.17N/AN/A897927,18514,382
2020-03-26$21.22$28.0070.6%20.2%116.3%63.3%68.8%8.2%-3.8%-82.1K13.2M-84.0K0.3184.87N/AN/A2016227,22314,380
2020-03-27$21.79$28.0070.3%20.2%116.5%62.9%62.4%12.0%0.1%-39.0K11.3M-91.1K0.0388.21N/AN/A5521427,35414,397
2020-03-30$22.53$28.0064.5%18.5%117.2%54.4%72.0%7.9%-0.7%-9.1K9.3M-96.1K1.6788.98N/AN/A6711227,20814,393
2020-03-31$22.16$28.0064.3%18.4%117.3%54.2%61.5%5.8%-7.0%-76.1K10.5M-87.0K0.4789.77N/AN/A1185527,24114,356