ELAN Options History — September 2020

In September 2020, ELAN traded between $26.23 and $28.85. ATM implied volatility averaged 46.0%, placing in the 27.6% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 5.3% (HV 20d: 40.7%). Max pain ranged from $23.00 to $26.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 3.36.

Notable Days

  • 2020-09-21: Highest Volume — 12,550 contracts
  • 2020-09-09: Largest IV drop — 13.3% change
  • 2020-09-08: Highest IV Rank — 38.6%
  • 2020-09-08: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.37$26.23$28.85$28.85$28.01
Max Pain$24.67$23.00$26.00$25.00$26.00
ATM IV46.0%43.4%53.5%45.1%45.4%
Expected Move13.1%12.4%14.0%12.9%13.0%
HV 20d40.7%32.7%45.6%45.3%36.5%
HV 60d44.2%43.1%46.7%46.7%44.2%
IV Rank27.6%23.9%38.6%26.3%26.8%
IV Percentile66.3%54.4%83.7%67.1%63.9%
Term Structure4.6%0.5%8.3%0.5%4.3%
VWIV46.5%41.3%61.7%41.3%46.0%
Skew 25d3.1%-0.2%5.8%-0.2%5.8%
Skew 10d7.1%2.5%19.7%3.2%9.4%
Call IV 25d44.9%42.0%48.0%45.4%43.6%
Put IV 25d47.9%44.5%50.9%45.2%49.5%
Bid-Ask Spread %33.3918.3771.9631.7033.81
Gamma HHI0.180.120.250.120.24
Net GEX-403.4K-1.2M36.6K25.0K-470.5K
Net DEX1.4M-21.4M17.9M-21.4M9.2M
Net VEX-153.5K-167.3K-143.5K-159.6K-150.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.360.0026.700.000.01
Total Volume2,515.85710112,5502,20410,913
Total OI51,73838,82262,93957,54039,889

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$28.85$25.0045.1%12.9%45.3%26.3%41.3%-0.2%0.5%25.0K-21.4M-159.6K0.0031.70N/AN/A2,201320,47737,063
2020-09-02$28.73$25.0046.4%13.3%45.3%28.3%45.8%1.5%2.1%-85.1K-18.6M-158.1K0.6771.96N/AN/A17711919,67137,064
2020-09-03$28.12$23.0048.4%13.7%43.6%31.1%49.4%2.3%1.7%-214.8K-13.9M-162.2K0.2535.62N/AN/A812019,71037,168
2020-09-04$28.05$23.0047.3%13.6%43.5%29.6%47.5%1.9%1.8%-236.5K-13.4M-159.9K0.1632.70N/AN/A2904719,68637,168
2020-09-08$28.24$23.0053.5%14.0%43.4%38.6%48.7%2.8%1.2%-129.5K-15.6M-150.3K0.8130.57N/AN/A13611019,75137,182
2020-09-09$28.45$23.0046.4%13.3%42.5%28.3%47.3%3.5%2.6%36.6K-18.6M-144.4K0.5533.20N/AN/A1106019,85937,245
2020-09-10$27.22$23.0044.8%12.8%45.6%25.9%44.0%4.5%8.3%-520.0K-7.6M-144.0K6.7545.64N/AN/A1,4639,88019,88937,254
2020-09-11$27.07$23.0043.4%12.4%44.6%23.9%43.5%2.5%6.4%-585.8K3.1M-167.3K0.3940.71N/AN/A52920820,14941,661
2020-09-14$27.63$23.0043.9%12.6%41.8%24.6%44.0%2.2%5.6%-213.5K-2.1M-162.4K1.4032.47N/AN/A7621,06420,17041,718
2020-09-15$26.60$25.0044.7%12.8%44.2%25.7%46.1%2.5%5.5%-885.7K8.8M-162.0K11.2949.36N/AN/A7128,03620,49142,448
2020-09-16$27.29$25.0046.5%13.3%45.1%28.4%47.2%2.1%5.9%-244.8K895.5K-160.5K1.9036.26N/AN/A20739420,56039,307
2020-09-17$27.21$25.0045.4%13.0%44.9%26.8%46.6%3.0%5.7%-193.1K1.4M-158.6K0.5330.69N/AN/A37119720,65939,246
2020-09-18$26.23$25.0044.9%12.9%39.8%26.1%45.1%2.3%5.6%-1.2M9.7M-150.1K2.6226.08N/AN/A11329620,91139,342
2020-09-21$26.45$25.0048.4%13.9%39.2%31.2%61.7%4.6%1.8%-602.4K17.9M-148.7K26.7018.37N/AN/A45312,09711,85533,851
2020-09-22$27.09$26.0046.9%13.5%39.9%29.0%46.7%5.3%4.1%-494.2K13.5M-152.1K0.4919.95N/AN/A1859112,17926,643
2020-09-23$26.51$26.0045.6%13.1%35.0%27.1%46.2%3.2%5.8%-516.0K16.4M-148.8K0.3718.97N/AN/A1736412,30626,714
2020-09-24$26.30$26.0045.6%13.1%33.8%27.1%45.1%4.8%5.8%-501.7K17.5M-145.9K1.5430.56N/AN/A7611712,42426,728
2020-09-25$26.74$26.0043.6%12.5%34.3%24.1%44.7%4.5%7.5%-480.5K15.0M-147.5K0.6731.90N/AN/A17411712,47226,742
2020-09-28$27.20$26.0044.6%12.8%32.7%25.7%44.1%3.8%7.4%-488.7K13.2M-145.9K1.1830.02N/AN/A14116612,55126,805
2020-09-29$26.86$26.0044.1%12.6%32.9%24.9%46.1%1.3%7.3%-485.5K14.8M-143.5K12.3320.60N/AN/A3644412,63826,852
2020-09-30$28.01$26.0045.4%13.0%36.5%26.8%46.0%5.8%4.3%-470.5K9.2M-150.8K0.0133.81N/AN/A10,81110212,63427,255