ELAN Options History — January 2022

In January 2022, ELAN traded between $25.04 and $28.70. ATM implied volatility averaged 35.1%, placing in the 24.7% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 3.7% (HV 20d: 31.4%). Max pain ranged from $27.00 to $29.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.36.

Notable Days

  • 2022-01-04: Highest Volume — 7,810 contracts
  • 2022-01-12: Largest IV spike — 33.5% change
  • 2022-01-31: Highest IV Rank — 44.8%
  • 2022-01-31: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.03$25.04$28.70$28.21$25.93
Max Pain$28.20$27.00$29.00$29.00$27.00
ATM IV35.1%24.8%45.0%24.8%45.0%
Expected Move10.5%7.1%12.9%7.1%12.9%
HV 20d31.4%25.7%34.6%27.7%34.6%
HV 60d30.6%28.3%31.9%28.3%31.9%
IV Rank24.7%3.9%44.8%3.9%44.8%
IV Percentile53.4%2.4%93.7%2.4%93.7%
Term Structure-0.4%-4.4%7.1%6.5%-4.4%
VWIV36.2%24.6%44.2%24.6%44.1%
Skew 25d2.0%-1.3%5.6%-0.8%2.9%
Skew 10d3.3%-11.4%13.8%-1.0%2.8%
Call IV 25d35.8%25.1%42.4%25.3%42.0%
Put IV 25d37.8%24.5%48.0%24.5%44.9%
Bid-Ask Spread %49.275.7567.375.7567.37
Gamma HHI0.450.270.870.540.32
Net GEX-4.5M-11.2M-152.1K-5.3M-303.4K
Net DEX38.8M3.8M84.7M29.2M8.9M
Net VEX-125.8K-162.9K-88.5K-150.4K-95.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.360.583.861.840.78
Total Volume3,280.81,9447,8102,7901,944
Total OI51,247.8524,25966,05554,59426,271

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-01-03$28.21$29.0024.8%7.1%27.7%3.9%24.6%-0.8%6.5%-5.3M29.2M-150.4K1.845.75N/AN/A9841,80617,85036,744
2022-01-04$28.50$29.0025.4%7.3%26.7%5.1%25.3%0.9%6.9%-4.9M24.5M-147.4K3.8629.70N/AN/A1,6066,20417,89137,189
2022-01-05$27.90$29.0025.6%7.3%27.5%5.6%25.7%-1.3%7.1%-5.9M40.0M-162.9K0.8115.37N/AN/A1,5901,29218,81741,863
2022-01-06$27.21$29.0026.3%9.7%27.5%7.0%33.7%0.8%-0.4%-5.9M56.7M-162.4K1.3151.27N/AN/A1,2571,64719,26043,503
2022-01-07$27.04$29.0026.6%10.0%25.7%7.5%34.6%0.8%-1.1%-5.7M60.6M-151.9K1.3550.88N/AN/A1,2721,71219,53342,398
2022-01-10$28.70$29.0028.8%10.3%32.9%12.1%35.9%-0.2%-1.5%-4.7M20.9M-154.4K1.6246.33N/AN/A1,4002,27319,79842,380
2022-01-11$28.39$29.0025.7%10.1%33.1%5.8%34.6%-0.0%-1.4%-5.9M23.6M-152.6K1.8148.72N/AN/A1,0221,85320,08342,791
2022-01-12$28.13$29.0034.3%9.8%32.7%23.1%34.7%1.7%-1.0%-7.0M32.1M-152.2K2.5054.00N/AN/A7251,81220,31742,882
2022-01-13$27.19$29.0034.5%9.9%34.6%23.6%34.3%1.0%-0.9%-7.3M61.0M-138.2K2.4554.10N/AN/A6631,62720,34042,935
2022-01-14$27.05$29.0034.4%9.9%33.5%23.4%34.3%1.2%0.4%-7.2M66.4M-128.7K1.1054.39N/AN/A1,8652,05120,43442,930
2022-01-18$26.85$29.0037.5%10.7%32.8%29.5%37.0%1.3%-1.7%-6.5M70.8M-119.0K0.6848.06N/AN/A2,8621,93421,69243,141
2022-01-19$26.45$28.0036.6%10.5%33.1%27.7%35.9%2.0%-1.7%-3.8M84.7M-103.8K0.6248.55N/AN/A2,2081,37822,28443,324
2022-01-20$26.80$28.0036.7%10.5%32.8%27.9%36.5%1.8%0.3%-6.6M77.6M-108.6K0.8154.21N/AN/A2,0341,65022,82943,226
2022-01-21$26.83$27.0039.0%11.2%32.6%32.6%38.9%3.9%-0.9%-11.2M78.6M-106.1K0.8753.11N/AN/A1,7961,56922,96143,007
2022-01-24$27.00$27.0043.9%12.6%31.2%42.5%44.2%4.8%-2.9%-152.1K3.8M-105.2K1.0952.11N/AN/A1,2321,34913,46610,793
2022-01-25$26.43$27.0044.2%12.7%31.8%43.1%41.9%4.1%-2.1%-196.0K5.7M-101.2K0.5855.26N/AN/A2,3771,38013,69410,796
2022-01-26$25.75$27.0043.3%12.4%32.6%41.3%42.8%4.7%-2.5%-225.5K8.0M-97.2K1.1366.85N/AN/A1,2441,41114,63210,891
2022-01-27$25.04$27.0044.9%12.9%33.1%44.5%42.8%5.6%-4.0%-272.9K11.6M-88.5K0.9764.24N/AN/A1,1831,14514,70311,199
2022-01-28$25.24$27.0044.6%12.8%32.5%43.9%41.4%4.5%-3.0%-342.0K12.0M-89.1K0.9965.07N/AN/A1,1331,12614,67811,432
2022-01-31$25.93$27.0045.0%12.9%34.6%44.8%44.1%2.9%-4.4%-303.4K8.9M-95.7K0.7867.37N/AN/A1,09085414,80811,463