ELAN Options History — March 2024

In March 2024, ELAN traded between $15.61 and $16.43. ATM implied volatility averaged 37.6%, placing in the 10.3% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 12.6% (HV 20d: 25.0%). Max pain ranged from $12.00 to $16.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.94.

Notable Days

  • 2024-03-05: Highest Volume — 15,196 contracts
  • 2024-03-13: Largest IV drop — 16.3% change
  • 2024-03-12: Highest IV Rank — 23.2%
  • 2024-03-06: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.02$15.61$16.43$16.00$16.30
Max Pain$12.20$12.00$16.00$16.00$12.00
ATM IV37.6%31.1%45.6%38.1%31.1%
Expected Move10.5%8.9%11.3%10.9%8.9%
HV 20d25.0%21.6%33.0%32.8%23.5%
HV 60d32.3%30.1%35.1%34.6%30.2%
IV Rank10.3%0.0%23.2%11.0%0.0%
IV Percentile19.1%0.0%55.6%17.9%0.0%
Term Structure5.2%1.3%9.9%1.3%9.5%
VWIV36.8%30.9%40.9%38.1%30.9%
Skew 25d1.8%-1.5%4.2%0.1%3.3%
Skew 10d2.7%-9.6%11.6%5.7%1.2%
Call IV 25d36.5%30.3%40.7%40.7%30.3%
Put IV 25d38.2%33.6%41.6%40.8%33.6%
Bid-Ask Spread %51.1535.1970.1465.4245.92
Gamma HHI0.230.200.280.220.26
Net GEX897.8K160.8K1.5M713.3K1.5M
Net DEX-45.2M-52.0M-34.7M-42.4M-52.0M
Net VEX-142.8K-161.8K-132.4K-147.6K-134.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.005.610.380.32
Total Volume1,444.1510915,196423282
Total OI75,201.6570,97979,46375,07773,913

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-03-01$16.00$16.0038.1%10.9%32.8%11.0%38.1%0.1%1.3%713.3K-42.4M-147.6K0.3865.42N/AN/A30611755,17919,898
2024-03-04$16.23$12.0041.7%11.1%33.0%16.9%40.0%1.1%2.8%763.6K-45.7M-144.4K0.0269.72N/AN/A4,0679955,28619,984
2024-03-05$15.96$12.0040.2%11.0%24.8%14.5%38.5%0.6%2.4%630.0K-41.9M-145.6K0.0070.14N/AN/A15,1554155,37820,077
2024-03-06$16.16$12.0041.8%11.3%24.8%17.1%39.8%4.0%1.6%654.5K-45.7M-161.8K0.3647.32N/AN/A1635857,45420,081
2024-03-07$16.29$12.0040.2%11.0%24.7%14.4%37.3%4.2%2.9%631.5K-48.2M-159.2K0.4962.82N/AN/A944657,51220,114
2024-03-08$16.43$12.0038.4%11.1%24.9%11.6%38.3%2.1%3.4%659.2K-50.9M-156.3K0.1944.53N/AN/A2184257,53820,136
2024-03-11$16.12$12.0044.2%10.9%25.9%20.9%40.1%-1.5%2.6%431.6K-45.7M-151.7K0.2649.10N/AN/A74919157,64620,162
2024-03-12$15.79$12.0045.6%11.0%26.1%23.2%38.9%-0.6%2.5%317.1K-40.3M-144.5K0.3646.86N/AN/A1,30247358,04620,177
2024-03-13$15.98$12.0038.1%10.9%23.2%11.1%38.0%0.9%2.3%160.8K-43.7M-146.0K0.9468.71N/AN/A15915058,54520,157
2024-03-14$15.64$12.0037.3%10.7%23.2%9.8%37.5%2.4%5.6%331.1K-35.6M-142.5K0.7944.67N/AN/A806359,26720,189
2024-03-15$15.61$12.0037.1%10.6%21.6%9.5%40.9%2.1%6.6%1.1M-34.7M-140.3K5.6144.21N/AN/A13575759,27220,191
2024-03-18$15.82$12.0036.4%10.4%22.3%8.3%36.2%1.2%5.9%1.2M-45.5M-137.1K0.3439.79N/AN/A65322156,90214,077
2024-03-19$15.73$12.0034.9%10.0%22.3%5.8%36.8%2.8%7.9%1.2M-43.8M-135.4K2.7839.58N/AN/A9727057,33014,132
2024-03-20$16.11$12.0035.0%10.0%23.9%6.1%33.7%3.6%6.7%1.3M-48.9M-138.6K5.1347.00N/AN/A9146757,38914,344
2024-03-21$16.30$12.0034.1%9.8%24.2%4.5%34.5%2.2%7.1%1.3M-51.4M-138.3K0.0339.75N/AN/A8032157,39914,592
2024-03-22$15.86$12.0034.7%9.9%25.4%5.5%34.2%1.5%7.6%1.2M-45.5M-134.5K0.4847.09N/AN/A24211757,97014,612
2024-03-25$15.96$12.0035.1%10.1%25.5%6.2%34.8%1.5%8.2%1.3M-47.0M-133.3K0.1164.74N/AN/A1701857,99214,703
2024-03-26$15.95$12.0035.9%10.3%25.2%7.6%35.9%1.3%6.5%1.2M-46.4M-132.4K0.0250.39N/AN/A8421558,09514,720
2024-03-27$16.06$12.0032.6%9.3%23.1%2.1%32.6%2.9%9.9%1.3M-48.2M-132.7K0.1735.19N/AN/A931658,84414,730
2024-03-28$16.30$12.0031.1%8.9%23.5%0.0%30.9%3.3%9.5%1.5M-52.0M-134.8K0.3245.92N/AN/A2146859,16814,745