ELAN Options History — December 2020

In December 2020, ELAN traded between $28.62 and $30.80. ATM implied volatility averaged 43.9%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 2.4% (HV 20d: 41.5%). Max pain ranged from $27.00 to $31.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 2.74.

Notable Days

  • 2020-12-01: Highest Volume — 32,737 contracts
  • 2020-12-15: Largest IV drop — 20.2% change
  • 2020-12-08: Highest IV Rank — 35.8%
  • 2020-12-14: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.81$28.62$30.80$29.44$30.77
Max Pain$27.82$27.00$31.00$31.00$28.00
ATM IV43.9%39.2%51.7%47.6%39.2%
Expected Move12.4%11.2%14.8%13.7%11.2%
HV 20d41.5%34.6%55.0%54.5%35.2%
HV 60d49.9%48.4%50.7%50.2%49.8%
IV Rank24.4%17.5%35.8%29.9%17.5%
IV Percentile42.2%17.5%79.0%66.3%17.5%
Term Structure1.9%-3.6%7.5%-3.6%3.8%
VWIV43.6%39.0%51.0%47.5%39.0%
Skew 25d1.3%-1.5%4.9%2.4%0.6%
Skew 10d1.5%-4.9%5.3%2.0%-3.3%
Call IV 25d43.1%39.0%50.5%46.6%39.0%
Put IV 25d44.4%39.5%52.6%49.0%39.5%
Bid-Ask Spread %23.4212.9836.4019.3012.98
Gamma HHI0.190.140.530.240.17
Net GEX-8.4K-1.9M5.0M-1.4M663.8K
Net DEX-7.8M-53.5M22.1M14.2M-22.1M
Net VEX-181.4K-225.4K-132.3K-132.3K-152.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.740.0534.832.7634.83
Total Volume7,464.8189032,73732,7373,583
Total OI67,540.72745,641100,47245,64151,348

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$29.44$31.0047.6%13.7%54.5%29.9%47.5%2.4%-3.6%-1.4M14.2M-132.3K2.7619.30N/AN/A8,71424,02317,58528,056
2020-12-02$29.91$30.0046.4%13.3%54.8%28.1%46.9%4.9%-1.5%-1.3M3.9M-160.9K4.7620.67N/AN/A2,55112,14822,31131,770
2020-12-03$29.21$27.0048.7%12.8%55.0%31.4%45.2%-0.0%1.2%-1.1M7.7M-156.7K0.8330.04N/AN/A5,3594,46224,23229,425
2020-12-04$29.33$27.0047.9%13.0%53.5%30.3%45.8%2.2%0.8%-1.1M6.1M-171.2K1.3727.87N/AN/A1,7312,36927,76432,397
2020-12-07$29.31$27.0049.7%13.3%41.3%32.8%46.5%0.6%1.3%-1.2M5.1M-166.6K2.3325.15N/AN/A3,5068,17428,98333,896
2020-12-08$29.74$27.0051.7%13.2%35.8%35.8%46.7%1.7%1.4%-954.7K-1.4M-198.6K1.0419.04N/AN/A2,1972,29431,76137,184
2020-12-09$28.87$27.0045.3%13.0%37.1%26.5%45.6%2.1%0.7%-1.6M15.5M-208.7K1.0222.16N/AN/A6,0246,12333,66139,358
2020-12-10$28.87$27.0046.4%13.3%34.6%28.0%45.2%4.0%0.4%-1.7M16.2M-225.4K0.1021.92N/AN/A2,52125438,04544,601
2020-12-11$28.62$27.0045.1%12.9%34.7%26.2%48.2%2.1%1.5%-1.9M22.1M-218.3K1.8219.89N/AN/A2,1453,89738,82644,719
2020-12-14$28.74$27.0051.5%14.8%34.6%35.5%51.0%2.1%-2.2%-1.3M16.1M-222.8K0.2231.85N/AN/A12,6572,77540,41748,337
2020-12-15$30.80$27.0041.1%11.8%42.9%20.4%42.6%0.2%4.3%1.9M-53.5M-212.7K0.7836.40N/AN/A10,8218,41247,88949,403
2020-12-16$29.99$28.0041.2%11.8%43.7%20.5%41.6%-0.2%3.3%460.8K-23.1M-203.1K2.0334.84N/AN/A3,3786,85545,33752,988
2020-12-17$30.48$28.0041.8%12.0%42.1%21.4%42.0%1.8%1.3%3.0M-46.5M-193.5K0.2931.44N/AN/A1,62147845,53254,940
2020-12-18$29.84$28.0040.4%11.6%42.9%19.4%41.7%-0.5%2.0%5.0M-13.6M-185.6K0.3929.85N/AN/A3,3291,30945,44854,941
2020-12-21$29.52$28.0040.2%11.5%43.1%19.1%41.2%1.0%7.5%-132.8K-8.6M-179.0K0.4524.66N/AN/A68030624,14127,514
2020-12-22$30.30$28.0041.2%11.8%38.8%20.5%40.1%3.1%3.2%218.3K-16.0M-176.7K0.0513.44N/AN/A3521824,40127,270
2020-12-23$30.49$28.0039.5%11.3%38.6%17.9%40.4%1.0%4.2%361.4K-18.9M-172.2K1.1922.84N/AN/A76891424,46627,277
2020-12-24$30.46$28.0039.4%11.3%38.5%17.9%39.1%0.8%4.0%367.4K-18.3M-175.1K0.1014.64N/AN/A82824,97628,074
2020-12-28$30.61$28.0040.3%11.6%38.3%19.1%40.9%0.8%2.4%557.8K-21.1M-161.9K1.9319.76N/AN/A42682224,97627,476
2020-12-29$30.40$28.0040.8%11.7%37.8%19.9%42.6%-0.0%3.0%461.5K-18.4M-161.8K1.2419.73N/AN/A2,6913,33125,15327,677
2020-12-30$30.15$28.0040.7%11.7%34.9%19.6%40.3%-1.5%3.1%246.5K-16.2M-156.6K0.7916.72N/AN/A665224,09127,250
2020-12-31$30.77$28.0039.2%11.2%35.2%17.5%39.0%0.6%3.8%663.8K-22.1M-152.1K34.8312.98N/AN/A1003,48324,08327,265