ELAN Options History — December 2022

In December 2022, ELAN traded between $11.39 and $13.21. ATM implied volatility averaged 48.2%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded below realized volatility by 0.9% (HV 20d: 49.1%). Max pain ranged from $13.00 to $15.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.29.

Notable Days

  • 2022-12-16: Highest Volume — 14,788 contracts
  • 2022-12-14: Largest IV drop — 23.3% change
  • 2022-12-13: Highest IV Rank — 29.5%
  • 2022-12-22: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.33$11.39$13.21$13.21$12.14
Max Pain$13.95$13.00$15.00$13.00$13.00
ATM IV48.2%44.1%59.4%46.1%45.1%
Expected Move13.2%12.7%14.0%13.2%12.9%
HV 20d49.1%40.0%67.6%67.6%40.0%
HV 60d50.6%49.5%53.9%53.9%51.3%
IV Rank20.5%17.2%29.5%18.8%18.0%
IV Percentile69.4%51.2%91.3%67.1%57.1%
Term Structure2.1%-0.7%6.5%0.1%4.4%
VWIV46.3%40.2%54.4%46.6%46.9%
Skew 25d4.2%-4.3%9.6%4.9%0.5%
Skew 10d14.4%-2.8%41.3%17.1%2.8%
Call IV 25d44.4%40.6%47.8%42.1%47.4%
Put IV 25d48.6%43.4%52.1%46.9%47.9%
Bid-Ask Spread %56.4621.7788.6433.6165.98
Gamma HHI0.220.190.380.200.19
Net GEX67.0K-402.7K314.6K309.5K57.7K
Net DEX-5.5M-13.5M3.7M-13.0M-8.4M
Net VEX-149.2K-163.6K-137.5K-162.1K-150.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.290.0618.110.250.11
Total Volume1,451.28611414,788827419
Total OI109,133.143103,573113,168109,057107,518

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-12-01$13.21$13.0046.1%13.2%67.6%18.8%46.6%4.9%0.1%309.5K-13.0M-162.1K0.2533.61N/AN/A66116670,10538,952
2022-12-02$13.13$13.0046.1%13.2%67.1%18.8%46.5%1.5%-0.7%314.6K-13.0M-163.6K0.1266.73N/AN/A7769270,57639,064
2022-12-05$12.86$15.0049.9%12.9%67.5%21.9%44.7%4.3%1.8%234.7K-9.6M-156.3K0.4154.75N/AN/A65326671,03139,128
2022-12-06$12.54$15.0050.6%13.2%66.7%22.4%46.0%4.9%1.7%146.6K-6.2M-152.5K2.1549.28N/AN/A25855671,54039,188
2022-12-07$12.64$15.0051.2%12.8%66.7%22.9%44.7%5.3%2.3%160.7K-6.7M-154.1K0.3452.44N/AN/A1946571,69339,734
2022-12-08$12.57$15.0053.7%13.3%54.7%24.9%46.6%2.9%1.1%152.6K-6.6M-153.2K0.1540.90N/AN/A76311271,85439,735
2022-12-09$12.73$14.0046.9%12.9%54.0%19.4%46.8%5.1%1.8%199.5K-8.6M-155.9K0.2288.64N/AN/A48810772,72939,810
2022-12-12$12.63$14.0055.8%13.6%41.7%26.6%47.3%5.3%-0.3%182.8K-7.1M-150.9K0.7429.20N/AN/A14010473,08039,853
2022-12-13$13.16$14.0059.4%12.9%42.0%29.5%44.8%4.8%1.3%304.1K-13.5M-156.2K0.1949.13N/AN/A3096073,13640,032
2022-12-14$12.70$14.0045.6%13.1%43.9%18.4%47.8%5.1%-0.1%190.8K-7.9M-149.2K0.5081.05N/AN/A33116773,01640,087
2022-12-15$12.21$14.0046.4%13.3%43.8%19.1%46.1%3.4%4.8%-24.0K-2.7M-141.5K0.1956.10N/AN/A66212672,97940,101
2022-12-16$12.05$14.0046.1%13.2%41.1%18.8%54.4%6.2%3.0%-402.7K-2.3M-138.9K18.1183.46N/AN/A77414,01473,52038,881
2022-12-19$11.84$14.0046.0%13.2%41.4%18.7%45.1%4.7%1.3%-71.0K139.7K-141.8K0.4921.77N/AN/A71435266,54537,028
2022-12-20$12.04$14.0046.4%13.3%41.3%19.0%46.0%3.5%2.1%-5.9K-2.2M-145.2K0.0751.71N/AN/A1,1878566,55937,059
2022-12-21$11.98$14.0045.5%13.0%40.5%18.3%45.2%3.5%2.1%28.1K-3.2M-151.0K0.1634.70N/AN/A4437069,44536,476
2022-12-22$11.39$14.0048.8%14.0%43.9%21.0%46.9%9.0%3.6%-132.9K3.7M-141.4K0.7865.78N/AN/A1,05082169,74836,451
2022-12-23$11.70$14.0044.1%12.7%43.4%17.2%49.1%5.4%5.2%-83.6K-455.1K-147.6K1.1167.10N/AN/A546069,76736,947
2022-12-27$11.57$14.0045.8%13.1%41.5%18.5%48.8%1.6%6.5%-119.7K969.3K-138.3K0.0656.60N/AN/A9065569,79136,797
2022-12-28$11.59$13.0047.0%13.5%41.4%19.6%40.2%-4.3%1.5%-108.6K-883.6K-137.5K0.0864.50N/AN/A5324370,34035,632
2022-12-29$12.16$13.0045.9%13.2%41.8%18.6%41.2%9.6%1.0%73.1K-8.0M-145.5K0.8472.28N/AN/A1,00184170,69635,173
2022-12-30$12.14$13.0045.1%12.9%40.0%18.0%46.9%0.5%4.4%57.7K-8.4M-150.1K0.1165.98N/AN/A3774271,43636,082