ELAN Options History — June 2020

In June 2020, ELAN traded between $20.85 and $24.79. ATM implied volatility averaged 45.4%, placing in the 26.8% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded below realized volatility by 12.9% (HV 20d: 58.3%). Max pain ranged from $19.00 to $22.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.87.

Notable Days

  • 2020-06-23: Highest Volume — 22,891 contracts
  • 2020-06-08: Largest IV spike — 14.9% change
  • 2020-06-26: Highest IV Rank — 34.4%
  • 2020-06-26: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.23$20.85$24.79$21.21$21.54
Max Pain$21.59$19.00$22.00$19.00$22.00
ATM IV45.4%38.9%50.7%44.5%44.8%
Expected Move12.9%11.2%14.5%12.8%12.8%
HV 20d58.3%52.3%74.7%71.1%52.3%
HV 60d73.3%60.6%87.3%86.7%61.1%
IV Rank26.8%17.3%34.4%25.5%25.9%
IV Percentile74.4%65.1%81.3%74.6%70.2%
Term Structure1.0%-2.6%6.0%-2.0%6.0%
VWIV44.3%37.6%51.2%42.1%43.2%
Skew 25d6.1%3.7%8.0%8.0%5.4%
Skew 10d14.9%8.2%22.5%11.7%21.1%
Call IV 25d42.6%36.9%48.1%40.8%43.9%
Put IV 25d48.7%42.6%54.2%48.8%49.3%
Bid-Ask Spread %27.5117.2337.5023.8526.27
Gamma HHI0.320.190.400.320.32
Net GEX501.1K277.9K1.1M294.1K1.1M
Net DEX-6.8M-15.5M-1.4M-1.4M-9.1M
Net VEX-71.6K-98.9K-57.9K-65.8K-92.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.007.980.110.01
Total Volume2,021.13615222,891372428
Total OI40,332.68234,28158,80634,28158,806

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-06-01$21.21$19.0044.5%12.8%71.1%25.5%42.1%8.0%-2.0%294.1K-1.4M-65.8K0.1123.85N/AN/A3353724,2939,988
2020-06-02$22.11$19.0042.7%12.2%73.1%22.8%42.8%7.6%-1.2%371.6K-4.8M-68.2K0.3118.73N/AN/A2487824,49010,006
2020-06-03$23.02$19.0040.9%11.7%74.7%20.3%43.3%7.7%-0.9%414.6K-8.4M-69.0K0.8820.64N/AN/A32928924,55710,025
2020-06-04$22.52$22.0041.5%11.6%72.9%21.1%38.8%5.0%0.9%394.8K-6.3M-69.4K0.3528.43N/AN/A3,0921,08224,56110,283
2020-06-05$23.69$22.0038.9%11.2%53.6%17.3%38.1%5.2%3.0%472.9K-11.5M-71.7K0.5937.17N/AN/A38722724,62110,286
2020-06-08$24.79$22.0044.7%11.8%54.9%25.7%41.7%7.0%-0.8%466.7K-15.5M-71.9K0.3634.56N/AN/A38213624,72510,411
2020-06-09$24.20$22.0046.8%12.2%54.2%28.8%42.3%5.3%-0.7%451.9K-13.5M-68.2K0.3831.72N/AN/A1646324,68910,533
2020-06-10$23.10$22.0042.2%12.1%55.0%22.2%37.6%5.1%0.7%427.4K-8.6M-66.0K0.3631.83N/AN/A41915024,73110,483
2020-06-11$21.70$22.0046.3%13.3%57.2%28.1%47.4%7.0%-2.6%325.8K-2.8M-63.3K0.9935.60N/AN/A41541125,11610,434
2020-06-12$21.91$22.0046.5%13.3%57.2%28.4%45.5%5.8%-0.7%355.7K-4.5M-63.2K0.0928.68N/AN/A1391325,34110,127
2020-06-15$21.51$22.0047.6%13.6%57.6%30.0%47.4%5.6%-2.5%307.7K-2.9M-60.2K0.1228.98N/AN/A3153825,36510,127
2020-06-16$22.05$22.0045.4%13.0%56.9%26.8%46.6%5.9%-1.3%407.5K-5.4M-60.3K4.2237.50N/AN/A5924925,48410,125
2020-06-17$21.55$22.0046.1%13.2%57.3%27.8%47.6%5.2%-2.3%363.4K-3.1M-57.9K7.9827.06N/AN/A1311,04625,50110,147
2020-06-18$21.82$22.0047.1%13.5%57.3%29.2%47.5%3.7%0.1%315.3K-3.8M-61.5K0.3621.84N/AN/A1284625,53011,135
2020-06-19$22.19$22.0046.4%13.3%55.6%28.3%46.4%6.3%1.5%277.9K-6.1M-62.4K0.0329.15N/AN/A9943426,11911,147
2020-06-22$22.27$22.0047.4%13.6%55.5%29.7%45.2%6.5%2.2%322.8K-4.5M-62.7K0.3324.92N/AN/A1264124,8129,938
2020-06-23$22.70$22.0044.6%12.8%55.0%25.7%42.9%5.4%4.4%351.9K-6.3M-62.0K0.0426.75N/AN/A22,09479724,9119,957
2020-06-24$21.48$22.0048.5%13.9%52.5%31.2%46.5%5.5%3.8%999.3K-9.8M-98.9K0.0317.23N/AN/A5,75017745,8679,989
2020-06-25$21.65$22.0047.5%13.6%52.4%29.8%43.0%7.1%5.3%1.0M-10.0M-97.9K0.0326.77N/AN/A1,7905746,39210,148
2020-06-26$21.16$22.0050.7%14.5%53.0%34.4%51.2%6.1%4.8%879.1K-7.4M-94.6K1.6122.62N/AN/A26642847,61910,170
2020-06-29$20.85$22.0048.4%13.9%53.2%31.2%46.5%6.8%4.7%765.2K-4.6M-87.2K0.0024.86N/AN/A1,072347,77010,560
2020-06-30$21.54$22.0044.8%12.8%52.3%25.9%43.2%5.4%6.0%1.1M-9.1M-92.9K0.0126.27N/AN/A424448,24610,560