ELAN Options History — May 2020

In May 2020, ELAN traded between $18.91 and $24.15. ATM implied volatility averaged 48.4%, placing in the 31.2% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded below realized volatility by 16.6% (HV 20d: 65.0%). Max pain ranged from $19.00 to $24.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.89.

Notable Days

  • 2020-05-20: Highest Volume — 15,721 contracts
  • 2020-05-13: Largest IV drop — 14.6% change
  • 2020-05-04: Highest IV Rank — 43.8%
  • 2020-05-01: Largest Expected Move — 15.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.67$18.91$24.15$23.99$21.38
Max Pain$20.45$19.00$24.00$24.00$19.00
ATM IV48.4%43.1%57.2%54.7%43.1%
Expected Move13.1%12.3%15.7%15.7%12.4%
HV 20d65.0%50.4%72.8%57.1%71.7%
HV 60d84.2%78.7%87.2%78.7%87.2%
IV Rank31.2%23.5%43.8%40.2%23.5%
IV Percentile79.0%71.4%88.5%85.3%71.4%
Term Structure-0.4%-6.8%2.1%-6.8%0.2%
VWIV45.3%36.9%55.2%55.2%43.2%
Skew 25d6.7%4.9%9.3%9.0%5.8%
Skew 10d16.9%-2.9%30.5%27.9%16.2%
Call IV 25d43.2%40.0%51.0%51.0%40.9%
Put IV 25d49.9%45.2%60.0%60.0%46.7%
Bid-Ask Spread %26.8118.3548.6622.4020.72
Gamma HHI0.200.090.440.150.31
Net GEX122.4K-14.4K490.8K173.4K308.2K
Net DEX4.0M-4.5M7.8M1.7M-2.0M
Net VEX-54.0K-86.5K-31.6K-70.2K-69.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.055.880.140.14
Total Volume2,122.457215,72172304
Total OI28,918.8522,83343,49823,06034,305

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-05-01$23.99$24.0054.7%15.7%57.1%40.2%55.2%9.0%-6.8%173.4K1.7M-70.2K0.1422.40N/AN/A63916,6436,417
2020-05-04$23.93$24.0057.2%13.9%57.1%43.8%47.1%7.6%-0.4%174.9K1.7M-69.2K0.0523.14N/AN/A3381716,6756,423
2020-05-05$24.15$24.0055.6%13.7%50.4%41.6%49.1%5.5%-0.0%187.7K1.1M-70.0K0.0723.47N/AN/A96716,3936,440
2020-05-06$22.97$23.0056.4%14.0%50.9%42.7%53.8%9.3%-0.7%92.8K4.0M-56.3K0.9526.84N/AN/A12411816,4686,445
2020-05-07$19.97$23.0050.8%13.1%70.9%34.6%42.8%5.9%-1.6%-14.4K7.8M-31.6K0.1921.64N/AN/A1,92736416,5616,546
2020-05-08$19.87$21.0045.1%12.3%66.9%26.3%36.9%6.3%1.1%22.4K7.2M-32.8K3.4932.63N/AN/A17761717,7516,556
2020-05-11$20.88$21.0051.1%12.3%67.9%35.1%42.9%6.5%1.6%42.3K6.4M-41.2K0.1326.04N/AN/A99312917,8537,109
2020-05-12$20.05$21.0056.7%12.6%68.2%43.2%45.6%8.3%2.1%29.0K6.9M-40.3K0.1132.99N/AN/A4725418,5147,179
2020-05-13$19.12$19.0048.4%13.9%68.9%31.2%48.6%6.5%-0.9%21.6K7.2M-37.2K0.1331.47N/AN/A1,80224018,8657,165
2020-05-14$19.28$19.0049.3%14.1%69.1%32.5%49.3%6.3%-1.6%33.9K7.1M-36.8K5.8821.08N/AN/A8851718,5567,239
2020-05-15$19.10$19.0046.7%13.4%63.8%28.7%40.4%7.1%0.6%14.9K7.8M-36.0K0.8518.35N/AN/A13211218,6117,749
2020-05-18$19.80$19.0045.1%12.9%65.5%26.3%44.3%7.3%-1.4%10.9K5.5M-38.0K0.1820.80N/AN/A1763218,0066,741
2020-05-19$19.46$19.0045.5%13.1%65.4%27.0%44.1%7.0%0.9%6.5K5.7M-36.9K0.1829.11N/AN/A2063718,1386,757
2020-05-20$19.55$19.0043.5%12.5%65.4%24.0%44.0%7.7%0.2%10.4K5.6M-37.0K0.4722.37N/AN/A10,6925,02918,2596,777
2020-05-21$18.91$19.0044.5%12.8%65.9%25.5%43.4%6.3%0.3%172.3K5.2M-76.2K0.5648.66N/AN/A24113630,81712,681
2020-05-22$18.93$19.0044.7%12.8%65.9%25.8%44.9%4.9%-0.3%139.7K5.4M-69.5K3.2020.66N/AN/A16853728,99011,764
2020-05-26$19.55$19.0043.6%12.5%65.6%24.2%43.7%5.7%0.2%223.8K3.1M-76.1K0.3426.21N/AN/A40613929,04712,267
2020-05-27$21.15$19.0043.7%12.5%72.8%24.3%42.7%5.9%-0.5%490.8K-4.5M-86.5K0.5235.14N/AN/A10,0235,17929,18912,333
2020-05-28$21.40$19.0043.1%12.4%71.7%23.5%43.6%5.2%-0.8%307.7K-2.4M-68.9K0.1832.41N/AN/A63611224,2409,908
2020-05-29$21.38$19.0043.1%12.4%71.7%23.5%43.2%5.8%0.2%308.2K-2.0M-69.0K0.1420.72N/AN/A2663824,3379,968