ELAN Options History — July 2023

In July 2023, ELAN traded between $9.82 and $12.21. ATM implied volatility averaged 50.0%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded above realized volatility by 4.5% (HV 20d: 45.5%). Max pain ranged from $9.00 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.35.

Notable Days

  • 2023-07-14: Highest Volume — 17,859 contracts
  • 2023-07-12: Largest IV spike — 14.8% change
  • 2023-07-31: Highest IV Rank — 41.0%
  • 2023-07-31: Largest Expected Move — 17.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.22$9.82$12.21$10.04$12.07
Max Pain$9.90$9.00$10.00$9.00$10.00
ATM IV50.0%36.4%59.6%36.4%59.6%
Expected Move14.9%10.4%17.1%10.4%17.1%
HV 20d45.5%31.0%51.4%39.5%51.0%
HV 60d47.1%44.3%49.6%46.9%46.0%
IV Rank24.1%0.0%41.0%0.0%41.0%
IV Percentile55.1%0.0%85.7%0.0%85.7%
Term Structure-5.2%-12.1%14.4%14.4%-12.1%
VWIV52.2%33.7%59.3%38.9%59.3%
Skew 25d1.4%-3.1%15.3%-0.2%1.9%
Skew 10d4.3%-13.5%22.8%7.2%-0.1%
Call IV 25d52.8%28.7%60.5%42.0%59.3%
Put IV 25d54.2%41.8%61.3%41.8%61.3%
Bid-Ask Spread %39.5413.9772.2272.2238.57
Gamma HHI0.350.230.660.390.24
Net GEX591.2K375.0K1.2M485.8K376.8K
Net DEX-20.7M-38.3M-7.1M-9.3M-19.9M
Net VEX-71.9K-76.8K-67.8K-74.5K-69.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.061.040.230.41
Total Volume2,059.3512717,859181148
Total OI54,610.3543,76766,10353,18545,267

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-07-03$10.04$9.0036.4%10.4%39.5%0.0%38.9%-0.2%14.4%485.8K-9.3M-74.5K0.2372.22N/AN/A1473435,96117,224
2023-07-05$9.96$9.0037.4%10.7%39.6%1.8%33.7%15.3%13.5%464.7K-8.3M-72.8K0.2344.91N/AN/A1313035,98917,220
2023-07-06$9.82$10.0039.7%15.0%40.1%5.8%50.9%1.2%-5.0%421.0K-7.1M-71.1K0.7822.90N/AN/A21616935,91717,217
2023-07-07$10.07$10.0041.1%15.0%40.0%8.3%51.0%0.6%-5.2%495.1K-9.5M-72.3K0.5224.74N/AN/A25713435,95717,206
2023-07-10$10.16$10.0043.5%15.2%39.6%12.6%52.4%3.3%-5.5%535.3K-10.4M-70.4K0.3220.89N/AN/A963135,98917,094
2023-07-11$10.54$10.0045.9%15.2%39.9%16.9%53.7%4.1%-6.4%608.6K-14.3M-70.5K0.1833.20N/AN/A6,9391,26536,04117,096
2023-07-12$10.36$10.0052.8%15.1%39.7%28.9%52.4%4.6%-5.9%794.3K-15.2M-76.8K0.2966.51N/AN/A80723141,97517,920
2023-07-13$10.61$10.0051.6%14.8%31.0%27.0%51.3%2.5%-7.0%842.9K-18.0M-76.2K0.1913.97N/AN/A3045941,82618,087
2023-07-14$11.86$10.0051.7%14.8%48.5%27.0%52.4%-0.1%-5.0%579.1K-32.9M-69.9K0.0634.53N/AN/A16,90295741,87518,778
2023-07-17$11.61$10.0053.0%15.2%49.4%29.3%53.6%0.8%-7.3%814.7K-31.5M-73.0K0.0828.82N/AN/A2,83422344,93418,694
2023-07-18$11.64$10.0051.0%14.6%48.9%25.9%53.2%1.5%-5.7%890.1K-32.5M-76.4K0.2145.83N/AN/A51210646,95018,792
2023-07-19$11.89$10.0053.0%15.2%48.8%29.3%54.2%-0.4%-7.0%749.0K-35.8M-73.3K0.1544.38N/AN/A73111047,01518,804
2023-07-20$11.57$10.0052.5%15.0%49.2%28.4%53.6%-0.8%-6.8%640.5K-32.6M-72.7K0.3840.21N/AN/A53320546,93218,900
2023-07-21$12.07$10.0052.5%15.1%50.5%28.5%53.5%-1.9%-6.1%1.2M-38.3M-71.2K0.1143.36N/AN/A2,71328746,93419,169
2023-07-24$12.00$10.0054.9%15.7%50.0%32.7%56.0%-0.2%-7.5%385.9K-19.6M-71.3K0.1648.40N/AN/A1,30220829,39614,650
2023-07-25$11.75$10.0057.2%16.4%51.1%36.8%57.1%0.2%-11.9%376.6K-17.7M-70.7K0.7243.75N/AN/A32023029,03214,735
2023-07-26$12.21$10.0055.1%15.8%51.4%33.1%56.4%0.4%-8.6%375.0K-20.6M-68.7K0.1847.42N/AN/A2344229,13514,795
2023-07-27$12.11$10.0054.6%15.7%50.6%32.2%54.6%-0.9%-9.7%376.8K-20.3M-67.8K1.0447.94N/AN/A48350129,17414,832
2023-07-28$12.00$10.0056.7%16.3%51.0%36.0%56.9%-3.1%-9.9%380.2K-19.4M-68.7K0.7428.35N/AN/A43532129,41315,282
2023-07-31$12.07$10.0059.6%17.1%51.0%41.0%59.3%1.9%-12.1%376.8K-19.9M-69.0K0.4138.57N/AN/A1054329,67715,590