ELAN Options History — September 2023

In September 2023, ELAN traded between $11.13 and $12.41. ATM implied volatility averaged 35.4%, placing in the 6.6% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 4.5% (HV 20d: 30.8%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.31.

Notable Days

  • 2023-09-15: Highest Volume — 1,533 contracts
  • 2023-09-13: Largest IV drop — 16.5% change
  • 2023-09-12: Highest IV Rank — 14.1%
  • 2023-09-26: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.65$11.13$12.41$12.41$11.23
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV35.4%31.6%40.0%33.1%37.4%
Expected Move10.0%9.2%11.2%9.5%10.7%
HV 20d30.8%27.2%33.5%32.1%27.2%
HV 60d39.2%38.3%41.3%41.2%38.5%
IV Rank6.6%0.6%14.1%2.9%9.9%
IV Percentile6.6%0.8%14.3%1.6%10.3%
Term Structure6.2%0.4%9.5%0.4%6.8%
VWIV34.7%31.6%41.1%31.6%36.8%
Skew 25d1.2%-6.3%4.2%2.5%-6.3%
Skew 10d-1.3%-20.7%13.6%1.7%-20.7%
Call IV 25d34.5%30.3%41.5%30.3%37.4%
Put IV 25d35.7%30.9%42.1%32.8%31.1%
Bid-Ask Spread %33.449.4275.5660.2175.56
Gamma HHI0.360.240.420.410.41
Net GEX287.4K208.0K369.5K328.6K259.3K
Net DEX-10.3M-16.2M-5.9M-16.2M-6.4M
Net VEX-49.8K-53.7K-46.5K-52.4K-46.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.310.070.920.410.24
Total Volume338.45481,533416160
Total OI38,275.335,51642,95239,79135,831

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-09-01$12.41$10.0033.1%9.5%32.1%2.9%31.6%2.5%0.4%328.6K-16.2M-52.4K0.4160.21N/AN/A29612023,94415,847
2023-09-05$12.16$10.0031.6%9.6%29.3%0.6%32.9%1.4%5.8%307.0K-14.6M-50.4K0.2428.02N/AN/A47611423,92115,874
2023-09-06$11.98$10.0033.2%9.7%28.0%3.1%33.4%3.2%5.5%291.1K-13.6M-50.9K0.199.42N/AN/A65412424,21115,978
2023-09-07$11.66$10.0033.2%9.7%29.2%3.0%34.1%1.7%5.1%286.9K-11.6M-51.2K0.3324.89N/AN/A34511324,51616,032
2023-09-08$11.55$10.0033.0%9.7%29.3%2.7%32.7%4.0%4.8%279.2K-10.8M-49.8K0.1818.14N/AN/A4387724,56116,083
2023-09-11$11.77$10.0037.8%9.6%30.1%10.5%33.3%1.6%5.6%275.9K-12.5M-48.7K0.2710.27N/AN/A1273424,74816,131
2023-09-12$11.96$10.0040.0%9.7%30.6%14.1%33.3%1.6%5.1%276.6K-13.9M-48.9K0.1611.24N/AN/A1562524,83216,144
2023-09-13$11.54$10.0033.4%9.6%32.4%3.4%32.4%-0.5%6.0%251.7K-11.1M-48.6K0.8811.75N/AN/A1129924,80816,161
2023-09-14$11.75$10.0033.1%9.5%32.5%2.9%33.4%3.8%6.2%208.0K-12.0M-47.5K0.2462.86N/AN/A912224,78616,209
2023-09-15$11.96$10.0034.5%9.9%32.6%5.3%34.1%1.0%4.8%369.5K-14.1M-53.7K0.1223.08N/AN/A1,37016326,73916,213
2023-09-18$11.80$10.0033.4%9.6%32.8%3.5%32.8%4.2%8.0%344.4K-9.7M-52.3K0.0711.27N/AN/A3702622,09913,417
2023-09-19$11.86$10.0032.3%9.2%32.4%1.6%32.6%3.6%9.2%361.9K-10.1M-52.1K0.1514.71N/AN/A1932822,31513,438
2023-09-20$11.68$10.0034.1%9.8%32.8%4.5%34.2%0.6%6.0%334.5K-9.1M-51.5K0.1168.92N/AN/A2382622,25113,441
2023-09-21$11.34$10.0036.9%10.6%33.5%9.1%36.6%1.1%7.2%269.1K-7.0M-50.1K0.2821.06N/AN/A1293622,16613,467
2023-09-22$11.29$10.0036.7%10.5%33.2%8.8%35.8%1.9%6.9%270.8K-6.8M-49.9K0.9264.20N/AN/A252322,28613,499
2023-09-25$11.29$10.0037.9%10.9%32.5%10.8%37.6%1.3%7.1%267.9K-6.7M-48.7K0.8935.82N/AN/A11910622,28713,494
2023-09-26$11.34$10.0039.1%11.2%31.0%12.8%37.7%3.9%9.5%273.2K-6.9M-48.5K0.1663.79N/AN/A55922,28413,599
2023-09-27$11.13$10.0038.9%11.1%27.4%12.3%41.1%0.4%7.1%238.0K-5.9M-47.4K0.1322.79N/AN/A1972522,27413,603
2023-09-28$11.21$10.0037.9%10.9%27.6%10.7%36.9%-6.1%7.1%254.6K-6.1M-46.7K0.2330.75N/AN/A39922,39713,620
2023-09-29$11.23$10.0037.4%10.7%27.2%9.9%36.8%-6.3%6.8%259.3K-6.4M-46.5K0.2475.56N/AN/A1293122,40913,422