ELAN Options History — September 2021

In September 2021, ELAN traded between $31.62 and $34.00. ATM implied volatility averaged 28.6%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 5.8% (HV 20d: 22.8%). Max pain ranged from $31.00 to $32.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.19.

Notable Days

  • 2021-09-23: Highest Volume — 3,236 contracts
  • 2021-09-23: Largest IV drop — 11.3% change
  • 2021-09-20: Highest IV Rank — 17.3%
  • 2021-09-20: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.86$31.62$34.00$33.59$32.03
Max Pain$31.10$31.00$32.00$31.00$32.00
ATM IV28.6%25.7%32.0%26.3%29.9%
Expected Move8.2%7.5%9.2%7.5%8.6%
HV 20d22.8%12.6%68.8%68.8%15.3%
HV 60d42.2%41.6%43.5%43.5%42.1%
IV Rank10.2%4.3%17.3%5.4%12.8%
IV Percentile14.8%2.0%25.4%2.8%24.2%
Term Structure4.3%1.2%6.2%1.2%6.2%
VWIV28.5%26.2%31.4%26.2%30.5%
Skew 25d1.3%0.0%2.6%0.2%0.0%
Skew 10d4.0%-0.2%18.0%3.5%0.8%
Call IV 25d28.3%26.5%31.2%26.5%30.4%
Put IV 25d29.6%26.7%32.6%26.7%30.4%
Bid-Ask Spread %61.3944.8176.2176.2166.26
Gamma HHI0.220.150.350.220.18
Net GEX1.6M618.4K2.7M2.0M1.2M
Net DEX-28.6M-45.3M-13.0M-39.8M-16.8M
Net VEX-156.6K-179.6K-144.2K-159.9K-145.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.017.820.080.20
Total Volume563.333463,236232175
Total OI41,674.52429,60550,42942,50834,947

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$33.59$31.0026.3%7.5%68.8%5.4%26.2%0.2%1.2%2.0M-39.8M-159.9K0.0876.21N/AN/A2141825,12317,385
2021-09-02$33.76$31.0025.7%7.7%68.7%4.3%27.2%1.5%4.5%2.4M-42.4M-179.6K0.0855.32N/AN/A4493528,45220,752
2021-09-03$34.00$31.0026.3%7.7%68.7%5.6%26.9%1.1%4.0%2.6M-45.3M-177.9K2.1061.17N/AN/A9319528,47220,761
2021-09-07$33.88$31.0028.9%7.9%17.8%10.8%27.7%1.7%3.9%2.7M-43.2M-172.3K0.1546.63N/AN/A1,09716128,61620,795
2021-09-08$33.74$31.0028.1%8.0%18.2%9.1%27.7%0.6%3.6%2.6M-41.5M-171.5K0.7044.81N/AN/A35124428,62020,985
2021-09-09$33.75$31.0028.2%8.1%16.6%9.3%28.2%1.8%3.6%2.5M-40.8M-168.2K0.2563.16N/AN/A2035128,44521,081
2021-09-10$33.50$31.0028.8%8.2%14.3%10.5%28.4%0.7%2.9%2.2M-36.8M-165.1K0.0555.24N/AN/A6013128,57921,297
2021-09-13$33.28$31.0028.6%8.2%13.1%10.2%28.2%1.0%2.5%1.7M-33.4M-158.3K3.3449.93N/AN/A6722428,64421,299
2021-09-14$33.00$31.0028.7%8.2%12.6%10.4%28.4%1.0%2.1%1.2M-31.1M-158.2K3.7151.80N/AN/A12747129,13021,299
2021-09-15$32.52$31.0027.5%7.9%13.9%8.1%28.0%0.6%4.3%958.7K-26.5M-156.0K0.3665.44N/AN/A1595829,12821,225
2021-09-16$32.50$31.0028.7%8.2%13.7%10.5%27.2%0.9%5.4%847.7K-26.7M-153.8K0.6557.54N/AN/A18211829,11221,198
2021-09-17$32.31$31.0029.3%8.4%13.9%11.7%28.7%2.1%4.8%799.2K-24.5M-150.9K1.4549.28N/AN/A517429,14521,232
2021-09-20$31.66$31.0032.0%9.2%15.9%17.3%31.4%1.4%4.6%618.4K-13.3M-146.4K0.3468.42N/AN/A2929919,6569,949
2021-09-21$31.62$31.0030.4%8.7%15.0%13.9%30.9%1.8%6.2%628.8K-13.0M-144.2K0.8868.21N/AN/A28425119,65710,009
2021-09-22$31.80$31.0030.8%8.8%14.5%14.7%30.0%2.6%4.6%688.6K-14.1M-145.9K0.7772.97N/AN/A262019,82010,054
2021-09-23$32.53$31.0027.3%7.8%16.3%7.6%26.8%2.4%5.8%1.0M-19.5M-145.5K0.0169.81N/AN/A3,1983820,05610,033
2021-09-24$32.67$31.0027.1%7.8%16.4%7.1%27.2%2.6%5.6%1.1M-21.0M-144.3K0.8974.73N/AN/A464120,06810,042
2021-09-27$32.89$31.0028.1%8.1%14.7%9.3%28.5%1.9%4.9%1.7M-26.1M-150.9K0.9859.19N/AN/A19118723,18410,037
2021-09-28$32.51$31.0030.3%8.7%15.1%13.6%30.0%1.9%4.2%1.5M-23.0M-147.6K7.8267.67N/AN/A1791,40023,22110,062
2021-09-29$32.47$32.0029.6%8.5%15.0%12.3%29.5%0.5%5.3%1.6M-22.4M-146.2K0.0965.29N/AN/A1181123,36910,226
2021-09-30$32.03$32.0029.9%8.6%15.3%12.8%30.5%0.0%6.2%1.2M-16.8M-145.9K0.2066.26N/AN/A1462923,35211,595