ELAN Options History — November 2022

In November 2022, ELAN traded between $11.80 and $13.49. ATM implied volatility averaged 52.9%, placing in the 24.3% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded below realized volatility by 6.2% (HV 20d: 59.0%). Max pain ranged from $13.00 to $16.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.20.

Notable Days

  • 2022-11-18: Highest Volume — 19,457 contracts
  • 2022-11-08: Largest IV drop — 30.2% change
  • 2022-11-07: Highest IV Rank — 43.6%
  • 2022-11-02: Largest Expected Move — 18.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.64$11.80$13.49$13.29$12.82
Max Pain$14.10$13.00$16.00$14.00$13.00
ATM IV52.9%42.7%76.8%65.3%44.7%
Expected Move14.5%12.2%18.9%18.7%12.8%
HV 20d59.0%42.2%69.7%44.0%66.7%
HV 60d49.9%43.9%53.5%45.3%53.5%
IV Rank24.3%16.1%43.6%34.3%17.7%
IV Percentile79.3%50.8%99.6%99.2%61.5%
Term Structure-2.7%-10.8%5.4%-10.8%1.2%
VWIV51.5%43.0%65.1%65.1%48.1%
Skew 25d4.3%0.6%7.8%0.6%4.2%
Skew 10d12.6%-5.0%27.3%9.2%25.8%
Call IV 25d48.9%40.6%65.6%65.6%45.6%
Put IV 25d53.2%46.0%66.1%66.1%49.7%
Bid-Ask Spread %38.4517.0478.7836.2278.78
Gamma HHI0.190.160.200.160.19
Net GEX253.1K5.2K531.4K479.1K192.1K
Net DEX-6.1M-17.7M3.2M-15.7M-8.2M
Net VEX-168.0K-200.4K-145.7K-200.4K-159.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.200.173.840.780.42
Total Volume7,982.85734519,4575,961908
Total OI108,207.714106,076111,519106,920108,307

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-11-01$13.29$14.0065.3%18.7%44.0%34.3%65.1%0.6%-10.8%479.1K-15.7M-200.4K0.7836.22N/AN/A3,3452,61678,48228,438
2022-11-02$13.22$14.0065.8%18.9%44.0%34.7%64.1%2.4%-9.8%445.5K-14.2M-196.7K0.7831.72N/AN/A3,2892,55978,58928,584
2022-11-03$12.91$16.0065.4%15.6%44.8%34.4%49.3%7.0%-4.8%370.7K-10.4M-188.6K0.7242.59N/AN/A3,4982,50678,59828,597
2022-11-04$13.03$16.0067.6%15.9%42.7%36.2%47.6%7.8%-5.9%409.9K-11.4M-188.3K0.6731.83N/AN/A3,7012,48078,81328,619
2022-11-07$13.48$16.0076.8%16.4%42.2%43.6%49.4%3.5%-5.8%531.4K-17.7M-192.7K0.8771.85N/AN/A3,3922,96678,93728,618
2022-11-08$13.27$16.0053.6%13.9%42.8%24.9%45.2%6.0%-2.2%396.9K-11.8M-181.0K0.5517.04N/AN/A4,8592,67478,86729,046
2022-11-09$11.95$16.0050.3%14.4%58.1%22.2%48.5%3.5%-4.7%145.8K2.3M-152.9K0.7521.01N/AN/A3,7482,82478,81029,217
2022-11-10$12.28$14.0052.1%14.9%58.8%23.7%49.5%4.4%-5.5%193.7K-814.1K-159.9K0.9120.95N/AN/A2,9222,64679,16629,190
2022-11-11$13.49$14.0048.3%13.8%66.9%20.5%46.1%6.7%-1.6%447.7K-14.7M-185.4K0.1978.39N/AN/A14,9722,82879,52129,205
2022-11-14$12.95$14.0049.1%14.1%67.2%21.2%49.3%4.1%-3.5%423.7K-8.9M-171.0K0.6330.45N/AN/A4,4012,77579,97429,364
2022-11-15$12.83$14.0049.8%14.3%67.2%21.8%50.1%6.7%-4.8%405.8K-8.1M-169.6K0.7432.33N/AN/A3,8812,87981,27529,364
2022-11-16$12.33$14.0050.1%14.4%67.8%22.0%49.7%1.0%-4.7%267.6K-1.5M-156.9K0.7658.08N/AN/A3,8492,91981,27629,380
2022-11-17$11.80$14.0049.3%14.1%69.7%21.3%49.4%1.6%-3.3%149.1K3.2M-145.7K0.8422.92N/AN/A3,9593,33181,39529,262
2022-11-18$11.94$13.0047.2%13.5%69.4%19.7%50.1%1.8%-1.7%204.6K2.9M-148.3K3.0322.64N/AN/A4,82814,62981,74729,772
2022-11-21$12.16$13.0046.4%13.3%69.6%19.0%56.9%6.7%-0.5%5.2K-177.4K-153.6K3.1927.01N/AN/A4,10313,10768,41137,665
2022-11-22$12.41$13.0044.1%12.7%62.4%17.2%62.1%5.4%4.3%55.8K-3.2M-157.7K3.6428.11N/AN/A3,53512,87068,85837,715
2022-11-23$12.24$13.0043.2%12.4%62.6%16.5%61.4%5.5%5.4%19.4K-2.2M-155.0K3.8424.09N/AN/A3,39913,06268,87537,854
2022-11-25$12.64$13.0042.7%12.2%63.8%16.1%43.0%6.4%4.3%91.9K-5.5M-162.4K0.9640.70N/AN/A19518768,91038,136
2022-11-28$12.16$13.0049.8%14.3%64.6%21.8%48.2%3.3%-1.5%39.0K-1.1M-150.8K0.8017.51N/AN/A36329069,13438,332
2022-11-29$12.25$13.0048.9%14.0%64.5%21.1%48.9%1.5%-1.4%39.0K-1.9M-152.3K0.1773.16N/AN/A2945169,44838,611
2022-11-30$12.82$13.0044.7%12.8%66.7%17.7%48.1%4.2%1.2%192.1K-8.2M-159.2K0.4278.78N/AN/A63827069,68038,627