ELAN Options History — August 2020

In August 2020, ELAN traded between $23.27 and $29.22. ATM implied volatility averaged 41.4%, placing in the 20.9% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded below realized volatility by 10.6% (HV 20d: 52.0%). Max pain ranged from $22.00 to $25.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 3.85.

Notable Days

  • 2020-08-14: Highest Volume — 23,214 contracts
  • 2020-08-28: Largest IV spike — 10.5% change
  • 2020-08-11: Highest IV Rank — 24.7%
  • 2020-08-28: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.22$23.27$29.22$23.27$29.21
Max Pain$23.00$22.00$25.00$22.00$25.00
ATM IV41.4%38.7%44.0%43.0%43.4%
Expected Move11.7%11.1%12.5%12.3%12.5%
HV 20d52.0%46.0%58.9%46.0%48.7%
HV 60d48.5%47.4%50.2%48.7%47.4%
IV Rank20.9%17.1%24.7%23.3%23.9%
IV Percentile55.1%48.8%62.3%57.1%59.9%
Term Structure0.6%-2.8%3.1%-0.5%1.2%
VWIV41.1%38.6%44.0%43.2%43.5%
Skew 25d2.1%-0.8%5.3%5.3%-0.4%
Skew 10d6.5%-5.4%17.2%17.2%-0.3%
Call IV 25d40.2%37.6%43.7%43.0%43.7%
Put IV 25d42.3%39.7%48.2%48.2%43.2%
Bid-Ask Spread %25.0916.3544.7127.3330.65
Gamma HHI0.270.130.720.390.13
Net GEX1.7M-529.9K5.6M2.6M123.5K
Net DEX-44.4M-82.3M-7.6M-36.8M-24.8M
Net VEX-129.0K-174.2K-83.3K-110.2K-157.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.850.0545.310.160.66
Total Volume3,706.1926623,2143,157916
Total OI53,88142,42880,55046,00957,287

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-08-03$23.27$22.0043.0%12.3%46.0%23.3%43.2%5.3%-0.5%2.6M-36.8M-110.2K0.1627.33N/AN/A2,71843939,8516,158
2020-08-04$24.80$22.0043.0%12.3%50.5%23.3%42.7%1.5%-2.2%2.4M-52.8M-104.5K0.1317.55N/AN/A3,03940036,7256,496
2020-08-05$25.26$22.0041.4%11.9%50.6%20.9%44.0%1.8%-0.9%2.3M-57.7M-104.1K0.0821.42N/AN/A2,41818736,7696,812
2020-08-06$24.34$22.0042.3%11.8%52.8%22.3%39.8%4.5%0.6%2.4M-43.6M-99.9K0.0527.22N/AN/A2,61712235,4886,940
2020-08-07$24.26$22.0043.4%11.6%52.4%23.8%42.2%3.6%1.4%2.4M-42.8M-100.0K0.1044.71N/AN/A2802835,6187,029
2020-08-10$24.64$22.0043.6%11.6%51.6%24.1%40.0%4.5%0.4%2.5M-48.7M-91.7K1.1342.59N/AN/A23226135,6837,052
2020-08-11$25.40$22.0044.0%12.4%51.8%24.7%39.4%3.1%-2.8%2.4M-59.1M-85.4K0.1242.26N/AN/A4996135,6587,185
2020-08-12$25.01$22.0040.2%11.5%50.7%19.2%39.9%3.1%0.7%2.6M-54.4M-83.3K25.2923.14N/AN/A2315,84235,6417,208
2020-08-13$24.45$22.0039.0%11.2%51.3%17.5%38.8%2.8%1.3%2.7M-44.7M-92.5K45.3117.72N/AN/A1366,16235,70312,128
2020-08-14$25.71$22.0041.7%12.0%54.1%21.5%41.8%2.4%1.1%2.0M-62.8M-91.8K2.2226.03N/AN/A7,20416,01035,71817,163
2020-08-17$25.95$22.0041.5%11.9%53.6%21.2%42.6%3.4%1.2%1.9M-57.0M-162.3K0.4324.57N/AN/A95541439,85928,924
2020-08-18$26.01$22.0039.7%11.4%53.6%18.5%41.4%3.1%1.2%1.9M-59.0M-157.4K0.0527.37N/AN/A9264840,01429,043
2020-08-19$25.80$22.0038.7%11.1%53.5%17.1%38.6%2.1%2.1%2.0M-56.8M-152.0K0.1017.78N/AN/A1,20511640,08829,083
2020-08-20$27.62$22.0039.6%11.4%57.9%18.4%41.2%0.7%1.1%893.0K-82.3M-142.4K2.1716.35N/AN/A4,3609,47840,17329,088
2020-08-21$27.01$25.0040.6%11.7%58.9%19.9%40.3%1.3%0.5%5.6M-70.6M-174.2K0.2417.30N/AN/A65415542,23638,314
2020-08-24$27.38$25.0039.7%11.4%51.3%18.5%39.6%0.9%0.4%-529.9K-7.6M-165.7K0.4717.90N/AN/A55025916,35036,164
2020-08-25$28.89$25.0040.9%11.7%50.6%20.3%40.5%-0.8%1.4%-275.2K-18.8M-150.4K0.0819.13N/AN/A4,57535416,26836,428
2020-08-26$28.07$25.0039.6%11.3%52.7%18.4%39.7%-0.2%2.7%-298.9K-13.4M-164.1K0.4617.83N/AN/A48722618,22136,509
2020-08-27$28.31$25.0039.6%11.4%49.9%18.4%40.1%-0.1%3.1%-270.7K-15.4M-164.1K1.5621.58N/AN/A10416218,40236,735
2020-08-28$29.22$25.0043.8%12.5%49.0%24.4%43.6%1.7%-1.1%-106.6K-22.4M-156.1K0.0926.42N/AN/A2,74325718,46336,827
2020-08-31$29.21$25.0043.4%12.5%48.7%23.9%43.5%-0.4%1.2%123.5K-24.8M-157.5K0.6630.65N/AN/A55336320,40736,880