ELAN Options History — February 2024

In February 2024, ELAN traded between $14.77 and $16.44. ATM implied volatility averaged 43.7%, placing in the 20.1% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 10.5% (HV 20d: 33.2%). Max pain ranged from $15.00 to $16.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 1.27.

Notable Days

  • 2024-02-23: Highest Volume — 9,098 contracts
  • 2024-02-26: Largest IV drop — 28.0% change
  • 2024-02-23: Highest IV Rank — 39.2%
  • 2024-02-23: Largest Expected Move — 15.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.95$14.77$16.44$14.79$15.88
Max Pain$15.20$15.00$16.00$15.00$16.00
ATM IV43.7%37.7%55.5%37.9%37.7%
Expected Move12.9%10.8%15.9%12.8%10.8%
HV 20d33.2%31.7%34.9%33.6%32.8%
HV 60d38.4%35.1%49.7%49.7%35.5%
IV Rank20.1%10.4%39.2%10.7%10.4%
IV Percentile43.9%15.1%83.3%15.5%15.1%
Term Structure-3.4%-9.9%0.4%-1.7%-1.3%
VWIV45.3%38.3%54.9%43.9%38.3%
Skew 25d1.9%-1.8%6.0%3.7%-1.4%
Skew 10d3.9%-12.8%11.1%6.1%1.9%
Call IV 25d44.7%39.0%50.8%44.3%39.0%
Put IV 25d46.6%37.6%56.8%48.0%37.6%
Bid-Ask Spread %47.8112.7280.9139.9880.91
Gamma HHI0.220.190.270.190.22
Net GEX1.2M670.7K1.6M1.4M722.4K
Net DEX-50.7M-62.4M-40.6M-41.3M-40.6M
Net VEX-130.5K-154.5K-118.9K-137.2K-146.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.270.0111.920.740.06
Total Volume1,829.95639,098731,365
Total OI67,132.7557,93974,95469,61774,954

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-02-01$14.79$15.0037.9%12.8%33.6%10.7%43.9%3.7%-1.7%1.4M-41.3M-137.2K0.7439.98N/AN/A423159,7489,869
2024-02-02$14.77$15.0038.0%13.1%33.2%10.9%45.1%3.0%-3.1%1.5M-40.8M-134.5K0.2547.69N/AN/A2245559,7749,862
2024-02-05$15.77$15.0040.1%12.6%34.8%14.3%45.3%1.5%-1.7%1.6M-55.4M-136.0K0.0236.58N/AN/A6,90715859,8589,892
2024-02-06$15.95$15.0039.0%12.7%34.9%12.5%44.7%2.7%-2.7%1.4M-56.5M-133.6K0.1312.72N/AN/A6708857,4479,948
2024-02-07$15.82$15.0043.2%12.4%34.9%19.4%44.3%2.0%-2.7%1.4M-54.5M-132.0K0.0250.05N/AN/A2,0843857,33310,005
2024-02-08$15.86$15.0043.8%12.6%33.9%20.3%43.9%4.7%-3.1%1.4M-54.7M-132.8K0.0621.12N/AN/A79557,37010,031
2024-02-09$15.96$15.0044.3%12.7%32.8%21.1%45.1%4.6%-3.7%1.4M-55.6M-131.3K0.1340.89N/AN/A3053957,39110,030
2024-02-12$16.24$15.0046.1%13.2%33.1%24.0%47.5%1.9%-4.5%1.3M-59.9M-128.0K0.2942.96N/AN/A2928457,41410,061
2024-02-13$15.68$15.0047.1%13.5%33.7%25.7%47.4%2.5%-4.7%1.4M-52.0M-125.7K1.5729.06N/AN/A15724657,47910,090
2024-02-14$16.02$15.0046.4%13.3%33.1%24.5%47.3%3.3%-4.2%1.4M-57.3M-122.3K1.6125.51N/AN/A8513757,46410,125
2024-02-15$16.37$15.0045.9%13.1%33.7%23.7%45.8%1.3%-4.3%1.2M-62.4M-120.8K0.3932.16N/AN/A88934857,43510,189
2024-02-16$16.31$15.0046.7%13.4%32.4%25.1%46.2%0.9%-5.3%1.0M-61.8M-121.6K0.0141.57N/AN/A2,1602258,00610,499
2024-02-20$16.23$15.0048.0%13.8%32.6%27.1%48.1%1.3%-5.1%1.1M-47.2M-118.9K0.2468.67N/AN/A511248,1069,833
2024-02-21$16.09$15.0048.0%13.8%32.9%27.2%48.8%2.3%-4.2%1.1M-45.3M-120.5K0.4352.93N/AN/A763348,1349,837
2024-02-22$16.16$15.0049.2%14.1%32.2%29.0%50.8%0.8%-5.7%1.1M-45.6M-120.1K6.2640.06N/AN/A10062648,10610,256
2024-02-23$16.41$15.0055.5%15.9%32.2%39.2%54.9%6.0%-9.9%1.0M-48.3M-120.8K11.9260.99N/AN/A7048,39448,21710,860
2024-02-26$16.30$16.0040.0%11.5%31.7%14.1%40.9%-1.8%0.0%670.7K-43.9M-123.0K0.2976.70N/AN/A6,8662,02548,82318,840
2024-02-27$16.44$16.0038.5%11.0%31.7%11.8%38.9%-0.6%0.4%844.9K-49.4M-154.5K0.3376.72N/AN/A61020354,86619,667
2024-02-28$15.96$16.0038.4%11.0%33.8%11.6%39.0%-1.0%0.1%716.4K-42.5M-150.8K0.6079.01N/AN/A24314655,11019,726
2024-02-29$15.88$16.0037.7%10.8%32.8%10.4%38.3%-1.4%-1.3%722.4K-40.6M-146.0K0.0680.91N/AN/A1,2887755,10619,848