ELAN Options History — February 2023

In February 2023, ELAN traded between $11.52 and $14.52. ATM implied volatility averaged 47.1%, placing in the 16.2% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded above realized volatility by 0.2% (HV 20d: 46.8%). Max pain ranged from $12.00 to $14.00. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 0.88.

Notable Days

  • 2023-02-21: Highest Volume — 16,246 contracts
  • 2023-02-08: Largest IV spike — 19.3% change
  • 2023-02-17: Highest IV Rank — 23.6%
  • 2023-02-17: Largest Expected Move — 16.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.96$11.52$14.52$14.25$11.52
Max Pain$13.37$12.00$14.00$12.00$13.00
ATM IV47.1%40.6%55.9%42.4%40.6%
Expected Move13.9%11.6%16.0%12.2%11.6%
HV 20d46.8%34.8%63.1%36.0%59.4%
HV 60d45.0%39.8%49.8%49.4%46.3%
IV Rank16.2%10.7%23.6%12.3%10.7%
IV Percentile57.9%26.2%90.1%36.5%26.2%
Term Structure-4.3%-10.1%4.9%4.9%1.1%
VWIV48.0%40.9%55.5%42.9%40.9%
Skew 25d3.0%-2.9%7.2%6.3%5.9%
Skew 10d7.9%-12.9%21.9%12.7%3.4%
Call IV 25d46.6%35.8%54.7%38.2%35.8%
Put IV 25d49.6%41.7%56.1%44.5%41.7%
Bid-Ask Spread %56.5530.3879.9165.6270.98
Gamma HHI0.230.210.260.240.24
Net GEX569.6K-282.2K912.6K893.6K-282.2K
Net DEX-20.5M-42.7M4.3M-39.0M4.3M
Net VEX-151.8K-160.7K-132.7K-159.8K-134.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.019.150.200.18
Total Volume2,366.73719816,2467191,107
Total OI91,990.68484,860106,32284,860106,322

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-02-01$14.25$12.0042.4%12.2%36.0%12.3%42.9%6.3%4.9%893.6K-39.0M-159.8K0.2065.62N/AN/A59812151,26333,597
2023-02-02$14.52$14.0042.0%13.8%34.8%12.0%45.7%4.9%-5.7%909.1K-42.7M-157.2K0.0570.44N/AN/A2,12411551,50133,688
2023-02-03$13.93$14.0042.2%13.6%37.8%12.1%48.3%1.5%-2.6%870.3K-35.5M-160.7K0.4377.33N/AN/A48120751,57133,737
2023-02-06$13.77$14.0044.5%14.2%38.0%14.0%50.2%5.1%-5.4%866.6K-32.7M-157.8K0.2667.74N/AN/A3689451,85933,844
2023-02-07$13.98$14.0041.8%14.3%38.1%11.8%49.9%3.6%-6.0%912.6K-36.0M-156.2K0.0836.75N/AN/A1,1969952,13233,904
2023-02-08$13.34$14.0049.9%14.3%41.6%18.6%48.7%2.0%-4.3%797.4K-26.9M-157.4K0.1034.71N/AN/A1,05410752,25733,985
2023-02-09$13.16$14.0053.1%15.2%41.2%21.3%53.3%-0.1%-7.3%752.4K-24.8M-157.6K0.1334.69N/AN/A5847652,79834,051
2023-02-10$12.84$14.0050.9%14.6%42.0%19.4%51.0%3.2%-5.0%680.3K-20.4M-154.4K0.1738.64N/AN/A65610953,08234,101
2023-02-13$13.07$14.0052.0%14.9%42.4%20.3%52.3%3.6%-5.4%748.2K-23.2M-154.0K0.1030.38N/AN/A3783753,44534,097
2023-02-14$12.89$13.0049.8%14.3%42.2%18.5%48.5%4.5%-4.7%749.1K-21.7M-150.0K0.6253.16N/AN/A59036653,79534,117
2023-02-15$13.39$13.0054.6%15.7%43.6%22.6%54.7%4.1%-10.1%876.2K-28.4M-154.3K0.1340.23N/AN/A4926254,26934,394
2023-02-16$13.25$13.0053.6%15.4%42.6%21.7%52.2%2.3%-7.0%859.5K-27.0M-151.2K3.2655.78N/AN/A29395554,40034,434
2023-02-17$13.16$13.0055.9%16.0%42.5%23.6%55.5%0.4%-9.3%827.6K-25.8M-152.8K1.2156.70N/AN/A5,8437,05954,54235,357
2023-02-21$11.66$13.0045.4%13.0%60.5%14.8%45.1%2.0%-3.5%167.1K-1.6M-132.7K9.1567.71N/AN/A1,60114,64556,95032,689
2023-02-22$12.20$13.0045.8%13.1%63.1%15.1%46.1%3.0%-2.6%287.8K-6.9M-158.2K0.2079.91N/AN/A1,47129457,94546,909
2023-02-23$12.14$13.0043.0%12.3%62.1%12.8%42.1%7.2%-1.7%215.2K-5.4M-154.8K0.0179.28N/AN/A1,034657,84547,101
2023-02-24$11.66$13.0044.0%12.6%61.5%13.6%43.8%0.8%-3.2%-86.5K1.4M-143.4K0.3646.28N/AN/A1465258,79847,102
2023-02-27$11.57$13.0042.7%12.2%60.2%12.5%40.9%-2.9%-3.1%-222.0K2.7M-137.9K0.0668.16N/AN/A5163258,82947,113
2023-02-28$11.52$13.0040.6%11.6%59.4%10.7%40.9%5.9%1.1%-282.2K4.3M-134.3K0.1870.98N/AN/A93916859,19847,124