ELAN Options History — March 2021

In March 2021, ELAN traded between $27.70 and $34.36. ATM implied volatility averaged 40.0%, placing in the 8.0% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 1.9% (HV 20d: 38.1%). Max pain ranged from $30.00 to $31.00. Net GEX was positive for 13 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 3.26.

Notable Days

2021-03-26: Highest Volume — 22,878 contracts
2021-03-03: Largest IV spike — 80.3% change
2021-03-03: Highest IV Rank — 60.2%
2021-03-03: Largest Expected Move — 20.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.40	$27.70	$34.36	$33.53	$29.63
Max Pain	$30.91	$30.00	$31.00	$30.00	$31.00
ATM IV	40.0%	34.7%	72.4%	40.9%	34.7%
Expected Move	11.5%	9.9%	20.7%	11.7%	9.9%
HV 20d	38.1%	28.0%	48.5%	28.0%	45.8%
HV 60d	31.4%	27.8%	35.1%	29.0%	35.1%
IV Rank	8.0%	0.0%	60.2%	7.2%	0.0%
IV Percentile	12.2%	0.0%	97.6%	13.1%	0.0%
Term Structure	1.2%	-9.6%	6.9%	-1.0%	6.9%
VWIV	40.0%	33.7%	63.2%	42.5%	33.7%
Skew 25d	2.1%	-1.0%	31.3%	-0.1%	1.8%
Skew 10d	8.4%	-2.9%	85.1%	-2.9%	13.3%
Call IV 25d	38.8%	33.3%	47.1%	42.0%	33.3%
Put IV 25d	41.0%	35.0%	74.0%	41.9%	35.0%
Bid-Ask Spread %	69.94	56.82	95.82	62.57	56.82
Gamma HHI	0.27	0.11	0.46	0.20	0.27
Net GEX	317.9K	-3.3M	2.9M	1.1M	-2.3M
Net DEX	-9.9M	-38.8M	30.7M	-29.4M	17.7M
Net VEX	-131.4K	-189.4K	-103.3K	-146.6K	-173.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.26	0.02	20.81	7.23	0.08
Total Volume	4,563.087	346	22,878	6,689	937
Total OI	45,916.13	36,039	69,788	46,429	61,299

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2021-03-01	$33.53	$30.00	40.9%	11.7%	28.0%	7.2%	42.5%	-0.1%	-1.0%	1.1M	-29.4M	-146.6K	7.23	62.57	N/A	N/A	813	5,876	21,042	25,387
2021-03-02	$32.40	$30.00	40.1%	11.5%	30.0%	5.9%	40.0%	-1.0%	-1.3%	771.9K	-20.0M	-140.7K	4.12	75.16	N/A	N/A	730	3,010	20,997	24,160
2021-03-03	$31.17	$31.00	72.4%	20.7%	33.3%	60.2%	63.2%	3.0%	-6.3%	-315.3K	-3.9M	-152.5K	0.36	90.19	N/A	N/A	7,840	2,809	20,936	26,662
2021-03-04	$30.80	$31.00	40.8%	12.6%	32.1%	7.1%	42.2%	-0.8%	-0.1%	-203.8K	-6.0M	-136.1K	0.17	68.51	N/A	N/A	764	132	20,554	24,080
2021-03-05	$31.20	$31.00	35.8%	11.5%	32.2%	0.0%	40.2%	1.9%	3.3%	111.2K	-10.6M	-132.1K	0.07	63.89	N/A	N/A	324	22	20,523	23,979
2021-03-08	$32.30	$31.00	44.6%	11.7%	33.1%	14.6%	41.0%	0.8%	1.7%	750.7K	-19.3M	-128.6K	0.02	60.07	N/A	N/A	1,189	27	20,476	23,977
2021-03-09	$32.43	$31.00	40.8%	11.6%	33.0%	8.3%	41.3%	1.6%	1.3%	936.6K	-22.1M	-128.8K	0.33	61.29	N/A	N/A	391	128	20,678	23,980
2021-03-10	$32.83	$31.00	38.5%	11.0%	31.8%	4.5%	39.4%	0.5%	2.4%	1.3M	-25.8M	-123.3K	0.11	63.93	N/A	N/A	892	99	20,688	23,979
2021-03-11	$34.20	$31.00	38.6%	11.1%	33.7%	4.5%	39.2%	0.8%	2.9%	1.9M	-38.0M	-122.8K	0.09	65.34	N/A	N/A	716	64	21,088	24,007
2021-03-12	$34.31	$31.00	38.1%	10.9%	33.7%	3.8%	38.5%	1.5%	4.0%	1.9M	-38.4M	-119.5K	0.04	68.65	N/A	N/A	488	19	20,924	24,042
2021-03-15	$34.36	$31.00	38.2%	11.0%	33.7%	3.9%	37.8%	0.9%	3.1%	2.2M	-38.8M	-116.0K	0.08	70.07	N/A	N/A	1,667	132	20,711	24,209
2021-03-16	$33.64	$31.00	36.0%	10.3%	34.4%	0.4%	36.6%	0.8%	4.8%	2.3M	-33.4M	-117.3K	1.46	72.20	N/A	N/A	306	446	21,585	24,339
2021-03-17	$34.00	$31.00	37.3%	10.7%	34.1%	2.4%	37.2%	-0.2%	2.3%	2.6M	-36.7M	-118.7K	0.03	77.54	N/A	N/A	723	25	21,635	24,756
2021-03-18	$33.67	$31.00	37.0%	10.6%	34.5%	1.9%	37.5%	-0.4%	2.2%	2.9M	-33.7M	-115.4K	0.02	75.47	N/A	N/A	597	12	21,713	24,768
2021-03-19	$31.34	$31.00	37.5%	10.8%	43.7%	3.4%	39.1%	1.8%	0.9%	805.8K	-13.3M	-103.3K	2.50	66.02	N/A	N/A	3,971	9,936	21,625	24,771
2021-03-22	$29.79	$31.00	35.9%	10.3%	47.0%	0.2%	36.7%	-1.0%	2.9%	-667.5K	5.2M	-127.2K	0.86	62.62	N/A	N/A	1,227	1,053	17,975	18,064
2021-03-23	$28.72	$31.00	35.8%	10.3%	48.5%	0.0%	35.6%	1.6%	0.5%	-937.4K	13.5M	-115.6K	3.52	64.16	N/A	N/A	302	1,064	18,706	17,761
2021-03-24	$28.38	$31.00	35.4%	10.2%	47.5%	0.0%	34.9%	0.9%	1.8%	-1.0M	16.3M	-109.8K	0.30	65.12	N/A	N/A	340	102	18,921	17,962
2021-03-25	$28.00	$31.00	35.1%	10.1%	47.5%	0.0%	35.4%	1.3%	2.4%	-1.1M	18.5M	-107.2K	1.94	69.02	N/A	N/A	455	882	19,085	18,031
2021-03-26	$27.70	$31.00	42.9%	12.3%	44.9%	21.0%	45.9%	31.3%	-2.1%	-739.4K	17.9M	-117.1K	16.79	88.94	N/A	N/A	1,286	21,592	19,466	18,568
2021-03-29	$28.89	$31.00	45.8%	13.1%	47.3%	28.6%	40.2%	1.8%	-9.6%	-1.8M	21.7M	-180.1K	14.07	95.82	N/A	N/A	1,336	18,799	20,295	37,879
2021-03-30	$28.86	$31.00	37.5%	10.8%	46.2%	6.6%	41.2%	0.6%	4.9%	-3.3M	30.7M	-189.4K	20.81	65.18	N/A	N/A	524	10,904	20,551	49,237
2021-03-31	$29.63	$31.00	34.7%	9.9%	45.8%	0.0%	33.7%	1.8%	6.9%	-2.3M	17.7M	-173.5K	0.08	56.82	N/A	N/A	866	71	20,774	40,525