ELAN Options History — December 2023

In December 2023, ELAN traded between $12.32 and $14.98. ATM implied volatility averaged 42.7%, placing in the 18.6% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded below realized volatility by 2.0% (HV 20d: 44.7%). Max pain ranged from $10.00 to $12.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.51.

Notable Days

  • 2023-12-14: Highest Volume — 11,487 contracts
  • 2023-12-11: Largest IV spike — 23.5% change
  • 2023-12-06: Highest IV Rank — 33.6%
  • 2023-12-04: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.69$12.32$14.98$12.32$14.98
Max Pain$11.30$10.00$12.00$10.00$12.00
ATM IV42.7%38.3%52.0%44.1%39.1%
Expected Move11.7%11.0%13.5%12.7%11.2%
HV 20d44.7%36.8%69.5%68.8%39.9%
HV 60d55.0%53.4%56.4%53.7%54.8%
IV Rank18.6%11.4%33.6%20.9%12.8%
IV Percentile33.0%16.3%70.2%39.7%19.4%
Term Structure0.8%-7.3%4.5%-5.5%1.7%
VWIV42.3%35.2%50.6%43.5%39.9%
Skew 25d1.8%-2.2%7.0%-2.2%3.2%
Skew 10d5.6%-4.1%20.9%0.9%5.8%
Call IV 25d40.4%35.9%43.1%40.1%37.6%
Put IV 25d42.2%37.9%48.9%37.9%40.9%
Bid-Ask Spread %63.9513.5688.8971.2849.88
Gamma HHI0.330.180.540.540.18
Net GEX842.0K697.3K1.0M803.5K756.0K
Net DEX-50.6M-62.3M-30.9M-30.9M-62.3M
Net VEX-121.9K-133.8K-100.2K-100.2K-132.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.012.530.010.37
Total Volume3,704.24611,4877,7258,019
Total OI67,509.5555,03075,53355,03075,533

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-12-01$12.32$10.0044.1%12.7%68.8%20.9%43.5%-2.2%-5.5%803.5K-30.9M-100.2K0.0171.28N/AN/A7,6576844,29610,734
2023-12-04$12.84$11.0044.2%13.5%69.5%20.9%43.6%5.3%-7.3%855.1K-40.7M-116.4K0.0180.36N/AN/A3,9984650,48010,787
2023-12-05$12.91$11.0043.6%12.1%67.5%20.0%43.4%7.0%-2.1%914.6K-44.3M-128.0K0.0459.30N/AN/A2531154,21610,763
2023-12-06$12.86$11.0052.0%11.6%47.8%33.6%35.6%5.7%2.5%939.9K-45.7M-122.2K0.1688.89N/AN/A6,9541,08454,09610,770
2023-12-07$12.79$11.0044.6%11.1%48.0%21.7%43.4%1.5%4.5%985.0K-43.1M-126.0K0.0580.95N/AN/A168955,37111,800
2023-12-08$12.86$11.0041.1%11.2%39.2%15.9%39.1%1.2%1.8%1.0M-43.9M-123.5K0.2183.48N/AN/A1733755,49611,807
2023-12-11$12.71$11.0050.8%11.2%38.0%31.7%41.0%0.6%3.2%1.0M-41.9M-122.5K1.1980.91N/AN/A212555,54611,817
2023-12-12$12.68$11.0045.9%11.6%37.0%23.7%42.8%1.0%2.4%1.0M-41.6M-122.2K0.0175.79N/AN/A2,8352155,53011,839
2023-12-13$13.71$11.0041.5%11.9%36.8%16.6%43.0%0.9%-0.5%881.0K-57.7M-117.6K0.4769.78N/AN/A1,05149758,30111,847
2023-12-14$13.54$11.0041.7%12.0%37.6%16.9%41.1%0.2%0.5%848.1K-53.6M-116.1K0.1866.12N/AN/A9,6991,78856,58912,188
2023-12-15$13.73$11.0041.3%11.8%37.5%16.2%45.6%1.3%1.2%780.9K-52.6M-122.1K1.6671.66N/AN/A55291555,66811,233
2023-12-18$13.71$11.0040.0%11.5%37.2%14.2%47.4%2.4%2.0%779.8K-49.3M-116.3K0.1069.93N/AN/A6,54164752,92110,797
2023-12-19$14.36$11.0041.5%11.9%39.7%16.5%41.6%0.7%1.7%757.2K-58.6M-118.0K0.4173.41N/AN/A1,20749756,24411,422
2023-12-20$14.05$12.0042.6%12.2%40.8%18.4%42.9%0.9%1.2%730.6K-51.2M-121.7K2.5354.78N/AN/A4151,04954,65911,901
2023-12-21$14.52$12.0040.9%11.7%41.7%15.6%35.2%-0.3%2.5%697.3K-56.6M-116.6K0.0168.29N/AN/A6,5503954,81211,885
2023-12-22$14.70$12.0040.6%11.6%41.7%15.2%47.6%2.2%1.6%764.6K-58.5M-122.3K0.9213.56N/AN/A2,4092,20856,33211,906
2023-12-26$14.84$12.0040.8%11.7%41.6%15.4%40.4%2.7%0.1%754.2K-59.6M-126.6K1.4517.65N/AN/A1,6852,44956,78714,041
2023-12-27$14.75$12.0039.8%11.4%41.8%13.9%50.6%3.1%2.5%738.4K-58.8M-133.1K0.0270.71N/AN/A2,0863757,97416,485
2023-12-28$14.95$12.0038.3%11.0%41.7%11.4%39.1%-0.7%2.4%765.1K-61.6M-133.8K0.3432.28N/AN/A2879758,80616,512
2023-12-29$14.98$12.0039.1%11.2%39.9%12.8%39.9%3.2%1.7%756.0K-62.3M-132.8K0.3749.88N/AN/A5,8432,17658,92316,610