ELAN Options History — November 2023

In November 2023, ELAN traded between $8.70 and $12.00. ATM implied volatility averaged 45.6%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded below realized volatility by 22.7% (HV 20d: 68.3%). Max pain ranged from $9.00 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.54.

Notable Days

  • 2023-11-06: Highest Volume — 17,354 contracts
  • 2023-11-07: Largest IV drop — 32.9% change
  • 2023-11-06: Highest IV Rank — 76.0%
  • 2023-11-01: Largest Expected Move — 17.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.02$8.70$12.00$8.70$11.73
Max Pain$9.81$9.00$10.00$10.00$10.00
ATM IV45.6%34.8%78.1%62.4%34.8%
Expected Move12.4%10.0%17.9%17.9%10.0%
HV 20d68.3%42.5%77.9%42.5%71.3%
HV 60d49.8%34.0%54.3%34.0%53.1%
IV Rank23.3%5.6%76.0%50.5%5.6%
IV Percentile35.8%6.3%99.6%91.3%6.3%
Term Structure0.0%-9.0%4.7%-9.0%2.2%
VWIV42.8%26.0%64.6%64.6%34.8%
Skew 25d2.2%-10.0%5.8%5.8%-0.7%
Skew 10d5.9%-10.7%21.9%2.7%5.1%
Call IV 25d42.4%28.1%62.7%62.7%28.1%
Put IV 25d44.6%27.3%68.5%68.5%27.3%
Bid-Ask Spread %41.1015.4783.7242.3681.92
Gamma HHI0.380.260.570.290.57
Net GEX675.3K192.1K867.0K192.1K834.1K
Net DEX-22.1M-29.3M-1.4M-1.4M-25.9M
Net VEX-97.3K-113.1K-45.9K-45.9K-99.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.012.120.200.35
Total Volume2,961.7629217,3542,24892
Total OI60,13639,32872,26539,32854,982

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-11-01$8.70$10.0062.4%17.9%42.5%50.5%64.6%5.8%-9.0%192.1K-1.4M-45.9K0.2042.36N/AN/A1,87337531,7027,626
2023-11-02$9.39$9.0064.8%16.0%50.2%54.4%55.4%3.3%-3.2%304.6K-5.3M-59.2K0.0120.90N/AN/A10,9836633,6317,997
2023-11-03$9.61$9.0065.8%15.4%50.3%56.0%58.5%1.6%-2.8%437.9K-10.3M-87.1K0.1374.11N/AN/A3274143,6178,061
2023-11-06$9.32$9.0078.1%16.4%51.2%76.0%59.2%3.0%-4.8%393.0K-8.6M-82.1K2.1073.58N/AN/A5,60311,75143,8388,091
2023-11-07$10.77$9.0052.4%13.0%70.8%34.3%46.5%3.5%1.9%661.0K-23.2M-106.0K0.2622.54N/AN/A3,23483749,41919,682
2023-11-08$10.91$10.0043.1%12.3%70.7%19.1%44.0%2.3%3.1%678.4K-24.3M-107.5K1.7626.83N/AN/A5991,05449,70720,579
2023-11-09$10.21$10.0044.6%12.8%73.3%21.6%44.5%2.2%2.3%550.4K-16.3M-100.8K0.3516.31N/AN/A1274550,02121,575
2023-11-10$10.68$10.0042.1%12.1%73.9%17.6%34.4%3.0%2.1%643.8K-21.4M-105.5K0.1217.47N/AN/A1411750,01921,588
2023-11-13$10.50$10.0043.5%12.5%73.8%19.8%41.4%5.0%4.7%631.7K-19.5M-99.5K0.7236.42N/AN/A16912149,95621,590
2023-11-14$11.36$10.0042.0%12.1%77.9%17.4%42.5%2.7%-1.4%768.7K-28.8M-106.6K0.1219.81N/AN/A10,2061,17649,92921,699
2023-11-15$11.50$10.0042.1%12.1%76.6%17.5%40.5%3.6%-0.7%867.0K-27.1M-113.1K0.0240.00N/AN/A3,8719349,50522,760
2023-11-16$11.50$10.0042.1%12.1%74.2%17.6%41.7%3.7%-3.4%822.0K-25.7M-110.2K0.0825.05N/AN/A1,0388048,52722,762
2023-11-17$11.79$10.0039.5%11.3%74.3%13.4%40.0%1.5%1.2%752.3K-28.3M-108.5K0.0817.39N/AN/A5524247,61222,832
2023-11-20$11.88$10.0039.0%11.2%73.8%12.5%39.1%1.9%1.3%762.9K-27.7M-105.2K0.5615.47N/AN/A27315244,31310,615
2023-11-21$11.79$10.0038.6%11.1%74.1%11.8%38.6%-0.9%0.4%773.2K-26.9M-103.5K0.0683.72N/AN/A2311544,18410,546
2023-11-22$11.89$10.0036.4%10.5%72.5%8.4%38.1%4.6%0.6%798.9K-27.8M-102.6K1.7155.93N/AN/A9015444,03510,542
2023-11-24$11.98$10.0038.0%10.9%70.6%10.8%38.2%2.8%-0.9%812.5K-29.0M-100.2K0.1030.25N/AN/A3093144,03010,599
2023-11-27$12.00$10.0035.2%10.1%70.7%6.3%26.0%3.0%3.6%811.3K-29.3M-98.7K0.0156.62N/AN/A6,1416044,17510,618
2023-11-28$12.00$10.0036.2%10.4%70.7%7.9%36.0%3.5%1.7%831.7K-28.2M-102.3K2.1239.59N/AN/A347244,26010,665
2023-11-29$12.00$10.0037.2%10.7%70.8%9.6%35.4%-10.0%1.2%853.9K-28.6M-100.0K0.5666.92N/AN/A784444,24810,719
2023-11-30$11.73$10.0034.8%10.0%71.3%5.6%34.8%-0.7%2.2%834.1K-25.9M-99.0K0.3581.92N/AN/A682444,25310,729