ELAN Options History — June 2023

In June 2023, ELAN traded between $8.59 and $10.39. ATM implied volatility averaged 48.7%, placing in the 23.1% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 1.7% (HV 20d: 47.0%). Max pain ranged from $9.00 to $9.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.37.

Notable Days

  • 2023-06-16: Highest Volume — 13,273 contracts
  • 2023-06-14: Largest IV drop — 32.8% change
  • 2023-06-13: Highest IV Rank — 55.2%
  • 2023-06-01: Largest Expected Move — 16.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.72$8.59$10.39$8.59$10.09
Max Pain$9.00$9.00$9.00$9.00$9.00
ATM IV48.7%37.3%67.5%57.5%37.3%
Expected Move12.9%10.7%16.5%16.5%10.7%
HV 20d47.0%41.9%50.6%41.9%44.6%
HV 60d48.1%46.7%49.7%47.4%46.9%
IV Rank23.1%0.0%55.2%44.9%0.0%
IV Percentile45.0%0.0%97.2%85.3%0.0%
Term Structure5.6%-15.3%14.0%-4.9%13.9%
VWIV46.6%39.3%58.7%57.1%39.6%
Skew 25d0.7%-14.2%10.2%10.2%-1.8%
Skew 10d12.3%-12.3%25.6%13.2%14.0%
Call IV 25d47.0%39.3%58.6%46.8%44.9%
Put IV 25d47.7%41.4%57.0%57.0%43.2%
Bid-Ask Spread %38.9710.0269.2110.0224.64
Gamma HHI0.380.290.490.440.37
Net GEX371.0K276.3K480.3K296.0K480.3K
Net DEX-8.9M-16.1M-3.1M-3.1M-10.3M
Net VEX-67.3K-78.7K-57.7K-58.2K-77.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.370.0316.750.093.17
Total Volume1,829.95213613,2732,193292
Total OI49,764.71445,20653,18149,71353,173

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-06-01$8.59$9.0057.5%16.5%41.9%44.9%57.1%10.2%-4.9%296.0K-3.1M-58.2K0.0910.02N/AN/A2,01318038,19311,520
2023-06-02$9.16$9.0055.3%15.8%47.5%41.4%54.5%-14.2%-7.6%338.0K-6.5M-63.9K0.4111.29N/AN/A87335637,82911,649
2023-06-05$9.11$9.0057.1%13.9%45.2%39.6%49.5%2.9%4.6%348.9K-5.9M-62.2K0.0554.00N/AN/A9545237,62211,837
2023-06-06$9.16$9.0055.0%13.7%45.2%36.0%58.7%2.3%4.6%365.1K-6.3M-61.7K0.3823.03N/AN/A1033937,73011,817
2023-06-07$9.41$9.0055.0%13.2%46.2%36.0%45.8%5.2%6.1%367.5K-7.9M-61.6K0.0315.95N/AN/A9102737,71811,803
2023-06-08$9.29$9.0055.7%12.8%44.8%37.3%44.1%1.8%7.3%359.5K-6.7M-59.8K0.1124.63N/AN/A2602837,06111,805
2023-06-09$9.09$9.0051.5%12.8%44.5%30.1%45.6%5.8%6.7%388.9K-5.3M-57.7K0.8718.95N/AN/A907837,02311,815
2023-06-12$9.38$9.0064.4%13.4%44.7%51.3%46.7%5.4%6.4%385.9K-7.3M-57.8K0.1663.80N/AN/A1,24520337,00511,844
2023-06-13$10.11$9.0067.5%13.7%50.6%55.2%48.5%0.9%2.2%323.9K-13.2M-61.2K0.1351.66N/AN/A4,52460737,53311,864
2023-06-14$9.91$9.0045.4%13.0%49.3%16.2%50.4%1.8%3.6%413.2K-12.8M-64.0K0.4768.00N/AN/A21310139,68612,003
2023-06-15$10.14$9.0048.3%13.9%49.5%21.3%49.8%0.3%-15.3%340.0K-14.9M-64.2K0.3825.25N/AN/A51419539,80512,073
2023-06-16$10.39$9.0046.9%13.4%49.8%18.8%45.4%2.5%6.9%276.3K-16.1M-64.0K0.6769.21N/AN/A7,9365,33740,13912,148
2023-06-20$10.27$9.0043.2%12.4%49.4%12.3%45.7%-0.2%8.3%355.6K-9.6M-73.5K0.2735.06N/AN/A59516030,80914,572
2023-06-21$10.04$9.0041.2%11.8%49.9%8.8%42.7%-2.0%8.5%340.6K-8.1M-72.3K0.8246.40N/AN/A64452630,49014,716
2023-06-22$10.00$9.0041.1%11.8%48.7%8.6%42.2%-2.8%9.3%334.3K-7.5M-72.2K1.3959.17N/AN/A16623130,76815,166
2023-06-23$9.84$9.0040.7%11.7%48.4%7.9%42.9%-3.5%9.1%319.9K-6.5M-71.2K0.2848.38N/AN/A5,4721,51730,83015,289
2023-06-26$9.86$9.0039.5%11.3%47.0%5.7%40.2%-2.7%14.0%411.1K-8.5M-76.5K0.4940.36N/AN/A1628035,56916,450
2023-06-27$10.20$9.0041.4%11.9%47.8%9.1%44.0%0.2%11.0%465.3K-11.4M-78.7K0.1863.34N/AN/A4017335,65216,470
2023-06-28$9.98$9.0041.1%11.8%46.6%5.1%45.4%-2.6%9.3%439.0K-10.0M-77.1K16.7541.89N/AN/A641,07235,96216,440
2023-06-29$10.02$9.0038.1%10.9%46.6%0.0%39.3%4.2%13.5%441.6K-9.2M-78.1K1.5723.31N/AN/A538335,98617,195
2023-06-30$10.09$9.0037.3%10.7%44.6%0.0%39.6%-1.8%13.9%480.3K-10.3M-77.5K3.1724.64N/AN/A7022235,96317,210