ELAN Options History — July 2020 In July 2020, ELAN traded between $21.15 and $24.20. ATM implied volatility averaged 47.3%, placing in the 29.6% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 8.2% (HV 20d: 39.1%). Max pain ranged from $21.00 to $22.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.29.
Notable Days 2020-07-30 : Highest Volume — 25,240 contracts2020-07-30 : Largest IV drop — 19.1% change2020-07-29 : Highest IV Rank — 39.8%2020-07-29 : Largest Expected Move — 15.6%Monthly Statistics Metric Avg Min Max Open Close Price $22.58 $21.15 $24.20 $21.25 $23.45 Max Pain $21.95 $21.00 $22.00 $22.00 $21.00 ATM IV 47.3% 41.9% 54.4% 45.0% 45.4% Expected Move 14.0% 12.0% 15.6% 12.9% 13.0% HV 20d 39.1% 29.7% 50.1% 50.1% 46.1% HV 60d 55.6% 53.7% 58.8% 58.8% 56.8% IV Rank 29.6% 21.8% 39.8% 26.2% 26.8% IV Percentile 73.0% 61.1% 82.5% 70.2% 65.5% Term Structure -3.5% -6.9% 8.8% 6.5% -2.9% VWIV 47.5% 40.0% 53.1% 40.6% 44.4% Skew 25d 5.7% 3.2% 8.7% 8.7% 3.3% Skew 10d 13.7% 7.9% 29.2% 29.2% 11.0% Call IV 25d 46.2% 39.9% 52.5% 40.0% 44.7% Put IV 25d 51.9% 45.9% 56.8% 48.7% 48.0% Bid-Ask Spread % 31.83 18.24 47.02 30.23 22.59 Gamma HHI 0.33 0.27 0.56 0.30 0.36 Net GEX 1.5M 910.1K 2.8M 910.1K 2.5M Net DEX -19.6M -41.3M -6.3M -6.3M -41.3M Net VEX -90.0K -120.7K -73.2K -86.6K -120.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.29 0.00 1.71 0.72 0.03 Total Volume 5,589.318 65 25,240 265 7,547 Total OI 50,101 35,842 63,921 59,117 46,531
Daily Data (22 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 2020-07-01 $21.25 $22.00 45.0% 12.9% 50.1% 26.2% 40.6% 8.7% 6.5% 910.1K -6.3M -86.6K 0.72 30.23 N/A N/A 154 111 48,553 10,564 2020-07-02 $21.27 $22.00 41.9% 12.0% 49.7% 21.8% 40.0% 6.1% 8.8% 961.1K -6.4M -85.3K 0.53 33.91 N/A N/A 88 47 48,643 10,618 2020-07-06 $21.70 $22.00 43.8% 14.6% 46.4% 24.5% 49.0% 5.8% -4.8% 1.2M -9.7M -84.8K 0.59 32.74 N/A N/A 1,130 667 48,645 10,600 2020-07-07 $21.55 $22.00 45.2% 14.5% 42.5% 26.5% 50.7% 6.4% -4.4% 1.2M -8.6M -83.1K 1.30 32.46 N/A N/A 63 82 48,800 10,595 2020-07-08 $21.57 $22.00 42.2% 14.2% 42.1% 22.1% 48.7% 6.7% -4.4% 1.2M -8.0M -78.7K 0.49 28.59 N/A N/A 927 457 48,850 10,607 2020-07-09 $21.41 $22.00 48.1% 14.9% 39.2% 30.7% 51.0% 7.2% -3.6% 1.1M -6.9M -78.9K 1.71 32.12 N/A N/A 24 41 49,347 10,867 2020-07-10 $21.97 $22.00 46.2% 14.7% 33.9% 28.0% 49.0% 5.6% -5.0% 1.4M -12.0M -83.6K 0.03 34.29 N/A N/A 344 9 49,339 10,887 2020-07-13 $22.69 $22.00 47.9% 15.0% 35.6% 30.5% 49.8% 5.0% -5.3% 1.7M -19.0M -84.5K 0.01 40.08 N/A N/A 17,181 193 49,320 10,894 2020-07-14 $23.32 $22.00 51.5% 15.2% 35.9% 35.7% 51.7% 6.7% -6.5% 2.1M -31.1M -98.7K 0.04 47.02 N/A N/A 2,773 101 52,863 11,058 2020-07-15 $24.20 $22.00 50.1% 14.4% 37.0% 33.7% 50.6% 4.5% -5.6% 2.8M -37.4M -87.0K 0.09 43.81 N/A N/A 7,781 686 48,604 11,103 2020-07-16 $23.96 $22.00 52.0% 14.9% 36.0% 36.4% 51.7% 5.6% -4.8% 1.3M -31.6M -80.6K 0.09 44.41 N/A N/A 2,085 178 43,171 11,108 2020-07-17 $23.88 $22.00 47.3% 13.6% 36.1% 29.5% 45.6% 6.4% -2.8% 1.1M -31.3M -80.5K 0.01 40.85 N/A N/A 13,556 99 43,957 10,963 2020-07-20 $23.49 $22.00 48.6% 13.9% 36.5% 31.4% 46.4% 4.9% -4.3% 1.5M -24.4M -103.0K 0.19 41.37 N/A N/A 668 124 31,301 4,541 2020-07-21 $23.78 $22.00 47.1% 13.5% 36.6% 29.3% 47.5% 5.8% -4.7% 1.6M -26.7M -106.0K 0.01 27.55 N/A N/A 491 6 31,665 4,651 2020-07-22 $23.53 $22.00 46.8% 13.4% 36.4% 28.8% 45.6% 4.6% -4.5% 1.6M -24.0M -100.3K 0.04 29.75 N/A N/A 123 5 31,715 4,657 2020-07-23 $23.47 $22.00 47.3% 13.5% 29.7% 29.5% 44.0% 7.0% -4.7% 1.6M -23.3M -97.4K 0.00 28.20 N/A N/A 586 2 31,708 4,662 2020-07-24 $23.51 $22.00 46.1% 13.2% 29.7% 27.7% 45.7% 7.9% -4.2% 1.6M -23.8M -96.8K 0.03 18.76 N/A N/A 699 22 31,865 4,664 2020-07-27 $21.91 $22.00 49.0% 14.1% 38.8% 32.0% 47.3% 4.5% -4.9% 1.1M -11.2M -76.0K 0.02 18.24 N/A N/A 21,465 533 32,301 4,661 2020-07-28 $21.19 $22.00 50.8% 14.6% 40.4% 34.6% 48.7% 6.1% -4.6% 1.1M -8.6M -73.9K 0.30 22.98 N/A N/A 350 106 32,401 5,445 2020-07-29 $21.15 $22.00 54.4% 15.6% 38.6% 39.8% 53.1% 4.2% -6.9% 1.0M -8.6M -73.2K 0.04 27.73 N/A N/A 15,589 632 32,513 5,476 2020-07-30 $22.45 $22.00 44.0% 12.6% 43.8% 24.8% 42.8% 3.2% -2.0% 2.6M -31.7M -120.6K 0.02 22.60 N/A N/A 24,836 404 45,543 5,966 2020-07-31 $23.45 $21.00 45.4% 13.0% 46.1% 26.8% 44.4% 3.3% -2.9% 2.5M -41.3M -120.7K 0.03 22.59 N/A N/A 7,361 186 40,402 6,129
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