ELAN Options History — February 2021

In February 2021, ELAN traded between $28.38 and $32.84. ATM implied volatility averaged 44.5%, placing in the 22.8% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded above realized volatility by 18.8% (HV 20d: 25.7%). Max pain ranged from $29.00 to $30.00. Net GEX was positive for 5 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 2.79.

Notable Days

  • 2021-02-26: Highest Volume — 10,812 contracts
  • 2021-02-10: Largest IV spike — 21.5% change
  • 2021-02-16: Highest IV Rank — 33.5%
  • 2021-02-23: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.00$28.38$32.84$29.98$32.84
Max Pain$29.37$29.00$30.00$30.00$30.00
ATM IV44.5%36.6%52.1%43.3%45.6%
Expected Move13.2%11.5%14.9%12.4%13.1%
HV 20d25.7%23.4%28.6%24.0%28.6%
HV 60d32.3%29.2%39.5%39.5%30.0%
IV Rank22.8%12.7%33.5%22.5%15.1%
IV Percentile41.2%4.8%80.2%32.1%47.2%
Term Structure-1.4%-8.1%5.8%4.8%-2.9%
VWIV46.6%41.1%51.9%44.3%45.5%
Skew 25d-1.0%-3.5%3.2%0.8%0.0%
Skew 10d-0.3%-7.5%12.1%2.1%4.6%
Call IV 25d47.1%41.6%52.0%44.1%46.5%
Put IV 25d46.1%39.5%53.0%44.9%46.5%
Bid-Ask Spread %50.1935.7783.3062.0857.39
Gamma HHI0.190.110.300.200.12
Net GEX-978.3K-2.5M568.2K-1.0M40.5K
Net DEX1.5M-15.8M16.9M2.9M-15.8M
Net VEX-123.0K-145.3K-105.9K-137.8K-145.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.790.0622.850.540.45
Total Volume2,242.63219910,81232110,812
Total OI45,125.78930,68055,38744,74641,612

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-02-01$29.98$30.0043.3%12.4%24.0%22.5%44.3%0.8%4.8%-1.0M2.9M-137.8K0.5462.08N/AN/A20911216,99527,751
2021-02-02$29.65$30.0040.9%11.7%24.1%19.0%44.7%-3.2%5.1%-1.3M5.2M-133.9K0.1683.30N/AN/A1712817,15127,798
2021-02-03$28.92$30.0040.2%11.5%25.4%18.0%41.1%0.1%5.8%-1.7M11.7M-133.9K0.0874.08N/AN/A9918017,21027,812
2021-02-04$28.84$29.0038.3%12.8%23.4%15.1%48.3%-1.9%-1.6%-2.0M12.4M-129.7K0.0738.45N/AN/A3082217,25527,804
2021-02-05$28.38$29.0036.6%12.8%23.8%12.7%46.7%-1.1%-1.8%-2.3M16.9M-127.0K0.3235.77N/AN/A54717317,50527,803
2021-02-08$28.38$29.0038.2%13.1%23.8%15.0%46.0%-3.5%-2.7%-2.5M15.9M-122.4K1.2441.72N/AN/A38848017,91827,919
2021-02-09$29.27$29.0039.1%13.1%26.7%16.4%45.6%-1.9%-2.4%-1.7M6.1M-121.6K0.0641.67N/AN/A6223918,07128,301
2021-02-10$29.05$29.0047.5%13.6%24.8%28.7%48.2%-1.3%-2.7%-2.0M7.3M-119.8K22.8536.21N/AN/A1643,74718,31728,358
2021-02-11$29.12$29.0046.0%13.2%23.7%26.5%46.6%-1.8%-2.2%-2.3M8.8M-124.8K0.4437.31N/AN/A1627218,39832,173
2021-02-12$29.60$29.0045.6%13.1%24.3%26.0%43.9%-1.3%-1.4%-1.6M4.6M-125.3K0.6940.77N/AN/A32422518,49232,211
2021-02-16$30.38$29.0050.8%14.6%26.5%33.5%50.2%-1.5%-4.2%-153.9K-6.4M-107.4K0.2543.03N/AN/A89522218,58332,245
2021-02-17$30.13$29.0050.1%14.4%26.4%32.6%49.3%-1.7%-3.2%-199.2K-5.2M-105.9K12.5744.93N/AN/A2783,49418,99932,331
2021-02-18$30.45$29.0045.7%13.1%26.6%26.0%47.3%-3.1%0.5%113.4K-5.9M-113.4K0.2258.81N/AN/A71815519,10635,789
2021-02-19$30.10$29.0048.6%13.9%26.3%30.3%50.1%-1.5%-4.4%568.2K-4.0M-111.8K0.2341.41N/AN/A1,62137519,53635,851
2021-02-22$30.66$29.0048.4%13.9%27.1%29.5%49.9%-0.6%-2.8%14.5K-6.0M-112.6K0.3743.87N/AN/A58021514,09016,590
2021-02-23$30.89$30.0052.1%14.9%26.6%32.6%51.9%3.2%-8.1%58.7K-6.9M-112.5K4.7752.18N/AN/A1,0815,15414,17716,788
2021-02-24$31.61$30.0042.1%12.1%27.7%13.6%43.2%0.5%-1.7%-194.3K-7.2M-123.7K7.4955.94N/AN/A6825,10814,77122,063
2021-02-25$31.69$30.0045.8%13.1%27.7%19.6%43.1%0.7%-1.4%-408.6K-5.7M-128.0K0.1964.62N/AN/A1,98137514,80724,810
2021-02-26$32.84$30.0045.6%13.1%28.6%15.1%45.5%0.0%-2.9%40.5K-15.8M-145.3K0.4557.39N/AN/A7,4403,37216,47625,136