ELAN Options History — January 2023

In January 2023, ELAN traded between $12.29 and $14.11. ATM implied volatility averaged 45.0%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 7.5% (HV 20d: 37.5%). Max pain ranged from $11.00 to $13.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 4.91.

Notable Days

  • 2023-01-06: Highest Volume — 7,970 contracts
  • 2023-01-09: Largest IV spike — 11.1% change
  • 2023-01-03: Highest IV Rank — 23.8%
  • 2023-01-03: Largest Expected Move — 15.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.07$12.29$14.11$12.29$13.63
Max Pain$11.55$11.00$13.00$13.00$12.00
ATM IV45.0%40.0%52.3%52.3%42.5%
Expected Move12.9%11.5%15.0%15.0%12.2%
HV 20d37.5%31.3%43.0%40.4%33.3%
HV 60d49.9%47.4%51.4%51.3%48.9%
IV Rank15.2%10.2%23.8%23.8%12.3%
IV Percentile50.8%24.2%83.3%83.3%36.5%
Term Structure2.1%-4.4%5.5%-4.4%2.4%
VWIV46.8%40.0%61.1%58.0%44.7%
Skew 25d3.4%-0.3%7.4%5.1%1.8%
Skew 10d11.6%-7.2%27.7%4.8%12.8%
Call IV 25d44.4%39.8%50.9%50.9%43.6%
Put IV 25d47.9%43.2%56.1%56.1%45.5%
Bid-Ask Spread %72.8861.4287.5566.4362.86
Gamma HHI0.240.200.280.200.23
Net GEX485.8K112.4K943.1K128.3K787.4K
Net DEX-22.0M-37.6M-10.5M-10.5M-30.4M
Net VEX-150.6K-163.7K-143.7K-148.1K-163.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.910.0457.607.340.12
Total Volume2,218.751317,9701,210721
Total OI103,606.5570,341126,002108,32484,229

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-01-03$12.29$13.0052.3%15.0%40.4%23.8%58.0%5.1%-4.4%128.3K-10.5M-148.1K7.3466.43N/AN/A1451,06572,20736,117
2023-01-04$12.73$13.0047.9%13.7%42.1%19.0%61.1%4.0%0.2%265.1K-15.9M-150.9K1.1078.51N/AN/A1,0841,18872,20236,788
2023-01-05$12.50$11.0047.8%13.5%41.6%18.5%47.1%2.2%3.0%186.2K-13.9M-148.9K0.7569.18N/AN/A755673,14737,623
2023-01-06$12.71$11.0046.0%13.3%41.9%16.9%55.0%5.9%0.6%296.0K-16.4M-148.1K57.6068.78N/AN/A1367,83473,15237,681
2023-01-09$12.66$11.0051.1%14.2%41.9%21.1%49.5%7.2%-0.0%163.1K-15.4M-150.4K0.2287.55N/AN/A3858373,33845,459
2023-01-10$12.96$11.0046.6%13.7%42.5%17.3%47.4%3.5%0.8%326.8K-19.6M-148.0K2.3472.27N/AN/A1,4803,46573,50145,484
2023-01-11$13.25$11.0046.8%13.4%43.0%17.4%48.7%0.3%1.9%461.1K-23.1M-155.2K0.0679.30N/AN/A1,0736974,27748,347
2023-01-12$13.23$11.0048.8%14.0%40.5%19.1%46.4%4.7%2.0%524.7K-23.9M-150.8K0.2378.94N/AN/A47310874,35948,369
2023-01-13$13.09$11.0044.0%12.6%38.5%13.6%47.0%3.6%1.8%439.1K-21.2M-148.4K0.7774.50N/AN/A43533474,40748,443
2023-01-17$12.84$11.0043.1%12.4%36.3%12.9%44.3%3.6%1.8%354.4K-18.1M-143.7K1.6179.24N/AN/A7011,12974,82448,731
2023-01-18$12.61$11.0043.4%12.4%36.6%13.1%44.8%2.6%0.2%112.4K-14.1M-144.7K0.8378.75N/AN/A13311075,06949,806
2023-01-19$13.00$11.0042.8%12.3%37.1%12.6%44.4%1.7%3.5%436.0K-19.9M-144.5K0.3071.09N/AN/A1,05832175,08849,729
2023-01-20$13.13$11.0043.8%12.6%36.9%13.5%44.2%7.4%3.7%389.5K-22.9M-146.6K0.4071.33N/AN/A2,6451,06276,00050,002
2023-01-23$13.13$12.0043.5%12.5%36.7%13.2%44.0%1.7%4.8%683.3K-23.9M-147.0K0.2870.90N/AN/A1,41639844,71725,624
2023-01-24$12.95$12.0042.3%12.1%31.4%12.1%40.6%4.2%2.4%701.8K-22.3M-148.9K0.0474.27N/AN/A2,84011545,91925,892
2023-01-25$13.29$12.0042.3%12.1%31.3%12.2%43.5%2.1%5.5%787.6K-26.8M-155.1K0.1364.66N/AN/A77310347,75125,994
2023-01-26$13.77$12.0040.0%11.5%32.2%10.2%40.0%-0.3%3.9%845.3K-32.5M-155.0K0.0971.31N/AN/A2,61724547,95026,063
2023-01-27$14.11$12.0041.7%11.9%32.5%11.6%40.9%2.8%5.2%943.1K-37.6M-157.0K0.8476.32N/AN/A93077750,18926,259
2023-01-30$13.59$12.0044.2%12.7%33.4%13.8%44.7%4.6%2.3%884.5K-30.6M-156.6K23.0961.42N/AN/A2826,51150,50626,888
2023-01-31$13.63$12.0042.5%12.2%33.3%12.3%44.7%1.8%2.4%787.4K-30.4M-163.7K0.1262.86N/AN/A6447750,68033,549