ELAN Options History — September 2024

In September 2024, ELAN traded between $13.66 and $15.30. ATM implied volatility averaged 43.6%, placing in the 19.7% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 10.7% (HV 20d: 32.9%). Max pain ranged from $13.00 to $14.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.44.

Notable Days

  • 2024-09-19: Highest Volume — 32,242 contracts
  • 2024-09-30: Largest IV spike — 14.6% change
  • 2024-09-09: Highest IV Rank — 30.5%
  • 2024-09-30: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.53$13.66$15.30$15.18$14.68
Max Pain$13.90$13.00$14.00$13.00$14.00
ATM IV43.6%38.5%52.8%40.8%46.8%
Expected Move12.2%11.0%13.4%11.7%13.4%
HV 20d32.9%26.2%40.2%37.3%40.2%
HV 60d54.5%37.5%62.9%61.2%39.1%
IV Rank19.7%13.8%30.5%16.4%23.4%
IV Percentile60.4%32.9%84.9%52.0%73.4%
Term Structure4.1%-1.7%24.2%-0.7%4.0%
VWIV42.7%39.7%45.6%41.2%45.6%
Skew 25d-1.4%-23.3%3.9%0.7%-18.9%
Skew 10d3.2%-15.0%21.0%-3.8%15.4%
Call IV 25d43.7%39.2%49.5%42.3%46.9%
Put IV 25d42.4%26.2%46.5%43.0%28.0%
Bid-Ask Spread %72.7255.23103.0855.7479.03
Gamma HHI0.270.240.340.260.26
Net GEX1.2M937.9K1.7M1.4M1.4M
Net DEX-19.7M-30.7M-8.9M-29.0M-25.2M
Net VEX-103.5K-134.0K-84.1K-134.0K-97.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.011.830.080.09
Total Volume2,808.9512532,2429151,789
Total OI71,359.9565,26390,18969,37876,375

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-09-03$15.18$13.0040.8%11.7%37.3%16.4%41.2%0.7%-0.7%1.4M-29.0M-134.0K0.0855.74N/AN/A8506557,20812,170
2024-09-04$14.89$13.0041.9%12.0%34.5%17.8%40.7%1.5%-0.1%1.3M-24.3M-123.7K0.2755.35N/AN/A1604357,40212,183
2024-09-05$15.30$14.0045.3%12.2%34.4%21.7%44.6%-0.8%1.7%1.3M-30.7M-133.1K0.0963.91N/AN/A1,42513357,40012,225
2024-09-06$15.20$14.0047.9%12.5%32.4%24.8%44.2%0.8%1.0%1.3M-29.6M-131.1K0.0265.63N/AN/A2,4854358,25912,303
2024-09-09$14.82$14.0052.8%12.7%34.4%30.5%45.3%-0.1%-0.3%1.2M-23.6M-118.6K0.0972.52N/AN/A2,89324857,48112,313
2024-09-10$14.59$14.0048.4%12.4%35.3%25.3%44.8%2.3%1.2%1.1M-19.4M-113.2K0.3466.54N/AN/A32611056,88612,405
2024-09-11$14.38$14.0044.0%12.6%27.4%20.2%43.4%2.5%0.6%974.3K-16.6M-105.5K1.0374.30N/AN/A2,0512,11256,92812,405
2024-09-12$14.46$14.0042.2%12.1%27.3%18.1%41.5%0.7%3.2%1.0M-17.0M-96.0K0.0174.92N/AN/A1,0731254,91110,434
2024-09-13$14.32$14.0040.7%11.7%26.2%16.3%41.2%1.6%3.4%939.4K-14.2M-88.5K1.7873.58N/AN/A17531254,82310,440
2024-09-16$14.52$14.0044.9%12.9%26.7%21.2%44.9%-0.3%-1.7%1.1M-17.4M-91.7K0.0555.23N/AN/A128654,85510,511
2024-09-17$14.36$14.0044.1%12.7%26.2%20.3%44.5%2.5%-0.2%952.1K-14.7M-84.1K1.0264.89N/AN/A23824354,81710,512
2024-09-18$14.75$14.0043.8%12.6%28.0%19.9%43.8%-0.1%-0.2%1.2M-19.4M-91.9K0.1176.07N/AN/A1131254,87710,545
2024-09-19$15.00$14.0045.9%13.2%28.6%22.4%43.3%-23.3%24.2%1.2M-21.6M-88.5K0.15103.08N/AN/A27,9354,30754,87610,545
2024-09-20$14.09$14.0040.0%11.5%36.3%15.5%40.5%-1.6%10.0%1.7M-20.4M-100.7K0.1385.36N/AN/A4,49657076,14014,049
2024-09-23$14.39$14.0041.2%11.8%37.2%17.0%41.9%-1.8%8.0%1.3M-20.4M-105.0K0.3470.15N/AN/A32511162,87412,981
2024-09-24$13.96$14.0041.0%11.8%38.7%16.7%41.3%-2.6%5.0%1.1M-14.6M-98.2K1.8381.25N/AN/A19134963,09113,057
2024-09-25$13.68$14.0041.6%11.9%34.6%17.4%41.6%3.5%4.7%976.9K-9.9M-89.0K0.3374.11N/AN/A2548363,19313,267
2024-09-26$13.66$14.0038.5%11.0%34.6%13.8%39.7%2.4%10.8%937.9K-8.9M-86.2K0.9687.03N/AN/A858263,12513,094
2024-09-27$14.27$14.0040.8%11.7%38.7%16.4%40.3%3.9%8.6%1.2M-16.7M-92.5K0.0975.68N/AN/A3182863,12513,114
2024-09-30$14.68$14.0046.8%13.4%40.2%23.4%45.6%-18.9%4.0%1.4M-25.2M-97.8K0.0979.03N/AN/A1,64314663,24413,131