ELAN Options History — April 2020

In April 2020, ELAN traded between $20.12 and $25.06. ATM implied volatility averaged 57.0%, placing in the 43.6% IV rank vs the trailing year. The 30-day expected move averaged 16.2%. IV traded below realized volatility by 36.9% (HV 20d: 93.9%). Max pain ranged from $20.00 to $28.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 1.11.

Notable Days

  • 2020-04-09: Highest Volume — 6,269 contracts
  • 2020-04-08: Largest IV drop — 10.2% change
  • 2020-04-01: Highest IV Rank — 64.2%
  • 2020-04-01: Largest Expected Move — 20.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.31$20.12$25.06$20.21$24.79
Max Pain$22.14$20.00$28.00$28.00$24.00
ATM IV57.0%50.1%71.2%71.2%50.1%
Expected Move16.2%14.4%20.4%20.4%14.4%
HV 20d93.9%55.1%124.7%120.7%55.1%
HV 60d77.1%73.9%78.6%73.9%78.5%
IV Rank43.6%33.6%64.2%64.2%33.6%
IV Percentile88.5%82.5%96.4%96.4%82.5%
Term Structure-4.0%-7.7%-0.7%-4.8%-4.1%
VWIV57.9%48.1%81.4%69.5%50.9%
Skew 25d7.9%5.7%9.9%7.2%8.0%
Skew 10d18.2%-0.5%37.2%25.9%15.7%
Call IV 25d53.9%45.0%68.9%68.9%47.0%
Put IV 25d61.7%53.3%76.1%76.1%55.0%
Bid-Ask Spread %50.5625.5485.8385.8326.27
Gamma HHI0.180.150.290.210.16
Net GEX88.7K-204.6K253.1K-115.0K224.2K
Net DEX5.6M-951.8K16.5M14.7M323.5K
Net VEX-78.2K-100.0K-62.4K-69.9K-75.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.009.290.770.25
Total Volume530.762166,269293232
Total OI33,264.47622,42341,82941,68122,839

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-04-01$20.21$28.0071.2%20.4%120.7%64.2%69.5%7.2%-4.8%-115.0K14.7M-69.9K0.7785.83N/AN/A16612727,30414,377
2020-04-02$20.20$20.0064.4%17.3%120.0%54.3%61.8%7.9%-0.7%-151.5K15.5M-65.1K4.4758.36N/AN/A198527,35514,382
2020-04-03$20.12$20.0062.1%18.0%119.9%50.9%81.4%9.5%-4.7%-204.6K16.5M-62.4K0.4356.23N/AN/A421827,35914,423
2020-04-06$21.81$20.0058.3%16.7%123.4%45.4%0.0%9.6%-3.8%-177.1K13.3M-71.5K9.2956.54N/AN/A1321,22627,39914,430
2020-04-07$22.96$20.0062.5%15.9%124.7%51.6%60.3%6.6%-2.2%-43.3K8.9M-86.9K0.5163.52N/AN/A1316727,51114,125
2020-04-08$23.21$21.0056.1%16.1%124.3%42.4%58.4%9.1%-3.2%-19.8K8.4M-86.3K0.2246.73N/AN/A1252827,58714,185
2020-04-09$24.53$21.0055.8%16.0%121.0%41.8%58.6%6.5%-4.8%146.5K3.6M-100.0K0.0154.21N/AN/A6,2175227,59014,208
2020-04-13$23.20$21.0058.5%16.8%122.9%45.7%55.8%6.7%-6.5%20.1K7.8M-79.6K0.3756.67N/AN/A381426,44714,227
2020-04-14$23.72$21.0054.4%15.6%113.1%39.8%55.2%5.7%-2.8%113.8K6.8M-80.4K0.4466.08N/AN/A321426,44614,212
2020-04-15$22.87$21.0059.1%16.9%114.2%46.6%57.9%9.2%-7.7%-5.6K8.8M-71.8K0.3361.11N/AN/A491626,46514,197
2020-04-16$22.82$22.0054.8%15.7%78.6%40.4%56.9%7.5%-3.4%137.8K8.3M-71.1K1.7846.09N/AN/A458026,49114,132
2020-04-17$24.30$22.0055.6%15.9%77.4%41.5%57.1%6.7%-4.0%212.9K4.4M-82.2K0.7649.07N/AN/A876626,50113,467
2020-04-20$24.60$22.0056.6%16.2%77.4%43.1%54.2%9.9%-4.9%237.4K-951.8K-87.0K0.0444.01N/AN/A1,2854616,2486,175
2020-04-21$24.03$22.0057.0%16.3%76.2%43.6%58.0%9.0%-2.4%203.5K191.7K-81.4K0.1350.71N/AN/A2993916,3856,220
2020-04-22$24.14$23.0058.0%16.6%72.6%45.0%59.0%8.6%-3.9%208.7K-89.2K-82.2K0.4535.64N/AN/A11516,3236,259
2020-04-23$23.90$23.0055.9%16.0%68.4%42.0%54.6%8.8%-3.7%196.4K496.8K-78.6K0.0057.06N/AN/A22016,3346,265
2020-04-24$23.94$23.0054.5%15.6%65.0%39.9%56.3%6.8%-3.5%191.3K855.1K-76.6K0.5942.22N/AN/A171016,3336,265
2020-04-27$24.81$23.0050.2%14.4%65.5%33.7%52.8%7.5%-2.6%236.7K-314.9K-81.1K1.4336.77N/AN/A405716,3346,275
2020-04-28$24.26$24.0051.5%14.8%65.5%35.7%50.2%6.2%-4.7%196.9K1.0M-73.5K0.4043.03N/AN/A853416,3936,303
2020-04-29$25.06$24.0050.1%14.4%65.8%33.7%48.1%8.3%-6.0%253.1K-541.9K-80.1K0.5725.54N/AN/A563216,4446,339
2020-04-30$24.79$24.0050.1%14.4%55.1%33.6%50.9%8.0%-4.1%224.2K323.5K-75.4K0.2526.27N/AN/A1864616,4686,371