ELAN Options History — February 2022

In February 2022, ELAN traded between $24.74 and $28.32. ATM implied volatility averaged 42.1%, placing in the 38.9% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 10.5% (HV 20d: 31.6%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 1.73.

Notable Days

  • 2022-02-18: Highest Volume — 11,000 contracts
  • 2022-02-24: Largest IV drop — 17.4% change
  • 2022-02-22: Highest IV Rank — 49.7%
  • 2022-02-22: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.84$24.74$28.32$25.50$28.32
Max Pain$27.89$27.00$28.00$27.00$28.00
ATM IV42.1%35.0%47.4%46.1%37.8%
Expected Move12.2%10.0%13.6%13.2%10.8%
HV 20d31.6%25.7%36.3%34.8%34.5%
HV 60d31.7%30.3%34.2%31.8%32.7%
IV Rank38.9%24.6%49.7%47.0%30.3%
IV Percentile86.7%61.9%98.8%96.8%76.2%
Term Structure-2.9%-6.8%4.2%-6.8%-1.7%
VWIV42.5%37.6%48.1%43.7%39.6%
Skew 25d4.0%0.6%6.5%5.3%0.6%
Skew 10d7.2%1.3%25.3%5.7%2.3%
Call IV 25d41.6%35.4%46.7%42.4%39.8%
Put IV 25d45.6%37.5%51.3%47.6%40.4%
Bid-Ask Spread %61.6552.5578.6372.3766.98
Gamma HHI0.340.140.620.340.14
Net GEX-267.0K-1.4M410.2K-334.6K236.7K
Net DEX3.6M-12.2M12.8M10.5M-12.2M
Net VEX-118.5K-144.9K-86.9K-90.6K-140.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.730.169.620.701.50
Total Volume3,965.7371,89711,0002,0913,152
Total OI32,295.78926,38736,04826,40134,969

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-02-01$25.50$27.0046.1%13.2%34.8%47.0%43.7%5.3%-6.8%-334.6K10.5M-90.6K0.7072.37N/AN/A1,23285914,91311,488
2022-02-02$25.48$27.0043.5%12.5%34.4%41.7%42.7%3.2%-3.6%-385.6K10.7M-91.7K0.6478.63N/AN/A1,33886214,87611,511
2022-02-03$24.74$28.0041.3%12.0%35.0%37.4%41.9%6.5%-4.9%-377.1K12.8M-87.7K0.7668.45N/AN/A1,16789215,05211,515
2022-02-04$25.03$28.0039.6%12.1%34.8%33.8%43.8%5.9%3.6%-448.9K12.7M-86.9K0.1666.97N/AN/A7,3371,14115,08311,532
2022-02-07$25.13$28.0038.5%12.0%34.9%31.6%40.4%4.9%0.7%-321.3K7.1M-123.3K1.0060.92N/AN/A1,2631,25921,28111,869
2022-02-08$24.85$28.0036.2%11.8%25.7%27.1%40.4%5.1%-2.0%-308.0K9.5M-115.7K0.6361.05N/AN/A1,9951,25221,48011,830
2022-02-09$25.69$28.0039.1%11.2%29.4%32.8%37.6%4.1%4.2%-454.5K4.8M-123.0K0.7954.03N/AN/A1,5881,25021,84311,835
2022-02-10$25.21$28.0041.2%11.8%29.7%37.1%38.7%4.6%-2.6%-398.1K7.4M-118.8K1.2053.08N/AN/A1,0481,25521,87111,840
2022-02-11$25.47$28.0044.5%12.8%28.2%43.7%44.0%3.8%-4.6%-426.2K4.9M-128.7K0.3657.36N/AN/A3,4701,25421,87511,847
2022-02-14$25.11$28.0046.9%13.4%28.5%48.5%46.0%3.4%-5.3%-207.8K6.8M-120.3K0.6956.48N/AN/A1,8261,26024,08411,848
2022-02-15$25.79$28.0043.1%12.4%30.4%40.9%43.8%4.2%-3.3%-564.8K2.4M-125.6K1.0163.65N/AN/A1,7351,76124,06111,836
2022-02-16$25.85$28.0043.8%12.6%30.1%42.3%42.6%4.4%-5.7%-926.3K2.2M-125.4K0.9662.64N/AN/A1,3621,30524,21411,834
2022-02-17$25.82$28.0045.0%12.9%29.6%44.6%42.3%4.4%-5.7%-1.4M3.0M-121.9K1.2461.37N/AN/A9341,15824,21011,795
2022-02-18$25.50$28.0045.6%13.1%29.8%46.1%46.8%3.3%-5.3%384.3K9.1M-113.7K9.6252.55N/AN/A1,0369,96424,22511,787
2022-02-22$26.04$28.0047.4%13.6%30.8%49.7%48.1%4.6%-5.1%143.6K-1.7M-126.2K1.4454.26N/AN/A7761,12119,17510,631
2022-02-23$25.94$28.0046.6%13.4%29.9%48.0%47.3%3.6%-6.2%136.8K-2.1M-127.1K1.4854.08N/AN/A8191,21019,38810,712
2022-02-24$27.65$28.0038.5%11.0%36.3%31.7%39.6%1.4%-0.7%410.2K-10.5M-138.6K2.1662.77N/AN/A2,7265,89719,53410,821
2022-02-25$27.93$28.0035.0%10.0%34.4%24.6%39.0%2.1%-0.6%201.8K-10.2M-144.9K6.5863.68N/AN/A9035,94219,53815,417
2022-02-28$28.32$28.0037.8%10.8%34.5%30.3%39.6%0.6%-1.7%236.7K-12.2M-140.9K1.5066.98N/AN/A1,2591,89319,52915,440