ELAN Options History — July 2022

In July 2022, ELAN traded between $19.57 and $20.66. ATM implied volatility averaged 46.5%, placing in the 19.2% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded above realized volatility by 12.0% (HV 20d: 34.6%). Max pain ranged from $19.00 to $25.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 1.14.

Notable Days

  • 2022-07-01: Highest Volume — 24,457 contracts
  • 2022-07-11: Largest IV spike — 10.0% change
  • 2022-07-26: Highest IV Rank — 21.3%
  • 2022-07-06: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.35$19.57$20.66$20.63$20.26
Max Pain$20.05$19.00$25.00$25.00$20.00
ATM IV46.5%43.4%49.3%45.2%45.0%
Expected Move13.5%12.7%14.4%13.0%12.9%
HV 20d34.6%27.6%42.3%42.3%27.6%
HV 60d40.4%40.1%40.8%40.5%40.5%
IV Rank19.2%16.6%21.3%18.1%17.9%
IV Percentile92.8%86.1%98.0%93.7%87.7%
Term Structure-2.9%-6.1%0.4%0.4%-3.4%
VWIV54.3%47.1%67.9%47.5%54.4%
Skew 25d4.7%-24.6%8.4%2.5%8.0%
Skew 10d14.1%-17.6%29.6%-17.6%22.6%
Call IV 25d47.5%43.8%79.8%46.5%44.7%
Put IV 25d52.2%49.0%55.2%49.0%52.6%
Bid-Ask Spread %65.8138.2697.3597.3592.45
Gamma HHI0.510.230.730.390.73
Net GEX1.1M-944.9K2.8M-944.9K2.3M
Net DEX-17.6M-37.3M15.3M15.3M-32.2M
Net VEX-135.1K-157.4K-62.4K-62.4K-153.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.152.410.151.82
Total Volume8,888.14,66024,45724,4579,980
Total OI58,020.5536,46378,63536,46358,857

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-07-01$20.63$25.0045.2%13.0%42.3%18.1%47.5%2.5%0.4%-944.9K15.3M-62.4K0.1597.35N/AN/A21,2553,20218,16418,299
2022-07-05$20.62$20.0048.6%13.6%41.8%20.8%52.3%-24.6%-2.4%-356.3K775.4K-105.6K0.5781.03N/AN/A4,2372,41133,28319,535
2022-07-06$20.36$20.0046.9%14.4%41.8%19.5%49.7%5.2%-2.8%-304.7K1.5M-109.5K0.2446.63N/AN/A9,8292,35834,96519,485
2022-07-07$20.66$20.0044.4%13.4%40.8%17.4%51.1%6.2%-2.5%-316.2K-5.4M-119.9K0.8444.36N/AN/A2,8182,35938,18419,542
2022-07-08$20.50$20.0043.4%13.7%40.8%16.6%47.1%5.4%-3.6%-249.4K-4.2M-122.9K0.2643.10N/AN/A9,2012,37440,21119,545
2022-07-11$20.19$20.0047.8%13.9%40.3%20.2%48.0%5.7%-2.3%147.5K-6.5M-132.1K0.7238.26N/AN/A2,7131,94746,53619,561
2022-07-12$19.91$20.0048.1%14.0%36.8%20.4%48.0%6.4%-3.0%296.6K-110.4K-125.4K0.2944.94N/AN/A6,9602,03746,59919,512
2022-07-13$19.68$20.0048.5%13.9%35.8%20.7%47.5%6.9%-3.2%669.7K1.2M-127.6K0.3747.33N/AN/A5,3902,01649,63219,494
2022-07-14$19.57$20.0047.5%13.6%33.4%19.9%50.9%8.4%-1.0%1.0M2.6M-127.6K0.6249.35N/AN/A9,6195,99251,43519,184
2022-07-15$20.00$20.0047.1%13.5%34.6%19.6%56.4%6.2%-3.0%2.8M-9.7M-155.1K2.0760.09N/AN/A3,0846,38458,25320,382
2022-07-18$20.01$20.0047.6%13.7%32.5%20.0%56.9%6.9%-4.1%1.7M-28.7M-150.8K1.6269.52N/AN/A2,5064,07245,9737,780
2022-07-19$20.66$19.0045.7%13.1%33.3%18.4%55.5%6.2%-3.2%1.7M-36.5M-157.4K1.5870.21N/AN/A2,6244,14746,2117,807
2022-07-20$20.62$19.0044.8%12.8%31.7%17.7%60.0%7.0%-2.4%1.8M-36.2M-155.3K1.8368.15N/AN/A2,2374,08346,1557,781
2022-07-21$20.59$19.0044.4%12.7%31.5%17.4%61.0%7.2%-2.4%1.8M-35.1M-151.8K1.7376.19N/AN/A2,2603,91246,0597,725
2022-07-22$20.61$20.0044.7%12.8%31.4%17.6%59.7%5.6%-1.2%1.8M-35.9M-151.9K1.7773.14N/AN/A2,2193,91746,0917,770
2022-07-25$20.41$19.0049.0%14.0%29.0%21.1%53.3%6.1%-5.3%1.8M-33.4M-145.7K1.0071.30N/AN/A3,8673,87746,0707,761
2022-07-26$20.45$20.0049.3%14.1%29.0%21.3%61.1%7.5%-3.4%1.9M-34.6M-146.6K1.6569.09N/AN/A2,3383,85146,9347,778
2022-07-27$20.65$20.0046.9%13.4%28.5%19.4%67.9%6.3%-2.8%2.1M-37.3M-149.3K2.4183.42N/AN/A1,8354,41947,9237,787
2022-07-28$20.57$20.0046.1%13.2%28.3%18.8%56.6%4.9%-6.1%2.1M-36.8M-151.1K1.3390.23N/AN/A4,0545,37847,9118,237
2022-07-29$20.26$20.0045.0%12.9%27.6%17.9%54.4%8.0%-3.4%2.3M-32.2M-153.7K1.8292.45N/AN/A3,5376,44349,5619,296