ELAN Options History — October 2022

In October 2022, ELAN traded between $11.73 and $13.41. ATM implied volatility averaged 59.4%, placing in the 29.5% IV rank vs the trailing year. The 30-day expected move averaged 17.4%. IV traded above realized volatility by 20.1% (HV 20d: 39.3%). Max pain ranged from $14.00 to $14.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.20.

Notable Days

  • 2022-10-04: Highest Volume — 73,901 contracts
  • 2022-10-12: Largest IV spike — 9.4% change
  • 2022-10-31: Highest IV Rank — 34.5%
  • 2022-10-31: Largest Expected Move — 18.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.44$11.73$13.41$12.58$13.17
Max Pain$14.00$14.00$14.00$14.00$14.00
ATM IV59.4%49.3%65.5%50.9%65.5%
Expected Move17.4%14.1%18.8%14.6%18.8%
HV 20d39.3%30.5%49.7%49.7%44.4%
HV 60d41.4%39.0%45.8%39.3%45.5%
IV Rank29.5%21.4%34.5%22.7%34.5%
IV Percentile97.1%90.9%99.6%91.7%99.6%
Term Structure-4.9%-10.2%8.1%5.1%-10.2%
VWIV59.5%50.8%64.8%54.9%64.7%
Skew 25d4.9%1.9%7.8%3.7%4.7%
Skew 10d10.7%-11.7%24.4%-11.7%4.6%
Call IV 25d57.9%49.5%62.6%51.4%62.1%
Put IV 25d62.8%54.2%66.8%55.1%66.8%
Bid-Ask Spread %35.666.3672.0612.2120.12
Gamma HHI0.200.160.360.320.16
Net GEX359.2K22.5K950.5K848.3K444.3K
Net DEX-5.1M-23.2M8.4M-19.4M-13.8M
Net VEX-192.6K-293.3K-144.6K-278.8K-197.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.200.053.092.270.77
Total Volume9,300.0483,48173,9015,2425,911
Total OI120,349.714106,439145,226140,286106,871

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-10-03$12.58$14.0050.9%14.6%49.7%22.7%54.9%3.7%5.1%848.3K-19.4M-278.8K2.2712.21N/AN/A1,6043,638114,08926,197
2022-10-04$12.84$14.0051.4%14.7%49.2%23.1%50.8%4.8%3.2%921.0K-21.2M-278.6K0.0565.71N/AN/A70,2643,637114,17426,309
2022-10-05$12.77$14.0049.3%14.1%48.8%21.4%53.2%4.7%8.1%950.5K-23.2M-293.3K1.456.36N/AN/A2,2303,234118,89226,334
2022-10-06$12.69$14.0051.6%16.4%45.2%23.3%56.3%6.7%-2.3%446.1K-2.5M-169.7K1.3459.18N/AN/A2,4793,32286,32226,303
2022-10-07$12.24$14.0054.4%17.2%37.6%25.5%58.3%6.6%-3.5%293.1K1.8M-156.0K3.0937.44N/AN/A2,0016,18586,29326,501
2022-10-10$11.88$14.0054.1%17.3%31.2%25.3%60.0%6.8%-6.3%139.8K6.8M-149.7K1.7132.99N/AN/A1,9453,32186,51829,644
2022-10-11$11.86$14.0055.1%17.7%31.3%26.1%60.9%5.1%-7.0%106.5K6.8M-151.4K1.0921.35N/AN/A2,8873,16186,85530,437
2022-10-12$11.80$14.0060.3%17.3%30.5%30.3%57.7%5.9%-2.7%60.5K8.1M-147.2K1.5629.16N/AN/A1,7142,68086,64130,626
2022-10-13$11.90$14.0061.8%17.7%31.4%31.5%59.6%5.7%-7.7%68.8K7.3M-148.3K1.2872.06N/AN/A2,1012,69686,75230,563
2022-10-14$11.73$14.0060.2%17.3%30.7%30.2%59.4%5.4%-5.8%22.5K8.4M-144.6K0.2033.85N/AN/A13,0982,56086,83530,692
2022-10-17$12.30$14.0062.9%18.0%37.1%32.4%60.5%3.1%-6.1%240.7K-2.7M-193.1K0.3731.09N/AN/A4,7041,72197,32930,736
2022-10-18$12.23$14.0062.6%18.0%34.7%32.2%62.1%5.9%-6.7%299.4K-2.5M-188.8K0.7337.53N/AN/A2,6101,91598,83430,755
2022-10-19$11.84$14.0063.2%18.1%35.7%32.6%59.2%3.2%-8.2%191.8K2.2M-176.5K1.2540.25N/AN/A1,5471,93498,06730,962
2022-10-20$11.85$14.0062.4%17.9%35.7%31.9%62.3%3.8%-6.7%196.5K2.3M-175.5K0.7436.34N/AN/A2,6231,94797,85431,131
2022-10-21$12.12$14.0063.8%18.3%36.5%33.1%62.8%5.8%-5.6%260.4K-481.4K-182.9K1.7834.44N/AN/A1,6132,87598,53631,402
2022-10-24$12.23$14.0064.8%18.6%35.1%33.9%61.5%7.8%-8.6%205.6K-2.0M-186.3K1.7131.18N/AN/A1,5112,58377,99131,043
2022-10-25$13.32$14.0064.9%18.6%46.8%34.0%64.8%3.9%-8.7%397.6K-15.0M-207.3K1.4844.65N/AN/A3,7995,64178,09031,070
2022-10-26$13.24$14.0063.1%18.1%45.9%32.6%61.1%1.9%-8.3%490.9K-16.2M-206.9K0.7621.46N/AN/A3,3022,51078,27228,167
2022-10-27$13.15$14.0062.1%17.8%43.8%31.7%57.1%3.5%-6.6%459.6K-14.9M-204.3K0.7921.42N/AN/A3,2762,59978,25028,220
2022-10-28$13.41$14.0062.7%18.0%43.8%32.2%63.1%4.0%-9.0%499.7K-17.1M-207.1K0.7560.07N/AN/A3,3782,54578,42928,358
2022-10-31$13.17$14.0065.5%18.8%44.4%34.5%64.7%4.7%-10.2%444.3K-13.8M-197.3K0.7720.12N/AN/A3,3322,57978,44928,422