ELAN Options History — November 2021

In November 2021, ELAN traded between $28.83 and $34.10. ATM implied volatility averaged 32.2%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 5.0% (HV 20d: 27.2%). Max pain ranged from $32.00 to $33.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.02.

Notable Days

  • 2021-11-22: Highest Volume — 5,315 contracts
  • 2021-11-05: Largest IV drop — 30.6% change
  • 2021-11-04: Highest IV Rank — 41.4%
  • 2021-11-03: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.11$28.83$34.10$32.78$28.83
Max Pain$32.76$32.00$33.00$33.00$32.00
ATM IV32.2%27.4%43.8%41.4%34.5%
Expected Move9.0%7.8%12.1%11.9%9.9%
HV 20d27.2%22.0%33.3%22.0%33.3%
HV 60d22.4%20.2%41.9%41.9%24.6%
IV Rank17.6%7.7%41.4%36.6%22.4%
IV Percentile34.4%9.1%84.9%75.4%47.6%
Term Structure-1.5%-12.1%1.6%-9.2%-2.0%
VWIV31.9%27.6%45.2%41.3%35.1%
Skew 25d1.4%0.1%3.8%1.6%3.8%
Skew 10d3.2%0.5%6.7%1.8%6.7%
Call IV 25d31.0%27.4%42.0%39.5%34.2%
Put IV 25d32.3%28.2%44.5%41.0%38.0%
Bid-Ask Spread %56.2628.7375.2628.7375.26
Gamma HHI0.260.150.590.170.32
Net GEX537.2K-2.3M1.9M1.1M-26.0K
Net DEX-11.7M-28.5M2.3M-17.7M2.3M
Net VEX-116.3K-141.8K-78.9K-141.8K-78.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.114.900.894.90
Total Volume2,151.0951,1565,3151,2664,143
Total OI29,402.95219,19233,94930,72523,694

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-11-01$32.78$33.0041.4%11.9%22.0%36.6%41.3%1.6%-9.2%1.1M-17.7M-141.8K0.8928.73N/AN/A66959722,2968,429
2021-11-02$31.83$33.0042.1%12.1%24.5%37.9%42.0%0.4%-7.8%710.4K-10.4M-132.3K0.7751.30N/AN/A66951622,2968,473
2021-11-03$32.23$33.0042.2%12.1%24.6%38.1%45.2%2.5%-12.1%857.4K-12.2M-134.0K0.4637.50N/AN/A1,08550122,3198,526
2021-11-04$32.67$33.0043.8%9.5%23.4%41.4%34.2%1.4%-1.5%1.0M-16.9M-138.8K0.7336.42N/AN/A1,06677522,6848,532
2021-11-05$34.10$33.0030.4%7.8%28.1%13.9%29.0%0.4%1.5%1.9M-28.5M-138.6K0.6759.30N/AN/A74649922,7118,836
2021-11-08$33.24$33.0029.7%8.0%29.5%12.4%29.6%1.1%0.1%1.4M-20.1M-128.1K0.5648.20N/AN/A95753622,7638,841
2021-11-09$33.10$33.0031.4%8.2%28.1%16.0%28.2%0.9%-0.4%1.3M-18.5M-126.4K0.5958.12N/AN/A97557722,7498,890
2021-11-10$32.91$33.0028.3%8.1%28.0%9.7%28.7%0.5%1.6%1.1M-16.8M-124.5K0.3155.59N/AN/A1,81855622,8118,918
2021-11-11$32.70$33.0029.0%8.3%27.8%11.1%28.6%1.0%0.1%867.5K-14.5M-119.2K0.4248.57N/AN/A1,91280922,5228,923
2021-11-12$32.94$33.0027.6%7.9%27.8%8.1%28.5%0.4%1.4%1.0M-16.2M-120.0K0.4056.48N/AN/A1,98579322,6489,258
2021-11-15$32.24$33.0027.9%8.0%28.4%8.7%28.4%1.6%1.2%324.9K-8.9M-109.9K1.2654.46N/AN/A1,6032,01422,6209,260
2021-11-16$32.38$33.0027.7%7.9%27.8%8.4%29.6%1.3%-0.4%331.5K-9.7M-113.6K2.4958.92N/AN/A8262,05423,34410,522
2021-11-17$32.05$33.0028.0%8.0%25.7%8.9%27.6%1.2%0.1%-386.7K-5.8M-110.1K2.2752.28N/AN/A8872,01523,35110,598
2021-11-18$32.48$33.0027.4%7.9%26.3%7.7%29.8%1.0%0.7%542.3K-11.0M-109.8K0.7065.01N/AN/A1,03772823,38010,355
2021-11-19$32.17$33.0029.2%8.4%26.2%11.4%30.6%0.1%0.1%-2.3M-8.1M-108.6K0.6464.53N/AN/A1,02466023,55910,359
2021-11-22$32.22$33.0028.5%8.2%26.2%10.0%28.4%1.6%-0.4%366.8K-10.4M-106.0K0.1170.46N/AN/A4,79751813,3575,835
2021-11-23$32.08$32.0028.9%8.3%26.1%10.9%28.7%0.7%0.6%685.5K-10.8M-110.9K0.7557.58N/AN/A71654017,3565,887
2021-11-24$30.88$32.0030.2%8.7%29.0%13.4%29.5%0.2%-0.5%256.8K-5.6M-100.8K0.8267.49N/AN/A63652017,4685,941
2021-11-26$30.24$32.0033.9%9.7%29.0%21.1%34.4%3.4%-1.4%172.8K-3.3M-96.7K0.8766.55N/AN/A64155617,5306,003
2021-11-29$30.33$32.0033.6%9.6%28.9%20.5%32.1%3.4%-3.5%94.0K-2.9M-93.7K0.8368.79N/AN/A66455317,5136,105
2021-11-30$28.83$32.0034.5%9.9%33.3%22.4%35.1%3.8%-2.0%-26.0K2.3M-78.9K4.9075.26N/AN/A7023,44117,5556,139