ELAN Options History — August 2024

In August 2024, ELAN traded between $11.77 and $15.38. ATM implied volatility averaged 50.7%, placing in the 33.7% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 8.1% (HV 20d: 42.6%). Max pain ranged from $13.00 to $13.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.25.

Notable Days

  • 2024-08-20: Highest Volume — 12,007 contracts
  • 2024-08-08: Largest IV drop — 52.3% change
  • 2024-08-05: Highest IV Rank — 100.0%
  • 2024-08-02: Largest Expected Move — 19.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.98$11.77$15.38$12.91$15.38
Max Pain$13.00$13.00$13.00$13.00$13.00
ATM IV50.7%36.6%112.6%60.7%38.5%
Expected Move12.6%10.5%19.5%17.4%11.0%
HV 20d42.6%26.6%47.5%26.6%41.8%
HV 60d61.5%57.2%71.6%71.1%61.2%
IV Rank33.7%11.6%100.0%66.1%13.8%
IV Percentile62.2%30.2%100.0%93.3%39.3%
Term Structure-1.2%-13.5%1.7%-13.5%1.3%
VWIV45.0%37.7%70.0%61.2%39.4%
Skew 25d0.3%-3.6%6.0%3.4%-0.9%
Skew 10d-0.6%-10.7%11.6%1.1%-1.9%
Call IV 25d46.1%37.1%72.5%64.1%41.1%
Put IV 25d46.4%38.6%78.5%67.6%40.3%
Bid-Ask Spread %60.3646.8370.5470.5446.83
Gamma HHI0.180.130.250.140.25
Net GEX624.0K109.7K1.3M199.5K1.3M
Net DEX-15.3M-31.9M1.3M-2.4M-31.9M
Net VEX-100.3K-140.4K-64.2K-78.0K-140.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.250.021.130.050.06
Total Volume2,608.1824312,0071623,908
Total OI58,610.18250,23267,95550,25167,955

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-08-01$12.91$13.0060.7%17.4%26.6%66.1%61.2%3.4%-13.5%199.5K-2.4M-78.0K0.0570.54N/AN/A154838,34011,911
2024-08-02$12.32$13.0068.1%19.5%30.2%80.4%70.0%6.0%-13.5%137.3K116.1K-70.9K0.2066.79N/AN/A3316638,31811,914
2024-08-05$11.77$13.0083.0%16.2%33.0%100.0%56.8%-0.3%-4.4%109.7K1.3M-64.2K0.2461.33N/AN/A1,07926238,53911,927
2024-08-06$12.50$13.0080.3%15.8%39.8%95.3%55.3%0.3%-1.9%188.6K-1.5M-76.1K0.2355.62N/AN/A2846639,26212,124
2024-08-07$12.39$13.00112.6%16.9%39.7%100.0%60.8%-3.1%-3.1%190.5K-1.6M-76.4K0.0551.40N/AN/A6,95036839,66912,124
2024-08-08$12.96$13.0053.7%12.5%42.3%31.4%42.9%-0.2%0.8%394.2K-6.8M-76.0K0.3259.41N/AN/A1,02732845,27312,431
2024-08-09$13.09$13.0046.6%11.9%42.3%23.2%43.4%-0.4%-1.4%386.3K-7.3M-74.1K0.7067.10N/AN/A24817445,38812,578
2024-08-12$13.18$13.0052.7%11.8%41.3%30.3%41.2%2.9%-0.9%376.0K-8.7M-73.9K0.1765.01N/AN/A921645,42712,755
2024-08-13$14.09$13.0055.5%11.8%47.5%33.6%41.3%-1.2%-1.3%425.0K-16.3M-82.5K0.4459.24N/AN/A5,2782,30945,45712,676
2024-08-14$14.21$13.0041.2%11.8%47.0%16.9%41.6%-1.6%-0.9%454.7K-17.8M-96.6K1.1365.64N/AN/A64872948,25314,610
2024-08-15$14.54$13.0038.9%11.1%47.1%14.2%40.9%-3.6%1.0%580.1K-22.1M-104.0K0.1466.97N/AN/A90912548,54914,568
2024-08-16$14.50$13.0038.1%10.9%46.3%13.3%38.9%-1.1%1.7%471.4K-21.0M-99.9K0.2466.34N/AN/A2,38958248,51314,551
2024-08-19$14.75$13.0036.6%10.5%46.5%11.6%38.7%0.9%1.6%546.9K-15.2M-104.3K0.0662.70N/AN/A3962539,75211,261
2024-08-20$14.75$13.0038.0%10.9%45.6%13.1%39.8%1.9%1.6%538.2K-15.6M-104.9K0.0255.95N/AN/A11,82218539,73011,285
2024-08-21$14.79$13.0038.6%11.1%45.0%13.9%38.6%3.6%1.1%988.5K-23.2M-130.1K0.0559.04N/AN/A9054450,31311,449
2024-08-22$14.64$13.0038.2%11.0%44.9%13.4%39.6%0.5%1.0%942.4K-20.8M-123.3K0.2264.39N/AN/A73515950,97511,464
2024-08-23$14.57$13.0037.1%10.6%45.1%12.1%37.7%1.4%1.6%975.1K-21.7M-128.6K0.2058.81N/AN/A64313151,40911,473
2024-08-26$14.54$13.0039.0%11.2%45.0%14.3%40.3%0.2%1.4%955.0K-19.9M-118.5K0.8759.12N/AN/A232051,94311,581
2024-08-27$15.23$13.0039.5%11.3%47.2%15.0%40.0%0.1%0.7%1.1M-27.7M-122.6K0.0954.53N/AN/A6,07554151,94511,593
2024-08-28$15.25$13.0040.2%11.5%47.2%15.7%41.0%-1.8%1.0%1.2M-28.4M-131.9K0.0757.32N/AN/A1,1337852,80511,981
2024-08-29$15.27$13.0039.2%11.2%46.6%14.6%41.5%-1.2%0.3%1.2M-28.0M-128.9K0.0353.75N/AN/A5,96916653,35112,002
2024-08-30$15.38$13.0038.5%11.0%41.8%13.8%39.4%-0.9%1.3%1.3M-31.9M-140.4K0.0646.83N/AN/A3,70020855,88312,072