ELAN Options History — October 2021

In October 2021, ELAN traded between $31.92 and $33.92. ATM implied volatility averaged 33.5%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 14.2% (HV 20d: 19.3%). Max pain ranged from $32.00 to $33.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.74.

Notable Days

  • 2021-10-06: Highest Volume — 6,019 contracts
  • 2021-10-04: Largest IV spike — 11.0% change
  • 2021-10-29: Highest IV Rank — 31.8%
  • 2021-10-29: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.84$31.92$33.92$32.07$32.89
Max Pain$32.95$32.00$33.00$32.00$33.00
ATM IV33.5%28.3%39.1%28.3%39.1%
Expected Move10.0%8.1%11.2%8.1%11.2%
HV 20d19.3%14.8%22.3%15.1%21.9%
HV 60d41.9%41.5%42.3%42.0%41.9%
IV Rank20.2%9.6%31.8%9.6%31.8%
IV Percentile37.5%15.1%61.5%15.1%61.5%
Term Structure-3.6%-6.8%2.9%2.9%-6.8%
VWIV34.9%27.3%39.8%28.3%39.8%
Skew 25d1.7%-0.1%3.4%-0.1%0.9%
Skew 10d2.4%-1.1%11.5%-1.1%3.0%
Call IV 25d34.4%28.4%37.8%28.4%37.8%
Put IV 25d36.1%28.3%38.7%28.3%38.7%
Bid-Ask Spread %41.7529.0954.8632.0952.98
Gamma HHI0.200.140.280.180.17
Net GEX1.4M506.6K3.2M1.2M926.2K
Net DEX-19.9M-33.5M-11.2M-17.3M-16.6M
Net VEX-138.9K-153.2K-121.5K-142.9K-143.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.023.950.243.95
Total Volume2,067.857936,019933,289
Total OI33,028.42921,61341,66934,98829,460

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-10-01$32.07$32.0028.3%8.1%15.1%9.6%28.3%-0.1%2.9%1.2M-17.3M-142.9K0.2432.09N/AN/A751823,39011,598
2021-10-04$32.13$33.0031.4%10.1%14.8%16.0%35.1%2.2%-2.5%1.3M-16.4M-139.1K0.1837.03N/AN/A2063823,44411,621
2021-10-05$32.12$33.0030.6%10.2%14.8%14.3%35.0%2.0%-3.4%1.3M-16.0M-134.9K0.0232.44N/AN/A4,2208223,50111,623
2021-10-06$32.48$33.0030.8%10.2%15.6%14.7%35.1%1.9%-3.7%1.6M-20.9M-136.1K0.0343.17N/AN/A5,85216723,63711,641
2021-10-07$33.29$33.0030.0%9.7%18.2%13.0%34.5%1.4%-2.6%2.8M-33.5M-141.0K0.4243.23N/AN/A63426526,04111,696
2021-10-08$33.22$33.0029.6%9.8%18.0%12.4%35.2%1.2%-3.6%3.0M-31.4M-144.2K0.1537.02N/AN/A3995927,08711,824
2021-10-11$32.92$33.0030.7%9.8%18.2%14.5%35.1%3.1%-2.8%3.2M-28.6M-137.4K0.5541.68N/AN/A1679227,22312,076
2021-10-12$32.14$33.0031.9%9.8%19.8%16.9%27.3%0.6%-6.2%1.7M-16.6M-126.4K0.0447.23N/AN/A1,1614527,50512,112
2021-10-13$31.92$33.0034.4%9.9%19.3%22.2%34.7%0.7%-2.8%857.0K-13.9M-121.5K1.5445.39N/AN/A7451,14427,53512,067
2021-10-14$32.35$33.0034.5%9.9%20.0%22.4%34.3%0.8%-2.8%2.6M-21.0M-125.0K0.1842.11N/AN/A1,08819828,51212,083
2021-10-15$32.62$33.0033.1%9.5%20.1%19.4%33.2%1.2%-2.4%582.0K-22.2M-128.3K0.0344.75N/AN/A4,05011328,61313,056
2021-10-18$32.14$33.0033.9%9.7%19.4%21.1%34.4%0.5%-3.4%506.6K-11.2M-123.5K0.1736.05N/AN/A63111015,5536,060
2021-10-19$32.65$33.0034.2%9.8%20.1%21.7%34.0%1.7%-3.8%761.8K-14.7M-130.9K0.2247.34N/AN/A3988717,5256,089
2021-10-20$33.62$33.0034.3%9.8%22.3%21.9%37.2%3.4%-3.7%1.1M-21.4M-147.4K3.2939.48N/AN/A7092,33519,5856,736
2021-10-21$33.59$33.0034.5%9.9%21.1%22.4%36.2%3.3%-4.2%918.1K-19.4M-150.8K0.9147.83N/AN/A91082719,6698,604
2021-10-22$33.80$33.0034.9%10.0%21.1%23.2%36.3%3.3%-4.4%995.9K-21.2M-153.2K0.9629.09N/AN/A86082919,9328,906
2021-10-25$33.92$33.0036.2%10.4%21.1%25.9%36.4%2.6%-4.5%1.0M-22.0M-149.4K0.8047.24N/AN/A82065220,0128,949
2021-10-26$33.62$33.0036.1%10.4%20.9%25.7%36.4%1.8%-4.5%959.0K-19.6M-151.0K0.7933.63N/AN/A84866920,1729,013
2021-10-27$33.46$33.0037.4%10.7%21.0%28.3%37.2%2.4%-6.1%918.8K-18.5M-145.5K0.2142.13N/AN/A2,82159020,1909,041
2021-10-28$32.74$33.0037.1%10.6%21.9%27.6%36.8%1.1%-5.3%775.4K-14.5M-144.7K0.9454.86N/AN/A2,6972,52521,0879,129
2021-10-29$32.89$33.0039.1%11.2%21.9%31.8%39.8%0.9%-6.8%926.2K-16.6M-143.9K3.9552.98N/AN/A6642,62521,1278,333