ELAN Options History — August 2021

In August 2021, ELAN traded between $29.20 and $36.65. ATM implied volatility averaged 31.7%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 26.2% (HV 20d: 57.9%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 3.58.

Notable Days

  • 2021-08-18: Highest Volume — 19,222 contracts
  • 2021-08-06: Largest IV spike — 30.0% change
  • 2021-08-06: Highest IV Rank — 54.5%
  • 2021-08-04: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.63$29.20$36.65$36.58$33.35
Max Pain$31.77$30.00$35.00$35.00$31.00
ATM IV31.7%26.6%50.2%36.8%26.6%
Expected Move8.7%7.6%11.0%10.6%7.6%
HV 20d57.9%21.3%70.3%21.6%68.7%
HV 60d39.4%24.6%44.0%27.3%43.5%
IV Rank16.6%6.2%54.5%27.1%6.2%
IV Percentile18.8%3.6%91.7%28.2%3.6%
Term Structure0.1%-5.9%6.2%-3.5%1.4%
VWIV30.5%25.9%38.1%37.5%26.7%
Skew 25d1.2%-0.8%8.3%1.8%0.7%
Skew 10d2.0%-2.1%4.8%4.8%0.7%
Call IV 25d30.2%26.0%38.0%36.3%26.7%
Put IV 25d31.4%26.8%46.3%38.1%27.4%
Bid-Ask Spread %61.9142.2381.6742.2371.35
Gamma HHI0.220.130.470.140.18
Net GEX-276.7K-2.8M1.8M-278.7K1.8M
Net DEX-923.0K-36.3M41.7M-17.2M-34.6M
Net VEX-125.2K-150.7K-75.6K-118.2K-136.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.580.0269.150.610.97
Total Volume3,184.7279019,222906,973
Total OI40,409.13631,93560,12932,14241,031

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-08-02$36.58$35.0036.8%10.6%21.6%27.1%37.5%1.8%-3.5%-278.7K-17.2M-118.2K0.6142.23N/AN/A563412,60319,539
2021-08-03$36.65$35.0037.1%10.6%21.4%27.7%37.0%1.0%-4.7%-244.9K-17.5M-118.2K0.0946.52N/AN/A1101012,59319,543
2021-08-04$36.43$35.0038.2%11.0%21.3%30.0%38.1%8.3%-4.6%-308.4K-16.7M-117.5K0.0560.44N/AN/A6643212,63519,569
2021-08-05$35.75$34.0038.6%9.3%22.5%30.7%33.3%0.7%-0.4%-618.8K-12.1M-118.9K3.2943.70N/AN/A11838812,70519,570
2021-08-06$35.36$35.0050.2%9.6%22.9%54.5%32.9%0.7%-3.0%-886.6K-7.8M-118.4K0.3248.58N/AN/A97331412,36519,570
2021-08-09$29.54$34.0039.7%10.2%67.6%33.1%36.0%4.3%-5.9%-1.1M36.7M-82.7K0.2381.67N/AN/A9,8122,27512,43119,629
2021-08-10$29.64$34.0033.5%8.7%67.6%20.3%30.4%0.3%0.8%-983.3K41.7M-75.6K0.4468.46N/AN/A2,4751,09913,23719,879
2021-08-11$29.20$30.0028.9%8.3%67.6%10.9%29.2%0.8%1.6%195.2K40.1M-96.7K0.2767.77N/AN/A3,01080021,36721,830
2021-08-12$30.18$30.0029.1%8.3%69.2%11.2%29.0%0.2%0.4%-447.2K34.2M-115.1K0.4379.48N/AN/A2,3381,00621,63122,632
2021-08-13$30.90$30.0029.0%8.3%69.8%11.1%29.1%0.6%0.7%-1.0M22.3M-134.8K0.2159.81N/AN/A3,26968224,00123,228
2021-08-16$31.48$30.0029.0%8.3%70.3%10.9%29.5%-0.8%1.3%-2.1M15.5M-131.9K0.2359.02N/AN/A1,23928923,67323,736
2021-08-17$31.62$30.0029.4%8.4%68.6%11.9%29.4%-0.1%0.7%-2.0M11.0M-142.8K0.4157.18N/AN/A85834925,97224,228
2021-08-18$31.45$30.0028.1%8.1%68.6%9.3%28.3%-0.3%6.2%-2.3M14.4M-134.8K69.1558.25N/AN/A27418,94825,72224,331
2021-08-19$31.56$30.0030.7%8.8%68.4%14.6%31.1%1.1%1.1%-2.8M13.7M-134.0K0.1658.29N/AN/A1,65627325,83624,573
2021-08-20$31.53$30.0029.0%8.3%68.1%11.0%29.5%1.5%2.1%242.7K22.3M-150.7K0.2469.53N/AN/A53713025,79134,338
2021-08-23$31.97$31.0027.7%7.9%68.3%8.3%28.3%2.0%1.9%588.0K-19.4M-143.5K0.3258.27N/AN/A39112620,02716,940
2021-08-24$32.34$31.0028.1%8.0%68.4%9.1%28.2%1.1%2.0%747.3K-23.2M-141.3K0.3262.96N/AN/A34511220,11316,954
2021-08-25$32.69$31.0027.1%7.8%68.1%7.1%27.4%1.0%1.4%914.0K-26.1M-139.0K0.0266.65N/AN/A3,2896820,30717,012
2021-08-26$32.67$31.0027.3%7.8%68.1%7.5%27.7%1.1%1.6%911.6K-26.1M-137.4K0.1666.36N/AN/A1422320,34816,978
2021-08-27$33.35$31.0026.7%7.7%68.8%6.3%26.7%0.8%1.0%1.8M-35.2M-134.9K0.7563.79N/AN/A1,05179023,24917,011
2021-08-30$33.51$31.0026.8%7.7%68.8%6.5%25.9%0.4%1.2%1.8M-36.3M-132.0K0.1171.76N/AN/A2,47026623,25117,023
2021-08-31$33.35$31.0026.6%7.6%68.7%6.2%26.7%0.7%1.4%1.8M-34.6M-136.0K0.9771.35N/AN/A3,5353,43823,55417,477