ELAN Options History — October 2020

In October 2020, ELAN traded between $27.41 and $33.89. ATM implied volatility averaged 50.5%, placing in the 34.2% IV rank vs the trailing year. The 30-day expected move averaged 14.7%. IV traded below realized volatility by 2.7% (HV 20d: 53.2%). Max pain ranged from $26.00 to $32.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 3.86.

Notable Days

  • 2020-10-07: Highest Volume — 34,550 contracts
  • 2020-10-07: Largest IV spike — 13.5% change
  • 2020-10-30: Highest IV Rank — 49.0%
  • 2020-10-30: Largest Expected Move — 17.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.99$27.41$33.89$27.41$30.79
Max Pain$30.32$26.00$32.00$26.00$32.00
ATM IV50.5%44.8%60.7%46.5%60.7%
Expected Move14.7%13.3%17.4%13.3%17.4%
HV 20d53.2%36.8%59.0%37.2%57.3%
HV 60d48.5%43.9%51.7%44.5%46.2%
IV Rank34.2%25.9%49.0%28.4%49.0%
IV Percentile77.5%58.7%92.1%68.7%92.1%
Term Structure-2.8%-9.1%6.1%5.7%-9.1%
VWIV51.7%46.4%60.1%46.9%60.1%
Skew 25d1.9%-0.5%5.3%1.7%3.3%
Skew 10d3.7%-0.2%10.1%1.5%3.8%
Call IV 25d50.9%46.6%57.8%46.7%57.8%
Put IV 25d52.9%48.4%61.1%48.4%61.1%
Bid-Ask Spread %30.7316.9050.8416.9050.84
Gamma HHI0.330.190.480.220.38
Net GEX-1.1M-2.2M-177.6K-347.0K-1.8M
Net DEX400.1K-31.8M20.0M10.8M20.0M
Net VEX-154.1K-173.5K-139.3K-149.9K-165.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.860.0518.680.070.30
Total Volume4,232.45520734,550375379
Total OI47,177.54537,29961,13441,33848,502

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-10-01$27.41$26.0046.5%13.3%37.2%28.4%46.9%1.7%5.7%-347.0K10.8M-149.9K0.0716.90N/AN/A3512414,02427,314
2020-10-02$27.74$26.0046.3%13.3%36.8%28.1%46.4%2.1%6.1%-341.0K8.7M-149.3K0.5920.05N/AN/A1478713,93727,322
2020-10-05$28.20$30.0044.8%14.8%37.3%25.9%49.7%5.3%-2.9%-329.5K6.7M-147.4K0.1931.89N/AN/A75714713,96627,395
2020-10-06$28.29$30.0045.9%14.7%37.2%27.5%51.7%4.0%-1.8%-301.4K5.5M-147.5K0.8038.31N/AN/A22517914,44727,469
2020-10-07$32.18$30.0052.1%15.2%59.0%36.4%53.9%0.9%-3.5%-177.6K-18.5M-139.3K2.4435.60N/AN/A10,04524,50514,43927,617
2020-10-08$32.16$30.0048.0%14.8%56.0%30.5%51.5%1.4%-2.6%-505.9K-16.1M-161.4K0.4428.60N/AN/A2,5491,11318,29134,500
2020-10-09$33.26$30.0046.7%14.4%56.5%28.6%50.7%2.3%-2.6%-396.7K-27.4M-155.2K5.1921.96N/AN/A1,3486,99819,17335,248
2020-10-12$33.89$30.0050.9%14.6%56.4%34.8%51.8%2.7%-1.8%-759.1K-31.8M-144.2K0.4833.71N/AN/A59528819,20538,580
2020-10-13$33.00$30.0050.2%14.3%55.3%33.7%51.5%1.2%-3.0%-1.2M-23.1M-148.5K14.6031.02N/AN/A97314,20619,07539,001
2020-10-14$31.88$31.0049.9%14.3%57.2%33.3%50.2%1.1%-1.9%-1.9M-5.8M-157.2K9.0717.47N/AN/A3232,93019,15339,576
2020-10-15$31.81$31.0049.7%14.2%57.2%33.0%50.6%1.1%-1.6%-2.2M-2.4M-161.9K1.5430.43N/AN/A30647219,23641,898
2020-10-16$31.69$31.0049.1%14.1%54.9%32.2%49.0%0.3%-2.8%-2.0M2.2M-156.4K5.4731.09N/AN/A3852,10719,31341,536
2020-10-19$30.89$31.0049.9%14.3%56.3%33.3%49.9%2.5%-3.6%-1.1M9.4M-148.3K0.2535.38N/AN/A1,49437511,42125,878
2020-10-20$31.16$31.0050.8%14.6%56.0%34.6%50.5%0.8%-3.6%-1.1M6.2M-150.7K10.2435.28N/AN/A4945,05812,42826,006
2020-10-21$30.27$31.0050.9%14.6%56.6%34.8%50.6%0.2%-3.8%-1.3M13.8M-157.7K0.0531.93N/AN/A7163612,79727,839
2020-10-22$31.22$31.0049.9%14.3%56.9%33.3%50.0%2.2%-3.2%-1.2M6.0M-157.5K0.1431.19N/AN/A6048713,04227,854
2020-10-23$31.34$31.0051.0%14.6%56.9%34.8%51.6%1.6%-4.2%-1.2M4.6M-156.4K13.2131.24N/AN/A1261,66413,29727,936
2020-10-26$30.72$31.0052.2%15.0%57.6%36.7%52.6%2.4%-4.5%-1.3M10.3M-155.5K0.7532.06N/AN/A21716213,35328,938
2020-10-27$31.55$31.0053.9%15.5%57.6%39.1%54.3%2.0%-5.4%-1.2M4.1M-153.3K0.1320.64N/AN/A1842313,46329,549
2020-10-28$30.88$31.0054.8%15.7%57.0%40.4%55.2%-0.5%-5.0%-1.4M9.5M-153.6K18.6830.60N/AN/A5079,47213,50729,557
2020-10-29$31.51$32.0056.6%16.2%56.4%43.1%57.9%4.4%-6.8%-1.9M16.2M-173.5K0.2739.81N/AN/A3589813,54037,284
2020-10-30$30.79$32.0060.7%17.4%57.3%49.0%60.1%3.3%-9.1%-1.8M20.0M-165.8K0.3050.84N/AN/A2928713,71934,783