ELAN Options History — June 2021

In June 2021, ELAN traded between $33.39 and $36.10. ATM implied volatility averaged 28.1%, placing in the 5.0% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 0.6% (HV 20d: 27.5%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 4.64.

Notable Days

  • 2021-06-15: Highest Volume — 9,222 contracts
  • 2021-06-25: Largest IV drop — 12.7% change
  • 2021-06-17: Highest IV Rank — 9.6%
  • 2021-06-17: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.73$33.39$36.10$35.50$34.85
Max Pain$32.50$30.00$35.00$34.00$33.00
ATM IV28.1%23.9%30.6%28.9%25.6%
Expected Move8.1%6.8%8.8%8.3%7.3%
HV 20d27.5%17.9%34.4%33.2%27.6%
HV 60d31.5%27.4%35.2%35.2%27.5%
IV Rank5.0%0.0%9.6%6.0%3.6%
IV Percentile2.3%0.0%6.7%1.2%0.4%
Term Structure4.3%-0.0%7.7%-0.0%7.0%
VWIV28.5%23.8%33.1%28.6%25.9%
Skew 25d0.9%-0.6%2.3%1.0%0.6%
Skew 10d1.8%-6.2%7.0%2.1%1.9%
Call IV 25d28.5%25.5%31.4%29.4%26.0%
Put IV 25d29.4%26.1%31.3%30.4%26.6%
Bid-Ask Spread %65.4156.0473.7272.1272.26
Gamma HHI0.190.120.290.180.17
Net GEX639.3K-758.8K2.0M719.4K1.1M
Net DEX-19.7M-41.4M-1.8M-20.8M-21.7M
Net VEX-130.1K-146.4K-105.8K-108.1K-129.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.640.0238.362.207.42
Total Volume2,502.5779,2224103,765
Total OI38,376.40927,79051,02227,79039,549

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-06-01$35.50$34.0028.9%8.3%33.2%6.0%28.6%1.0%-0.0%719.4K-20.8M-108.1K2.2072.12N/AN/A12828213,10914,681
2021-06-02$35.42$35.0028.1%8.1%32.2%4.4%27.5%1.6%0.9%673.3K-20.2M-106.5K0.2773.72N/AN/A48113113,14814,875
2021-06-03$35.11$30.0028.5%8.2%32.3%5.3%30.3%0.6%4.5%625.7K-18.9M-108.0K21.2060.73N/AN/A761,61113,42014,980
2021-06-04$34.14$30.0028.9%8.2%34.4%6.0%29.4%1.6%2.2%222.7K-11.8M-105.8K2.1961.45N/AN/A2,5935,68713,44018,342
2021-06-07$33.52$32.0028.8%8.4%29.0%5.8%30.2%0.9%1.8%-335.7K-5.6M-126.2K14.9962.41N/AN/A3104,64715,49820,734
2021-06-08$33.39$32.0028.1%8.3%28.6%4.3%28.8%0.6%3.3%-758.8K-1.8M-129.5K0.7756.04N/AN/A3,0372,33215,71722,745
2021-06-09$33.88$32.0028.9%8.3%28.8%6.1%28.8%2.1%2.8%243.3K-13.6M-133.9K0.4267.23N/AN/A24510218,43822,141
2021-06-10$33.61$32.0028.1%8.1%28.9%4.3%29.7%1.5%3.9%253.6K-11.2M-130.5K38.3666.27N/AN/A1154,41118,54222,143
2021-06-11$33.75$32.0026.8%7.7%18.7%1.5%26.8%1.7%4.6%68.1K-10.8M-137.6K1.4167.19N/AN/A324518,63222,247
2021-06-14$33.45$32.0029.2%8.4%17.9%6.7%28.9%2.3%3.2%33.1K-7.2M-133.1K0.8162.02N/AN/A20616618,65622,277
2021-06-15$34.72$32.0029.8%8.5%22.4%8.0%31.1%-0.1%2.5%82.9K-21.6M-130.9K0.0268.06N/AN/A9,05316918,81422,410
2021-06-16$36.10$32.0028.7%8.2%26.0%5.6%28.9%-0.6%5.2%1.7M-41.4M-134.6K0.1565.91N/AN/A3,32148623,12422,518
2021-06-17$35.78$33.0030.6%8.8%26.0%9.6%33.1%0.3%5.0%2.0M-40.3M-141.1K7.5358.12N/AN/A4613,47124,84922,821
2021-06-18$34.86$33.0030.4%8.7%27.2%9.2%30.8%0.3%4.8%444.0K-24.5M-146.4K0.5363.72N/AN/A28615124,89126,131
2021-06-21$34.88$33.0027.7%7.9%27.1%3.4%28.8%0.2%6.0%381.5K-18.7M-139.5K0.0766.58N/AN/A2,50716516,98518,399
2021-06-22$35.30$33.0027.9%8.0%27.5%4.0%28.4%0.2%6.4%939.9K-24.3M-143.9K0.3670.77N/AN/A2499019,14818,517
2021-06-23$35.19$33.0027.6%7.9%27.4%3.3%28.2%1.0%6.6%925.0K-23.3M-142.7K0.9264.08N/AN/A67762019,28818,583
2021-06-24$34.99$33.0027.3%7.8%27.4%2.7%26.8%0.8%5.1%901.1K-22.0M-138.5K0.4668.66N/AN/A22510419,47918,633
2021-06-25$35.00$33.0023.9%6.8%27.4%0.0%23.8%0.6%7.7%1.0M-21.9M-133.6K1.1556.26N/AN/A16018419,62318,710
2021-06-28$35.34$33.0026.5%7.6%27.5%5.4%25.9%2.2%5.5%1.3M-25.0M-130.3K0.0366.66N/AN/A9662919,72518,853
2021-06-29$35.37$33.0026.8%7.7%27.1%6.0%26.6%0.6%6.0%1.4M-27.3M-132.0K0.8668.77N/AN/A68659320,58718,879
2021-06-30$34.85$33.0025.6%7.3%27.6%3.6%25.9%0.6%7.0%1.1M-21.7M-129.2K7.4272.26N/AN/A4473,31820,65518,894