ELAN Options History — August 2023 In August 2023, ELAN traded between $11.43 and $12.66. ATM implied volatility averaged 42.1%, placing in the 12.1% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 4.1% (HV 20d: 38.0%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 0.60.
Notable Days 2023-08-08 : Highest Volume — 5,241 contracts2023-08-07 : Largest IV drop — 34.0% change2023-08-04 : Highest IV Rank — 64.9%2023-08-01 : Largest Expected Move — 17.7%Monthly Statistics Metric Avg Min Max Open Close Price $11.98 $11.43 $12.66 $11.98 $12.23 Max Pain $10.00 $10.00 $10.00 $10.00 $10.00 ATM IV 42.1% 31.3% 73.1% 61.7% 31.6% Expected Move 11.4% 9.0% 17.7% 17.7% 9.1% HV 20d 38.0% 26.4% 52.6% 51.1% 31.8% HV 60d 43.9% 40.9% 45.8% 45.8% 41.4% IV Rank 12.1% 0.0% 64.9% 44.8% 0.5% IV Percentile 20.1% 0.0% 97.6% 87.3% 0.4% Term Structure -0.2% -14.6% 5.0% -14.6% 3.6% VWIV 40.0% 31.4% 62.3% 62.3% 31.4% Skew 25d 1.1% -4.2% 6.2% 1.7% -4.2% Skew 10d 0.8% -14.0% 14.2% 14.2% -8.0% Call IV 25d 40.1% 28.3% 65.5% 62.0% 31.4% Put IV 25d 41.2% 27.2% 65.8% 63.6% 27.2% Bid-Ask Spread % 37.35 7.60 71.42 17.01 7.60 Gamma HHI 0.34 0.19 0.58 0.23 0.35 Net GEX 405.9K 156.3K 778.7K 376.4K 310.8K Net DEX -17.6M -28.3M -10.9M -19.0M -15.0M Net VEX -57.5K -72.0K -48.3K -69.8K -53.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.60 0.01 3.94 0.35 0.45 Total Volume 1,324.391 54 5,241 226 149 Total OI 44,095.522 36,188 50,597 45,294 39,718
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2023-08-01 $11.98 $10.00 61.7% 17.7% 51.1% 44.8% 62.3% 1.7% -14.6% 376.4K -19.0M -69.8K 0.35 17.01 N/A N/A 168 58 29,688 15,606 2023-08-02 $11.79 $10.00 61.2% 17.5% 51.5% 43.8% 61.5% 0.3% -12.9% 388.6K -17.5M -70.3K 0.09 37.25 N/A N/A 206 19 29,813 15,658 2023-08-03 $11.66 $10.00 70.6% 14.5% 51.3% 60.6% 50.4% 1.8% -5.2% 373.4K -16.8M -69.1K 0.03 69.04 N/A N/A 3,569 113 29,774 15,666 2023-08-04 $11.66 $10.00 73.1% 14.9% 51.0% 64.9% 54.8% 2.3% -5.6% 436.1K -17.5M -72.0K 0.34 71.42 N/A N/A 2,797 957 31,892 15,744 2023-08-07 $12.18 $10.00 48.2% 11.2% 52.6% 20.9% 39.5% -0.3% 1.4% 670.5K -24.9M -63.8K 0.07 64.12 N/A N/A 3,602 242 34,015 16,516 2023-08-08 $12.50 $10.00 44.6% 11.6% 52.0% 14.4% 40.1% 2.7% 1.1% 666.2K -28.3M -59.2K 0.03 24.71 N/A N/A 5,096 145 34,126 16,471 2023-08-09 $12.36 $10.00 38.6% 11.1% 51.7% 3.9% 39.2% 1.5% 1.8% 595.2K -25.9M -58.7K 3.94 69.35 N/A N/A 155 610 32,399 16,471 2023-08-10 $12.29 $10.00 39.1% 11.2% 51.6% 4.7% 39.2% -0.1% 0.4% 628.7K -25.5M -57.1K 0.11 60.15 N/A N/A 250 27 32,390 17,026 2023-08-11 $12.14 $10.00 36.4% 10.4% 34.3% 0.0% 36.7% 0.2% 2.3% 687.4K -23.4M -58.1K 0.14 30.11 N/A N/A 576 80 32,217 17,034 2023-08-14 $12.02 $10.00 38.6% 11.1% 33.6% 3.9% 36.7% 3.5% 0.8% 739.7K -22.3M -55.4K 0.06 15.74 N/A N/A 209 12 31,829 16,990 2023-08-15 $11.79 $10.00 37.6% 10.8% 34.4% 2.1% 37.7% 1.7% 1.9% 778.7K -19.1M -55.2K 1.55 13.91 N/A N/A 111 172 31,822 17,005 2023-08-16 $11.59 $10.00 37.3% 10.7% 34.0% 1.5% 38.0% -3.2% 0.9% 408.9K -15.8M -54.0K 1.39 13.83 N/A N/A 75 104 31,796 17,130 2023-08-17 $11.43 $10.00 37.5% 10.8% 33.0% 2.0% 37.2% 0.9% 3.2% 256.7K -14.7M -53.5K 0.01 49.36 N/A N/A 4,185 48 31,800 17,132 2023-08-18 $11.57 $10.00 37.2% 10.7% 29.3% 1.5% 38.8% 3.5% 2.0% 156.3K -15.0M -55.3K 0.06 43.46 N/A N/A 1,361 79 31,992 17,160 2023-08-21 $11.75 $10.00 37.6% 10.8% 29.9% 2.2% 38.4% 4.8% 1.0% 193.6K -11.1M -53.9K 0.11 62.62 N/A N/A 167 19 20,786 15,402 2023-08-22 $11.66 $10.00 35.8% 10.2% 29.1% 0.0% 35.8% -2.5% 2.3% 200.9K -10.9M -52.7K 0.38 15.34 N/A N/A 271 102 20,823 15,421 2023-08-23 $11.89 $10.00 35.4% 10.2% 26.4% 0.0% 35.4% 4.3% 2.1% 203.8K -11.7M -53.3K 0.76 61.63 N/A N/A 62 47 20,944 15,470 2023-08-24 $11.71 $10.00 35.4% 10.2% 26.8% 0.0% 36.4% 1.5% 1.5% 201.5K -10.9M -53.4K 2.86 61.48 N/A N/A 14 40 20,973 15,510 2023-08-25 $11.91 $10.00 32.6% 9.4% 27.4% 0.0% 33.1% 2.6% 5.0% 199.5K -12.0M -51.7K 0.50 27.92 N/A N/A 110 55 20,976 15,531 2023-08-28 $12.20 $10.00 31.3% 9.0% 28.7% 0.0% 31.7% -3.7% 3.3% 217.9K -13.8M -48.3K 0.06 10.56 N/A N/A 3,361 203 21,072 15,560 2023-08-29 $12.66 $10.00 33.0% 9.4% 31.3% 2.7% 33.9% 6.2% 0.1% 321.7K -17.4M -51.2K 0.21 8.16 N/A N/A 438 90 23,635 15,680 2023-08-30 $12.46 $10.00 34.0% 9.8% 31.3% 4.5% 32.9% 0.6% -0.4% 322.2K -16.4M -53.3K 0.37 24.39 N/A N/A 224 83 23,767 15,767 2023-08-31 $12.23 $10.00 31.6% 9.1% 31.8% 0.5% 31.4% -4.2% 3.6% 310.8K -15.0M -53.5K 0.45 7.60 N/A N/A 103 46 23,877 15,841
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