ELAN Options History — May 2021

In May 2021, ELAN traded between $31.02 and $36.00. ATM implied volatility averaged 35.0%, placing in the 9.7% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 5.0% (HV 20d: 30.0%). Max pain ranged from $30.00 to $34.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 2.13.

Notable Days

  • 2021-05-06: Highest Volume — 4,081 contracts
  • 2021-05-07: Largest IV drop — 29.2% change
  • 2021-05-06: Highest IV Rank — 33.4%
  • 2021-05-05: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.00$31.02$36.00$31.86$36.00
Max Pain$32.15$30.00$34.00$30.00$34.00
ATM IV35.0%26.1%45.8%42.8%26.1%
Expected Move9.8%7.5%13.0%12.3%7.5%
HV 20d30.0%19.4%34.8%20.9%32.4%
HV 60d36.5%34.4%38.1%34.9%35.2%
IV Rank9.7%0.0%33.4%25.7%0.0%
IV Percentile13.5%0.0%65.9%38.9%0.0%
Term Structure-1.1%-7.8%2.8%-6.6%1.1%
VWIV34.8%27.3%44.6%42.7%27.3%
Skew 25d1.8%0.3%5.0%0.6%1.3%
Skew 10d4.5%2.1%7.4%3.5%7.4%
Call IV 25d33.8%26.9%43.2%42.3%27.1%
Put IV 25d35.6%28.4%44.8%42.9%28.4%
Bid-Ask Spread %65.1852.9779.1668.1079.16
Gamma HHI0.200.120.370.120.21
Net GEX316.5K-748.8K1.0M-256.7K809.3K
Net DEX-21.9M-37.5M-5.3M-12.4M-23.1M
Net VEX-116.2K-136.2K-105.1K-123.6K-108.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.130.0515.194.170.26
Total Volume1,055.65864,08115086
Total OI44,650.324,17254,79244,92927,767

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-05-03$31.86$30.0042.8%12.3%20.9%25.7%42.7%0.6%-6.6%-256.7K-12.4M-123.6K4.1768.10N/AN/A2912113,31631,613
2021-05-04$31.30$30.0044.9%12.9%22.0%31.0%44.6%1.2%-7.5%-518.6K-8.5M-129.3K5.8770.17N/AN/A2051,20413,32631,684
2021-05-05$31.10$30.0045.2%13.0%19.4%31.9%43.1%5.0%-7.8%-615.8K-7.0M-128.0K0.3878.21N/AN/A31812013,47232,838
2021-05-06$31.02$30.0045.8%10.8%19.4%33.4%39.7%2.4%-2.9%-748.8K-5.3M-136.2K15.1952.97N/AN/A2523,82913,69232,936
2021-05-07$32.88$30.0032.4%9.4%27.8%0.0%33.5%0.3%-0.4%152.0K-19.5M-116.9K0.1263.51N/AN/A1,59419813,75236,588
2021-05-10$32.48$30.0037.1%9.5%28.1%11.6%33.6%1.0%0.0%-20.3K-17.7M-123.7K0.6258.28N/AN/A25215714,57236,627
2021-05-11$32.28$32.0038.4%10.2%28.3%15.0%35.4%1.5%-1.1%-213.5K-15.6M-131.2K0.2559.38N/AN/A1263214,74136,626
2021-05-12$32.10$32.0035.3%10.1%28.5%7.1%38.2%2.6%-2.5%-112.0K-15.5M-125.7K6.2159.88N/AN/A1931,19914,75236,638
2021-05-13$34.14$32.0037.1%10.6%34.8%11.8%37.1%1.8%-1.2%443.2K-26.2M-119.2K0.2455.96N/AN/A85820514,65337,738
2021-05-14$34.68$32.0033.8%9.7%34.7%3.5%34.2%2.3%0.6%677.3K-30.2M-115.9K0.3061.90N/AN/A60318114,79637,868
2021-05-17$35.00$33.0035.1%10.1%34.6%6.6%35.3%1.3%-1.7%837.3K-32.6M-110.1K0.1256.06N/AN/A1,32115815,10537,925
2021-05-18$35.50$33.0033.7%9.7%34.0%3.2%34.3%1.1%-0.8%873.8K-34.8M-105.8K0.1860.34N/AN/A4047414,91238,014
2021-05-19$35.20$33.0035.4%10.1%34.3%7.4%36.3%2.6%-1.4%1.0M-33.6M-105.5K1.9669.96N/AN/A6131,20014,99838,059
2021-05-20$35.69$33.0031.5%9.0%33.4%0.0%32.0%3.5%1.9%1.0M-36.1M-108.0K0.0565.77N/AN/A3971815,45439,250
2021-05-21$35.80$33.0030.2%8.6%33.4%0.0%32.0%0.4%2.8%752.2K-37.5M-106.1K2.3664.18N/AN/A31474015,53939,253
2021-05-24$35.91$34.0029.6%8.5%33.4%0.0%30.6%2.3%1.1%335.1K-19.6M-105.1K0.1068.93N/AN/A2,31624310,14814,024
2021-05-25$35.61$34.0031.8%9.1%33.8%5.1%30.5%1.4%1.8%643.4K-20.6M-108.1K2.9069.44N/AN/A8624912,28114,200
2021-05-26$35.66$34.0027.9%8.0%33.9%0.0%28.4%2.0%2.3%610.8K-20.4M-109.3K1.3368.54N/AN/A16221512,32214,432
2021-05-27$35.81$34.0026.6%7.6%33.2%0.0%27.3%1.5%0.7%652.7K-21.0M-107.6K0.0572.83N/AN/A8004112,43114,664
2021-05-28$36.00$34.0026.1%7.5%32.4%0.0%27.3%1.3%1.1%809.3K-23.1M-108.8K0.2679.16N/AN/A681813,08414,683