ELAN Options History — June 2022

In June 2022, ELAN traded between $19.56 and $24.85. ATM implied volatility averaged 38.3%, placing in the 12.5% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 4.3% (HV 20d: 42.6%). Max pain ranged from $24.00 to $25.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 3.25.

Notable Days

2022-06-13: Highest Volume — 10,471 contracts
2022-06-02: Largest IV spike — 21.9% change
2022-06-16: Highest IV Rank — 17.0%
2022-06-16: Largest Expected Move — 12.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.78	$19.56	$24.85	$24.27	$19.56
Max Pain	$24.95	$24.00	$25.00	$24.00	$25.00
ATM IV	38.3%	28.7%	43.9%	28.7%	39.1%
Expected Move	10.7%	7.6%	12.6%	8.2%	11.2%
HV 20d	42.6%	37.5%	52.8%	52.1%	37.5%
HV 60d	38.3%	36.8%	39.2%	38.2%	38.7%
IV Rank	12.5%	4.7%	17.0%	4.7%	13.1%
IV Percentile	69.6%	24.2%	89.3%	24.2%	72.2%
Term Structure	2.7%	-10.8%	19.2%	11.2%	4.4%
VWIV	40.7%	29.8%	47.2%	29.8%	39.8%
Skew 25d	5.1%	-4.6%	12.3%	12.3%	5.9%
Skew 10d	11.1%	-11.4%	31.0%	23.9%	23.0%
Call IV 25d	37.4%	30.5%	44.2%	31.0%	38.0%
Put IV 25d	42.5%	31.0%	51.2%	43.2%	43.9%
Bid-Ask Spread %	75.88	45.98	104.59	104.59	86.16
Gamma HHI	0.34	0.22	0.49	0.22	0.38
Net GEX	-879.3K	-2.3M	159.1K	55.2K	-907.0K
Net DEX	17.5M	-1.6M	39.0M	538.3K	22.5M
Net VEX	-74.3K	-94.6K	-50.8K	-79.2K	-50.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.25	0.59	8.70	0.59	0.89
Total Volume	6,127.714	3,082	10,471	3,082	4,517
Total OI	37,571.81	28,250	45,534	28,250	36,416

Daily Data (21 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
2022-06-01	$24.27	$24.00	28.7%	8.2%	52.1%	4.7%	29.8%	12.3%	11.2%	55.2K	538.3K	-79.2K	0.59	104.59	N/A	N/A	1,944	1,138	15,677	12,573
2022-06-02	$24.85	$25.00	35.0%	7.6%	52.8%	9.8%	45.7%	-0.4%	-6.2%	159.1K	-1.6M	-85.1K	3.59	88.52	N/A	N/A	1,902	6,837	16,504	12,595
2022-06-03	$24.17	$25.00	34.8%	9.9%	52.3%	9.7%	44.3%	-4.6%	19.2%	-270.1K	3.0M	-94.6K	3.59	84.65	N/A	N/A	1,903	6,840	16,610	18,352
2022-06-06	$23.83	$25.00	36.7%	9.2%	52.1%	11.2%	41.5%	5.2%	-1.3%	-329.4K	4.9M	-84.8K	1.82	85.75	N/A	N/A	1,927	3,508	16,615	18,364
2022-06-07	$24.45	$25.00	38.1%	9.7%	43.1%	12.3%	43.3%	6.0%	2.1%	-239.6K	3.0M	-90.1K	2.31	83.17	N/A	N/A	1,469	3,395	16,642	20,819
2022-06-08	$24.23	$25.00	33.6%	9.6%	43.4%	8.7%	42.9%	3.1%	4.2%	-248.5K	3.3M	-90.9K	2.25	79.85	N/A	N/A	1,481	3,328	16,664	20,897
2022-06-09	$23.60	$25.00	34.4%	9.9%	39.5%	9.4%	40.1%	3.2%	2.5%	-545.7K	5.9M	-90.4K	2.55	81.46	N/A	N/A	1,452	3,706	16,679	20,900
2022-06-10	$22.39	$25.00	39.0%	11.2%	43.4%	13.1%	40.7%	6.2%	4.3%	-1.1M	14.1M	-90.7K	6.36	91.85	N/A	N/A	1,270	8,076	16,808	20,893
2022-06-13	$21.72	$25.00	41.9%	12.0%	42.6%	15.4%	45.9%	9.5%	-10.8%	-1.8M	25.7M	-88.4K	8.70	80.24	N/A	N/A	1,080	9,391	16,792	26,137
2022-06-14	$20.89	$25.00	41.5%	11.9%	41.6%	15.1%	44.5%	7.4%	-0.8%	-2.0M	36.8M	-72.6K	6.46	61.73	N/A	N/A	1,107	7,152	16,846	28,688
2022-06-15	$20.94	$25.00	41.6%	11.9%	38.9%	15.2%	32.1%	6.0%	0.2%	-2.3M	34.6M	-75.4K	6.47	53.85	N/A	N/A	1,101	7,120	16,870	28,591
2022-06-16	$20.24	$25.00	43.9%	12.6%	39.4%	17.0%	35.5%	7.0%	1.2%	-1.2M	39.0M	-66.1K	4.29	45.98	N/A	N/A	1,094	4,694	16,870	27,622
2022-06-17	$20.74	$25.00	40.5%	11.6%	41.0%	14.2%	47.2%	8.4%	2.7%	-768.3K	35.0M	-69.3K	5.12	66.28	N/A	N/A	1,258	6,439	16,887	25,951
2022-06-21	$20.16	$25.00	40.5%	11.6%	38.6%	14.2%	43.9%	5.4%	2.8%	-965.4K	21.9M	-64.5K	4.07	63.96	N/A	N/A	1,086	4,420	16,732	19,737
2022-06-22	$20.01	$25.00	41.2%	11.8%	38.6%	14.8%	39.8%	3.9%	0.9%	-909.4K	22.8M	-64.1K	3.09	64.94	N/A	N/A	1,108	3,422	16,747	19,992
2022-06-23	$19.90	$25.00	38.9%	11.2%	38.2%	13.0%	40.5%	0.9%	4.8%	-902.0K	21.7M	-66.8K	1.40	96.68	N/A	N/A	2,206	3,078	16,753	18,741
2022-06-24	$20.61	$25.00	36.3%	10.4%	40.7%	10.8%	38.5%	5.3%	4.0%	-1.0M	17.7M	-63.2K	1.48	51.57	N/A	N/A	2,079	3,067	17,726	18,863
2022-06-27	$20.54	$25.00	40.1%	11.5%	39.9%	13.9%	40.7%	6.0%	3.2%	-1.0M	18.1M	-60.9K	1.46	73.23	N/A	N/A	2,077	3,032	17,755	18,772
2022-06-28	$20.18	$25.00	40.0%	11.5%	39.8%	13.9%	39.6%	4.5%	3.4%	-1.0M	18.2M	-57.6K	0.76	76.88	N/A	N/A	2,052	1,559	17,757	18,123
2022-06-29	$20.00	$25.00	38.9%	11.2%	39.7%	13.0%	38.6%	6.7%	3.9%	-1.1M	20.1M	-54.2K	0.97	72.15	N/A	N/A	2,221	2,146	17,768	18,280
2022-06-30	$19.56	$25.00	39.1%	11.2%	37.5%	13.1%	39.8%	5.9%	4.4%	-907.0K	22.5M	-50.8K	0.89	86.16	N/A	N/A	2,385	2,132	18,119	18,297