ELAN Options History — January 2021

In January 2021, ELAN traded between $29.04 and $32.19. ATM implied volatility averaged 43.3%, placing in the 22.8% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 16.3% (HV 20d: 26.9%). Max pain ranged from $28.00 to $30.00. Net GEX was positive for 9 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 1.38.

Notable Days

  • 2021-01-19: Highest Volume — 5,224 contracts
  • 2021-01-11: Largest IV spike — 20.5% change
  • 2021-01-11: Highest IV Rank — 29.8%
  • 2021-01-25: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.79$29.04$32.19$30.51$29.04
Max Pain$29.37$28.00$30.00$28.00$30.00
ATM IV43.3%39.5%47.7%43.1%41.8%
Expected Move12.5%11.5%13.5%12.5%12.0%
HV 20d26.9%20.1%34.9%34.1%22.2%
HV 60d40.6%38.9%42.1%42.1%38.9%
IV Rank22.8%18.0%29.8%23.1%20.4%
IV Percentile36.0%16.3%64.3%34.9%24.2%
Term Structure-0.8%-3.9%4.6%-1.7%4.6%
VWIV44.5%42.6%49.3%44.7%44.2%
Skew 25d0.2%-2.8%2.3%1.3%-2.8%
Skew 10d2.0%-3.4%17.0%3.2%-3.4%
Call IV 25d44.2%41.9%46.8%44.0%45.3%
Put IV 25d44.4%42.1%46.0%45.3%42.5%
Bid-Ask Spread %30.4321.9037.4421.9034.80
Gamma HHI0.230.130.480.190.24
Net GEX243.8K-1.4M2.5M710.3K-1.4M
Net DEX-13.2M-36.7M10.4M-19.7M10.4M
Net VEX-142.6K-157.9K-133.2K-157.9K-146.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.016.940.060.31
Total Volume1,828.6841245,2242,271545
Total OI48,742.68433,67759,78759,75444,759

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-01-04$30.51$28.0043.1%12.5%34.1%23.1%44.7%1.3%-1.7%710.3K-19.7M-157.9K0.0621.90N/AN/A2,13613526,59233,162
2021-01-05$30.63$28.0043.6%12.6%34.1%24.0%42.9%2.3%-1.8%548.1K-19.2M-151.2K0.1727.77N/AN/A1061824,10730,806
2021-01-06$31.36$28.0040.8%12.6%34.9%19.8%43.8%1.7%-1.3%992.1K-27.0M-145.9K0.0726.76N/AN/A7505024,17230,820
2021-01-07$31.22$29.0041.0%12.3%34.8%20.2%43.3%0.3%-2.0%1.1M-27.3M-146.5K0.5225.45N/AN/A35518424,72330,827
2021-01-08$31.24$29.0039.5%12.5%32.7%18.0%44.1%0.9%-1.7%1.3M-27.1M-142.2K2.7127.01N/AN/A1,2753,45224,58230,877
2021-01-11$31.46$29.0047.7%12.7%32.7%29.8%44.6%0.4%-1.4%1.6M-28.8M-147.4K1.1729.13N/AN/A12514625,57134,158
2021-01-12$32.19$29.0042.4%12.7%32.9%21.2%44.5%0.6%-1.7%1.7M-36.7M-139.5K0.0837.44N/AN/A8346724,58634,288
2021-01-13$31.38$29.0044.0%12.6%34.8%23.5%43.8%-0.8%-2.0%1.8M-28.5M-136.1K0.2328.07N/AN/A66115324,50434,324
2021-01-14$31.68$29.0043.4%12.5%25.1%22.7%43.4%-0.3%-1.6%2.5M-32.1M-135.3K1.7831.66N/AN/A31155524,95034,420
2021-01-15$31.54$30.0042.8%12.3%23.0%21.8%44.2%0.4%-0.2%-84.8K-26.4M-133.2K2.6626.30N/AN/A1,0782,86524,95434,833
2021-01-19$31.24$30.0044.5%12.8%22.7%24.3%43.5%0.8%-3.2%-259.9K-6.0M-135.4K1.5327.41N/AN/A2,0653,15913,78919,888
2021-01-20$30.97$30.0043.7%12.5%21.5%23.2%43.8%0.9%-1.6%-543.8K-2.1M-141.6K3.3532.76N/AN/A12441613,59223,016
2021-01-21$30.45$30.0044.1%12.7%22.1%23.8%44.4%0.0%-2.0%-684.4K1.2M-142.0K3.1431.86N/AN/A16250813,64423,321
2021-01-22$30.49$30.0043.6%12.5%20.1%23.0%44.0%-0.4%-1.6%-657.6K430.1K-140.4K0.8628.46N/AN/A837113,72523,092
2021-01-25$30.02$30.0047.1%13.5%20.7%28.1%46.8%0.6%-3.9%-792.1K4.1M-138.1K0.5635.35N/AN/A40022213,75723,140
2021-01-26$30.06$30.0040.2%11.5%20.7%18.0%42.6%0.1%2.5%-841.6K2.5M-134.9K6.9433.79N/AN/A6284,35714,02123,257
2021-01-27$30.11$30.0045.2%13.0%20.6%25.3%47.0%-2.7%1.6%-1.1M3.5M-144.9K0.0236.11N/AN/A4,1388414,44227,571
2021-01-28$29.49$30.0043.1%12.3%21.8%22.2%49.3%-0.6%3.9%-1.2M7.9M-149.2K0.0136.09N/AN/A2,4982916,21327,628
2021-01-29$29.04$30.0041.8%12.0%22.2%20.4%44.2%-2.8%4.6%-1.4M10.4M-146.7K0.3134.80N/AN/A41712817,11527,644