ELAN Options History — March 2022 In March 2022, ELAN traded between $25.20 and $28.93. ATM implied volatility averaged 41.0%, placing in the 19.7% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded below realized volatility by 3.1% (HV 20d: 44.1%). Max pain ranged from $25.00 to $29.00. Net GEX was positive for 12 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 2.34.
Notable Days 2022-03-25 : Highest Volume — 15,802 contracts2022-03-07 : Largest IV spike — 288.9% change2022-03-07 : Highest IV Rank — 100.0%2022-03-07 : Largest Expected Move — 42.0%Monthly Statistics Metric Avg Min Max Open Close Price $26.93 $25.20 $28.93 $28.80 $26.28 Max Pain $27.52 $25.00 $29.00 $28.00 $29.00 ATM IV 41.0% 27.8% 146.6% 37.1% 35.0% Expected Move 12.6% 10.0% 42.0% 10.6% 10.6% HV 20d 44.1% 32.1% 49.5% 33.8% 46.5% HV 60d 36.3% 32.1% 38.8% 32.6% 38.8% IV Rank 19.7% 4.0% 100.0% 28.7% 9.8% IV Percentile 66.9% 15.9% 100.0% 71.0% 65.1% Term Structure 0.8% -30.7% 19.6% 0.2% 1.6% VWIV 43.7% 35.5% 109.5% 40.7% 39.2% Skew 25d 7.5% 2.0% 70.7% 2.1% 3.8% Skew 10d 10.1% -1.9% 62.8% 2.8% 8.8% Call IV 25d 36.8% 28.1% 66.2% 39.2% 31.7% Put IV 25d 44.4% 30.6% 127.9% 41.3% 35.5% Bid-Ask Spread % 72.98 42.10 137.38 63.61 70.82 Gamma HHI 0.21 0.14 0.35 0.14 0.25 Net GEX -181.0K -1.2M 470.4K 419.4K -991.5K Net DEX -2.3M -15.9M 8.9M -15.8M 8.9M Net VEX -137.8K -157.6K -120.5K -144.7K -139.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.34 1.06 9.27 2.06 3.57 Total Volume 5,121.609 2,839 15,802 4,900 7,729 Total OI 36,788.348 28,329 41,529 35,259 40,368
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2022-03-01 $28.80 $28.00 37.1% 10.6% 33.8% 28.7% 40.7% 2.1% 0.2% 419.4K -15.8M -144.7K 2.06 63.61 N/A N/A 1,600 3,300 19,749 15,510 2022-03-02 $28.93 $28.00 36.6% 10.5% 32.8% 27.8% 39.6% 3.3% 1.1% 424.4K -15.9M -154.4K 1.65 68.34 N/A N/A 1,972 3,247 20,192 16,855 2022-03-03 $28.40 $28.00 36.4% 10.4% 33.9% 49.6% 38.3% 2.5% 1.3% 378.8K -13.4M -154.7K 2.03 67.02 N/A N/A 1,376 2,798 20,424 16,855 2022-03-04 $28.03 $28.00 37.7% 10.8% 32.1% 54.3% 38.9% 3.6% 0.6% 274.3K -10.9M -151.7K 1.96 69.45 N/A N/A 1,356 2,662 20,468 16,857 2022-03-07 $25.99 $28.00 146.6% 42.0% 43.2% 100.0% 109.5% 70.7% -30.7% 67.0K -2.8M -157.6K 1.64 137.38 N/A N/A 1,463 2,394 20,647 16,946 2022-03-08 $25.64 $28.00 41.8% 13.0% 43.5% 15.3% 44.6% 5.2% -3.8% -649.3K 5.8M -137.6K 1.12 72.80 N/A N/A 1,478 1,662 20,676 17,770 2022-03-09 $26.73 $28.00 38.9% 12.2% 45.6% 13.0% 52.2% 5.0% -0.7% -295.5K -736.2K -143.9K 1.10 80.24 N/A N/A 1,390 1,523 20,690 17,888 2022-03-10 $26.38 $28.00 40.4% 12.7% 44.5% 14.2% 44.2% 3.8% -1.2% -453.1K 1.1M -139.7K 1.09 76.75 N/A N/A 1,509 1,641 20,699 17,899 2022-03-11 $26.56 $28.00 41.4% 12.1% 43.9% 15.0% 44.9% 3.8% -5.2% -326.7K -1.4M -138.6K 1.06 87.38 N/A N/A 1,515 1,605 20,792 17,977 2022-03-14 $25.20 $25.00 44.3% 11.4% 47.9% 17.3% 38.6% 4.7% -3.5% -1.2M 7.9M -125.7K 1.31 42.10 N/A N/A 1,716 2,254 20,770 17,957 2022-03-15 $25.37 $25.00 43.1% 11.3% 47.7% 16.4% 38.1% 5.3% -4.6% -1.1M 7.1M -124.4K 1.36 50.62 N/A N/A 1,626 2,215 20,857 18,567 2022-03-16 $26.24 $25.00 39.9% 12.1% 48.3% 13.8% 42.4% 19.7% 3.6% -436.0K 397.3K -134.2K 1.57 117.38 N/A N/A 1,401 2,200 20,829 18,578 2022-03-17 $26.60 $0.00 34.9% 14.5% 48.5% 9.8% 0.0% 2.9% 19.6% 254.3K -2.3M -126.0K 1.58 85.47 N/A N/A 1,392 2,200 20,840 18,579 2022-03-18 $27.40 $0.00 34.4% 11.1% 49.5% 9.3% 37.6% 4.1% 3.6% 470.4K -6.2M -127.6K 1.07 46.91 N/A N/A 1,433 1,535 20,848 18,577 2022-03-21 $27.14 $27.00 33.8% 10.8% 49.4% 8.8% 36.7% 4.0% 4.2% 328.7K -5.1M -126.2K 1.09 60.17 N/A N/A 1,358 1,481 19,379 9,010 2022-03-22 $27.43 $27.00 31.4% 10.8% 49.0% 6.9% 36.0% 6.0% 6.2% 379.1K -7.5M -130.5K 1.07 72.92 N/A N/A 1,857 1,981 19,427 8,902 2022-03-23 $27.14 $27.00 32.4% 10.3% 49.2% 7.8% 35.5% 4.0% 3.5% 373.5K -5.6M -122.5K 1.57 70.31 N/A N/A 1,256 1,976 19,977 8,782 2022-03-24 $27.35 $27.00 30.6% 10.3% 43.6% 6.2% 41.9% 4.4% 5.1% 441.9K -6.6M -120.5K 4.78 75.87 N/A N/A 1,297 6,200 19,981 8,784 2022-03-25 $26.50 $27.00 37.2% 11.4% 44.8% 11.6% 40.7% 4.1% 0.7% 73.8K -496.0K -131.4K 9.27 70.77 N/A N/A 1,539 14,263 19,954 12,970 2022-03-28 $26.72 $29.00 31.9% 10.6% 44.5% 7.3% 42.3% 5.1% 4.9% -1.1M 8.4M -150.6K 4.16 67.95 N/A N/A 1,519 6,321 20,225 21,304 2022-03-29 $27.55 $29.00 27.8% 10.0% 45.6% 4.0% 40.2% 3.6% 6.5% -711.0K 217.6K -145.2K 4.13 61.93 N/A N/A 1,731 7,157 20,274 21,044 2022-03-30 $27.11 $29.00 29.6% 10.1% 45.8% 5.5% 39.7% 2.0% 5.4% -812.4K 2.4M -141.8K 3.58 62.36 N/A N/A 1,674 5,995 20,475 19,980 2022-03-31 $26.28 $29.00 35.0% 10.6% 46.5% 9.8% 39.2% 3.8% 1.6% -991.5K 8.9M -139.5K 3.57 70.82 N/A N/A 1,691 6,038 20,468 19,900
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