ELAN Options History — December 2021

In December 2021, ELAN traded between $27.80 and $29.52. ATM implied volatility averaged 31.3%, placing in the 15.7% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 1.0% (HV 20d: 32.3%). Max pain ranged from $30.00 to $32.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 2.45.

Notable Days

  • 2021-12-30: Highest Volume — 18,427 contracts
  • 2021-12-13: Largest IV spike — 16.1% change
  • 2021-12-01: Highest IV Rank — 33.7%
  • 2021-12-01: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.50$27.80$29.52$28.31$28.50
Max Pain$30.27$30.00$32.00$32.00$30.00
ATM IV31.3%22.8%40.1%40.1%22.8%
Expected Move8.9%6.5%11.5%11.5%6.5%
HV 20d32.3%28.9%34.9%32.5%28.9%
HV 60d27.4%24.8%28.9%24.8%28.8%
IV Rank15.7%0.0%33.7%33.7%0.0%
IV Percentile34.0%0.0%71.4%71.4%0.0%
Term Structure2.4%-4.0%8.6%-4.0%8.0%
VWIV31.5%22.9%41.0%41.0%22.9%
Skew 25d1.3%-1.7%3.9%3.9%-1.7%
Skew 10d1.4%-15.5%9.6%5.1%-7.9%
Call IV 25d30.9%24.6%36.5%36.5%25.1%
Put IV 25d32.2%23.4%40.4%40.4%23.4%
Bid-Ask Spread %46.6115.7997.5597.5554.60
Gamma HHI0.260.110.510.250.46
Net GEX-643.1K-3.6M201.5K-377.4K-3.6M
Net DEX4.3M-2.5M17.1M6.8M17.1M
Net VEX-89.5K-138.6K-74.6K-84.7K-138.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.450.328.335.535.07
Total Volume4,472.1821,29718,4274,1149,677
Total OI28,414.95521,36348,10726,69548,107

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-12-01$28.31$32.0040.1%11.5%32.5%33.7%41.0%3.9%-4.0%-377.4K6.8M-84.7K5.5397.55N/AN/A6303,48417,6859,010
2021-12-02$28.82$32.0035.7%10.2%33.0%24.7%36.3%3.3%-0.4%-388.6K4.6M-90.5K8.3386.94N/AN/A6575,47317,7129,052
2021-12-03$28.10$32.0036.9%10.6%32.9%27.2%37.4%2.9%0.1%-631.1K8.4M-88.4K5.1275.55N/AN/A6863,51317,78711,058
2021-12-06$28.75$30.0035.9%10.0%29.4%25.2%35.3%3.5%-0.4%-673.9K5.6M-88.5K1.2174.85N/AN/A63577117,85611,069
2021-12-07$28.96$30.0030.6%9.0%29.2%14.4%32.3%1.9%1.9%-743.3K4.7M-87.5K1.2469.70N/AN/A62878117,87211,167
2021-12-08$29.52$30.0030.3%8.8%30.6%13.8%31.4%1.2%1.0%-612.7K2.1M-87.9K0.6731.57N/AN/A1,15077317,88511,175
2021-12-09$28.65$30.0030.3%8.8%31.8%13.7%31.3%2.5%0.7%-779.5K5.4M-85.2K0.7024.43N/AN/A1,11678118,29411,174
2021-12-10$28.01$30.0029.0%8.5%32.3%11.0%29.4%2.1%3.4%-955.1K9.7M-76.3K1.3724.94N/AN/A9311,27818,38511,182
2021-12-13$27.80$30.0033.6%8.9%31.8%20.5%31.5%1.9%1.8%-1.0M10.3M-75.5K1.5522.64N/AN/A50978818,42011,306
2021-12-14$28.29$30.0034.6%9.5%32.6%22.6%33.0%1.6%0.3%-918.1K7.5M-77.4K1.4629.53N/AN/A65395318,45211,320
2021-12-15$28.54$30.0031.8%9.1%32.9%16.8%34.0%2.4%2.8%-680.2K5.3M-87.0K1.2376.33N/AN/A64078518,57811,434
2021-12-16$27.83$30.0032.1%9.2%33.5%17.4%30.5%1.8%3.6%-1.3M9.4M-74.6K0.4040.91N/AN/A3,1571,27818,59211,446
2021-12-17$28.33$30.0032.0%9.2%33.9%17.3%32.0%-0.2%2.2%-896.2K4.3M-92.2K0.4272.76N/AN/A3,1321,32820,78211,829
2021-12-20$28.15$30.0034.2%9.8%33.9%21.7%33.7%0.6%0.4%177.3K-955.6K-86.8K0.3230.16N/AN/A3,1791,00615,2456,118
2021-12-21$28.62$30.0031.0%8.9%34.8%15.2%32.0%0.3%1.7%201.5K-2.3M-91.9K0.6920.82N/AN/A1,8941,31515,3696,132
2021-12-22$28.20$30.0030.6%8.8%34.9%14.3%30.8%-0.3%2.1%145.6K-760.3K-88.0K0.4919.12N/AN/A1,93894315,4236,362
2021-12-23$28.89$30.0028.3%8.1%34.4%9.7%28.9%2.2%8.6%155.5K-2.2M-89.3K0.8968.85N/AN/A1,06194615,4736,373
2021-12-27$28.89$30.0028.5%8.2%33.8%9.9%29.5%0.0%4.1%175.6K-2.5M-88.4K2.6027.81N/AN/A1,6384,26315,7286,378
2021-12-28$28.92$30.0027.8%8.0%33.8%8.6%27.4%0.1%4.3%-99.9K-1.3M-92.9K1.6424.72N/AN/A1,8873,09316,4869,364
2021-12-29$28.28$30.0027.1%7.8%29.7%7.1%27.5%-1.1%4.9%-435.2K2.4M-95.6K5.1035.96N/AN/A1,7398,87216,86311,424
2021-12-30$28.73$30.0024.4%7.0%29.5%1.7%24.5%-0.3%5.7%-892.3K2.1M-101.3K7.7415.79N/AN/A2,10816,31917,12216,640
2021-12-31$28.50$30.0022.8%6.5%28.9%0.0%22.9%-1.7%8.0%-3.6M17.1M-138.6K5.0754.60N/AN/A1,5948,08317,74530,362