ELAN Options History — November 2020

In November 2020, ELAN traded between $29.45 and $32.66. ATM implied volatility averaged 44.7%, placing in the 25.7% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded below realized volatility by 7.1% (HV 20d: 51.8%). Max pain ranged from $30.00 to $32.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 7.17.

Notable Days

  • 2020-11-23: Highest Volume — 20,882 contracts
  • 2020-11-06: Largest IV drop — 20.5% change
  • 2020-11-02: Highest IV Rank — 46.8%
  • 2020-11-02: Largest Expected Move — 17.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.74$29.45$32.66$31.65$30.65
Max Pain$30.80$30.00$32.00$32.00$31.00
ATM IV44.7%39.1%59.2%59.2%46.9%
Expected Move12.6%11.0%17.0%17.0%13.4%
HV 20d51.8%35.5%58.1%57.8%53.7%
HV 60d49.1%46.2%51.6%46.4%49.4%
IV Rank25.7%17.7%46.8%46.8%28.8%
IV Percentile47.5%28.2%91.3%91.3%62.7%
Term Structure-1.0%-9.5%3.1%-9.5%-1.6%
VWIV44.5%38.6%59.7%59.7%47.6%
Skew 25d1.7%-0.4%3.6%0.9%3.0%
Skew 10d3.3%-0.2%6.8%6.0%6.4%
Call IV 25d43.4%38.6%59.5%59.5%45.8%
Put IV 25d45.1%40.3%60.4%60.4%48.7%
Bid-Ask Spread %43.1421.9263.9250.2421.92
Gamma HHI0.370.190.730.370.22
Net GEX-2.1M-4.3M-384.0K-1.8M-962.1K
Net DEX13.4M-10.3M56.9M10.5M215.7K
Net VEX-126.3K-156.0K-98.9K-153.2K-133.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.170.0546.2346.231.78
Total Volume4,310.2521920,8827,1321,201
Total OI48,798.0540,79166,64748,48144,871

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$31.65$32.0059.2%17.0%57.8%46.8%59.7%0.9%-9.5%-1.8M10.5M-153.2K46.2350.24N/AN/A1516,98113,72834,753
2020-11-03$31.26$32.0057.2%16.4%58.1%43.8%57.4%0.6%-8.3%-2.0M14.3M-150.7K0.3052.32N/AN/A51515213,72834,753
2020-11-04$31.63$32.0053.8%15.4%35.5%38.9%54.9%0.6%-8.4%-1.5M4.3M-132.6K27.1457.98N/AN/A1183,20313,93329,313
2020-11-05$32.66$32.0052.0%13.2%37.4%36.4%44.7%2.1%-1.6%-1.4M-4.8M-127.0K0.1440.33N/AN/A6669013,96032,250
2020-11-06$29.66$32.0041.3%11.7%48.9%20.9%40.7%2.1%1.0%-2.5M29.8M-123.2K3.4851.92N/AN/A1,1073,85714,26832,278
2020-11-09$31.40$31.0043.2%11.0%53.1%23.6%38.6%2.3%3.1%-2.1M4.1M-118.6K0.2663.92N/AN/A50512914,59430,620
2020-11-10$31.21$31.0043.6%11.4%52.5%24.2%45.4%3.6%0.8%-2.3M6.9M-115.5K0.5543.56N/AN/A1,30872014,61930,768
2020-11-11$29.99$30.0040.0%11.5%52.9%19.0%40.3%1.5%1.1%-2.7M22.3M-118.5K0.4729.38N/AN/A47922515,83231,124
2020-11-12$29.89$30.0039.3%11.3%52.9%17.9%40.1%1.5%1.4%-2.7M23.2M-117.2K0.4851.60N/AN/A1487116,11131,246
2020-11-13$30.02$30.0041.8%12.0%53.0%21.6%41.5%2.3%0.0%-3.0M22.1M-113.6K0.9244.05N/AN/A2,1011,93016,16131,256
2020-11-16$30.13$30.0041.8%12.0%52.3%21.6%42.0%0.9%0.3%-3.3M21.9M-113.2K0.7959.04N/AN/A30023717,73733,036
2020-11-17$30.55$30.0040.9%11.7%52.5%20.3%41.4%1.5%1.9%-3.7M14.1M-109.4K0.0536.96N/AN/A8,60941117,81233,185
2020-11-18$29.48$30.0041.4%11.9%53.0%21.0%41.0%1.3%0.4%-3.2M36.2M-103.0K1.1247.64N/AN/A1,0541,18520,05233,421
2020-11-19$29.54$30.0039.1%11.2%51.7%17.7%40.0%0.7%2.9%-4.3M36.5M-98.9K20.7339.55N/AN/A63513,16220,34333,206
2020-11-20$29.45$30.0041.4%11.9%51.6%21.0%41.9%-0.4%-0.2%-2.1M56.9M-128.8K0.4842.25N/AN/A3,7761,79420,58146,066
2020-11-23$31.19$30.0041.9%12.0%55.4%21.7%42.9%1.4%-0.2%-384.0K-10.3M-127.1K10.8431.71N/AN/A1,76319,11916,88223,909
2020-11-24$31.52$31.0042.3%12.1%54.7%22.2%42.8%1.4%0.1%-1.2M-6.0M-156.0K3.2135.00N/AN/A1,2203,92217,35138,432
2020-11-25$31.70$31.0042.1%12.1%54.1%21.9%42.4%3.5%-1.2%-743.2K-9.0M-143.7K0.2928.44N/AN/A2306617,41829,456
2020-11-27$31.25$31.0044.6%12.8%53.9%25.5%45.8%2.9%-1.9%-911.9K-4.9M-142.9K24.1234.95N/AN/A1222,94317,44129,467
2020-11-30$30.65$31.0046.9%13.4%53.7%28.8%47.6%3.0%-1.6%-962.1K215.7K-133.5K1.7821.92N/AN/A43276917,46127,410