ELAN Options History — September 2022

In September 2022, ELAN traded between $12.50 and $15.72. ATM implied volatility averaged 50.7%, placing in the 22.5% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded above realized volatility by 3.0% (HV 20d: 47.7%). Max pain ranged from $14.00 to $20.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.85.

Notable Days

  • 2022-09-13: Highest Volume — 50,035 contracts
  • 2022-09-09: Largest IV spike — 24.6% change
  • 2022-09-13: Highest IV Rank — 32.5%
  • 2022-09-26: Largest Expected Move — 15.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.20$12.50$15.72$15.39$12.50
Max Pain$16.00$14.00$20.00$19.00$14.00
ATM IV50.7%42.3%63.0%45.0%52.6%
Expected Move14.1%12.3%15.9%12.9%15.1%
HV 20d47.7%38.7%51.9%42.4%49.4%
HV 60d38.8%35.3%40.4%35.8%39.2%
IV Rank22.5%15.7%32.5%17.9%24.0%
IV Percentile91.9%71.8%99.6%86.1%94.8%
Term Structure3.7%-1.8%6.4%-1.8%5.5%
VWIV49.8%43.7%57.5%45.4%54.9%
Skew 25d1.7%-2.5%5.4%-2.5%0.3%
Skew 10d2.2%-13.7%19.9%15.0%-13.6%
Call IV 25d49.9%43.2%57.2%46.8%54.7%
Put IV 25d51.7%43.3%57.3%44.2%55.0%
Bid-Ask Spread %44.418.3776.7061.6855.87
Gamma HHI0.260.200.310.270.30
Net GEX763.4K-294.6K1.9M-41.2K852.8K
Net DEX-14.2M-41.8M17.6M12.5M-19.6M
Net VEX-209.2K-325.3K-56.0K-76.1K-279.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.012.810.082.77
Total Volume10,453.1991450,0359146,779
Total OI123,477.1990,572167,05690,572139,911

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-09-01$15.39$19.0045.0%12.9%42.4%17.9%45.4%-2.5%-1.8%-41.2K12.5M-76.1K0.0861.68N/AN/A8447073,23617,336
2022-09-02$15.34$19.0042.7%12.3%40.7%16.1%43.7%-0.6%0.2%-28.1K12.5M-75.8K1.8235.47N/AN/A38470073,81317,349
2022-09-06$14.69$20.0044.1%12.7%40.4%17.2%47.6%2.4%4.5%49.5K15.7M-62.5K2.8166.14N/AN/A1,5274,29173,99218,044
2022-09-07$14.83$20.0044.9%12.5%39.5%17.8%44.7%2.6%3.4%25.6K16.0M-64.6K1.7841.17N/AN/A2,6064,63074,03919,296
2022-09-08$14.01$19.0042.3%12.5%38.7%15.7%44.9%-1.2%3.8%63.3K17.6M-56.0K0.4940.09N/AN/A1,93495674,84119,805
2022-09-09$14.98$19.0052.7%14.1%48.6%24.1%50.1%2.3%0.7%-294.6K14.2M-89.9K0.4376.70N/AN/A18,3187,96576,38426,949
2022-09-12$15.72$15.0056.0%12.4%51.9%26.8%44.4%2.3%4.5%572.1K-2.4M-107.9K0.0749.78N/AN/A8,19458389,77224,119
2022-09-13$15.35$15.0063.0%14.1%51.5%32.5%49.4%-0.5%5.9%765.9K1.8M-108.7K0.1035.50N/AN/A45,5264,50990,65824,556
2022-09-14$15.46$15.0051.3%14.7%51.9%23.0%52.2%2.6%5.6%1.5M-29.9M-225.3K0.1350.68N/AN/A12,4171,623123,93224,688
2022-09-15$15.14$15.0051.0%14.6%51.9%22.8%50.5%1.9%6.4%1.9M-31.8M-251.4K0.0262.63N/AN/A13,297254133,62125,436
2022-09-16$14.70$15.0051.5%14.8%51.9%23.2%51.2%5.4%4.7%1.2M-28.7M-268.0K0.5163.50N/AN/A9,5544,880141,49725,559
2022-09-19$14.51$15.0049.2%14.1%51.1%21.3%49.7%4.4%2.0%1.3M-41.8M-281.5K1.7158.85N/AN/A4,1017,02694,48813,872
2022-09-20$13.89$15.0048.5%13.9%48.8%20.8%48.1%5.0%4.9%1.1M-34.0M-292.2K0.2760.31N/AN/A7,6502,08199,59320,100
2022-09-21$13.66$15.0049.2%14.1%48.9%21.3%49.5%2.8%4.8%1.0M-32.7M-299.9K0.7640.34N/AN/A3,2582,491101,08821,697
2022-09-22$13.48$15.0049.2%14.1%48.9%21.3%48.8%2.6%6.4%1.1M-33.9M-325.3K0.6619.48N/AN/A2,8861,918109,09623,905
2022-09-23$13.16$15.0055.0%15.8%49.0%26.0%53.7%0.9%2.8%962.4K-29.6M-321.8K0.0136.79N/AN/A12,415132111,06925,576
2022-09-26$12.73$14.0055.3%15.9%47.7%26.3%57.5%-1.4%3.1%1.0M-24.4M-301.3K0.7530.72N/AN/A3,8022,835116,28325,555
2022-09-27$12.81$14.0054.7%15.7%48.0%25.7%52.9%4.1%2.8%1.0M-25.3M-299.9K0.7318.72N/AN/A2,1711,589115,73125,571
2022-09-28$13.17$14.0053.2%15.2%49.6%24.5%54.3%1.5%4.2%1.1M-30.3M-311.5K0.5119.86N/AN/A2,9341,489114,54725,531
2022-09-29$12.69$14.0053.0%15.2%50.5%24.3%53.2%1.8%3.3%952.9K-23.1M-293.5K1.328.37N/AN/A3,8395,059114,96125,525
2022-09-30$12.50$14.0052.6%15.1%49.4%24.0%54.9%0.3%5.5%852.8K-19.6M-279.1K2.7755.87N/AN/A1,7974,982113,71526,196