ELAN Options History — July 2021

In July 2021, ELAN traded between $34.14 and $36.81. ATM implied volatility averaged 31.4%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 9.5% (HV 20d: 21.8%). Max pain ranged from $34.00 to $35.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 4.36.

Notable Days

  • 2021-07-20: Highest Volume — 5,988 contracts
  • 2021-07-12: Largest IV spike — 21.2% change
  • 2021-07-29: Highest IV Rank — 30.1%
  • 2021-07-29: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.26$34.14$36.81$35.05$36.42
Max Pain$34.90$34.00$35.00$34.00$35.00
ATM IV31.4%23.6%38.3%24.6%35.3%
Expected Move9.4%6.8%11.0%7.1%10.1%
HV 20d21.8%14.3%27.5%27.5%21.6%
HV 60d27.2%26.5%27.6%26.8%27.3%
IV Rank15.9%0.0%30.1%1.6%24.0%
IV Percentile14.5%0.0%34.1%0.4%24.2%
Term Structure-1.1%-7.3%8.1%8.1%-3.4%
VWIV33.1%24.0%37.3%25.2%36.2%
Skew 25d1.2%-0.1%2.6%0.6%0.9%
Skew 10d2.7%-6.6%28.7%-2.5%0.4%
Call IV 25d32.8%25.6%35.3%25.9%35.0%
Put IV 25d34.0%25.6%37.3%26.5%35.9%
Bid-Ask Spread %55.2140.6876.7671.4760.64
Gamma HHI0.190.130.280.170.14
Net GEX106.4K-665.4K2.1M1.1M-429.9K
Net DEX-13.4M-22.0M-5.0M-21.8M-15.6M
Net VEX-121.7K-136.3K-107.5K-136.3K-122.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.360.0137.940.120.12
Total Volume1,172.714775,98810377
Total OI37,713.28621,34447,95642,68033,957

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-07-01$35.05$34.0024.6%7.1%27.5%1.6%25.2%0.6%8.1%1.1M-21.8M-136.3K0.1271.47N/AN/A921120,49722,183
2021-07-02$35.00$34.0023.8%6.8%25.5%0.0%24.0%-0.1%7.7%1.1M-21.3M-134.7K3.2776.76N/AN/A3310820,55822,193
2021-07-06$34.83$35.0025.8%9.4%24.5%4.3%33.3%0.8%-0.8%987.2K-18.8M-125.0K0.6145.20N/AN/A895420,57222,294
2021-07-07$34.56$35.0028.1%9.3%24.7%8.9%32.5%1.0%-1.0%592.7K-15.7M-121.3K0.0450.56N/AN/A138620,63322,339
2021-07-08$34.38$35.0026.8%9.4%24.3%6.3%34.8%1.1%-1.2%184.1K-12.6M-117.6K11.5153.06N/AN/A1051,20920,71222,287
2021-07-09$34.55$35.0023.6%9.2%24.1%0.0%32.2%1.1%-0.5%797.7K-15.1M-114.7K0.2357.80N/AN/A902120,73523,481
2021-07-12$35.16$35.0028.6%9.4%24.8%10.3%32.6%1.7%-1.7%2.1M-22.0M-111.3K0.3656.87N/AN/A32511620,73623,500
2021-07-13$34.38$35.0030.0%9.3%26.0%13.0%33.7%1.1%-1.6%483.2K-12.5M-107.5K37.9458.19N/AN/A863,26320,96623,608
2021-07-14$34.25$35.0032.8%9.4%22.3%18.7%32.6%0.6%-1.7%-14.6K-8.3M-115.6K0.1856.81N/AN/A60311020,99126,869
2021-07-15$34.14$35.0032.7%9.4%16.7%18.7%32.5%1.9%-1.9%-149.8K-6.8M-112.0K0.6544.03N/AN/A956221,04726,856
2021-07-16$34.35$35.0033.6%9.6%16.8%20.5%35.9%0.2%-1.1%-470.1K-8.2M-111.6K3.3140.68N/AN/A3421,13121,04726,909
2021-07-19$34.25$35.0033.7%9.7%14.3%20.7%37.3%2.1%0.3%-412.5K-5.0M-112.6K15.5551.59N/AN/A1882,9239,49111,853
2021-07-20$35.59$35.0034.0%9.7%20.0%21.3%34.5%0.7%-2.2%-302.1K-10.5M-115.0K3.2357.18N/AN/A1,4164,5729,72914,753
2021-07-21$35.60$35.0033.7%9.7%19.5%20.6%34.1%1.6%-2.8%-665.4K-7.5M-136.3K0.0846.35N/AN/A3903011,08119,295
2021-07-22$35.99$35.0033.4%9.6%19.8%20.0%34.1%2.6%-2.1%-537.7K-10.2M-133.8K0.0747.08N/AN/A2751911,35919,290
2021-07-23$36.44$35.0033.7%9.7%20.0%20.7%34.5%1.5%-1.4%-383.0K-13.7M-128.0K0.0654.38N/AN/A4332411,47319,294
2021-07-26$35.78$35.0034.9%10.0%21.3%23.2%36.2%0.5%-2.5%-578.2K-10.4M-126.6K10.1159.74N/AN/A2412,43711,47319,294
2021-07-27$36.17$35.0034.8%10.0%21.4%22.9%34.8%2.5%-2.4%-456.9K-12.9M-127.4K0.0148.32N/AN/A341211,80319,307
2021-07-28$36.81$35.0037.1%10.6%22.1%27.7%35.5%1.4%-3.4%-398.1K-16.5M-123.7K0.2359.06N/AN/A1132611,93521,706
2021-07-29$36.68$35.0038.3%11.0%21.4%30.1%28.6%0.9%-7.3%-377.9K-16.6M-121.9K3.8663.63N/AN/A6242,40712,16721,706
2021-07-30$36.42$35.0035.3%10.1%21.6%24.0%36.2%0.9%-3.4%-429.9K-15.6M-122.5K0.1260.64N/AN/A69812,23421,723