ELAN Options History — November 2024

In November 2024, ELAN traded between $12.54 and $14.42. ATM implied volatility averaged 45.4%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded below realized volatility by 0.3% (HV 20d: 45.7%). Max pain ranged from $12.00 to $13.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.02.

Notable Days

  • 2024-11-07: Highest Volume — 3,576 contracts
  • 2024-11-07: Largest IV drop — 52.1% change
  • 2024-11-06: Highest IV Rank — 53.0%
  • 2024-11-01: Largest Expected Move — 18.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.46$12.54$14.42$12.64$13.16
Max Pain$12.95$12.00$13.00$13.00$13.00
ATM IV45.4%34.6%72.2%63.3%38.0%
Expected Move11.9%10.6%18.1%18.1%10.9%
HV 20d45.7%28.3%54.2%28.3%49.0%
HV 60d38.9%31.7%41.3%34.5%39.5%
IV Rank21.7%9.2%53.0%42.6%13.2%
IV Percentile49.5%16.3%97.6%96.4%28.2%
Term Structure-0.4%-13.5%2.9%-13.5%1.7%
VWIV40.9%35.9%61.7%61.7%37.4%
Skew 25d1.0%-10.7%11.6%4.0%2.5%
Skew 10d10.8%-12.7%37.5%37.5%15.8%
Call IV 25d39.0%26.6%61.5%61.5%36.1%
Put IV 25d40.0%30.8%65.5%65.5%38.6%
Bid-Ask Spread %81.6665.4692.5267.7289.47
Gamma HHI0.240.190.310.210.31
Net GEX24.9K-158.3K255.5K-4.3K-64.8K
Net DEX-2.7M-7.8M455.3K436.6K-791.0K
Net VEX-53.0K-58.4K-48.6K-57.4K-51.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.014.550.121.31
Total Volume909.251413,5761412,820
Total OI34,617.1531,48437,47734,33834,823

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-11-01$12.64$13.0063.3%18.1%28.3%42.6%61.7%4.0%-13.5%-4.3K436.6K-57.4K0.1267.72N/AN/A1261520,13414,204
2024-11-04$12.54$12.0067.7%14.9%28.3%47.8%50.6%2.3%-3.0%-2.5K356.9K-57.9K0.5065.46N/AN/A1989920,19014,218
2024-11-05$12.61$13.0071.8%15.1%28.5%52.5%51.9%2.1%-3.4%-4.8K455.3K-55.8K0.0167.43N/AN/A283420,26814,301
2024-11-06$12.84$13.0072.2%14.0%29.9%53.0%48.9%-10.7%-2.3%22.4K-516.3K-56.7K4.5576.17N/AN/A17780520,47114,303
2024-11-07$14.42$13.0034.6%10.9%52.7%9.2%38.1%1.2%0.8%255.5K-7.8M-58.4K0.2686.18N/AN/A2,83773920,75414,847
2024-11-08$13.95$13.0040.2%10.6%53.8%15.7%36.5%1.9%0.9%138.3K-5.1M-56.4K0.1682.94N/AN/A5328421,79415,268
2024-11-11$14.18$13.0047.3%10.8%54.2%24.0%36.6%2.9%0.9%167.2K-6.5M-53.8K0.0279.59N/AN/A247621,85915,254
2024-11-12$14.18$13.0048.0%10.7%53.6%24.8%37.5%0.5%1.5%166.3K-6.7M-53.1K1.0080.47N/AN/A29729821,91415,254
2024-11-13$14.23$13.0037.0%10.6%49.1%12.0%37.9%10.9%1.1%149.0K-6.6M-52.4K1.8487.74N/AN/A19135121,88615,287
2024-11-14$14.04$13.0036.9%10.6%47.0%11.9%35.9%3.5%1.1%-39.8K-5.3M-52.3K0.0583.40N/AN/A2161121,89115,586
2024-11-15$14.00$13.0039.0%11.2%46.8%14.3%38.6%0.2%-0.4%-158.3K-5.2M-51.8K3.3184.59N/AN/A3181,05321,94315,515
2024-11-18$13.34$13.0039.6%11.3%49.3%15.0%37.9%2.9%-0.4%-20.3K-1.2M-50.0K0.4177.80N/AN/A2419917,88113,603
2024-11-19$13.29$13.0037.7%10.8%49.3%12.8%37.6%-4.7%1.2%-15.6K-1.1M-51.0K0.5188.69N/AN/A27514018,03613,723
2024-11-20$13.38$13.0039.8%11.4%49.1%15.3%38.6%-7.1%-0.8%-12.4K-1.4M-50.9K0.3488.28N/AN/A1444918,20413,805
2024-11-21$13.38$13.0040.5%11.6%49.0%16.1%38.0%-7.0%0.9%-2.6K-1.8M-52.5K0.0982.15N/AN/A9468418,31513,784
2024-11-22$13.35$13.0038.4%11.0%48.9%13.7%38.8%11.6%2.9%-3.3K-1.4M-51.5K1.5882.54N/AN/A6610418,65113,831
2024-11-25$13.38$13.0039.2%11.2%48.8%14.6%39.9%0.9%1.3%-19.5K-1.2M-48.6K0.9182.87N/AN/A1,5491,41218,64413,886
2024-11-26$13.16$13.0037.9%10.9%49.3%13.1%38.2%-2.1%0.8%-33.3K-327.0K-49.1K0.7587.25N/AN/A26119519,25814,801
2024-11-27$13.21$13.0038.1%10.9%49.0%13.3%37.8%3.2%0.6%-18.9K-1.4M-49.6K2.7492.52N/AN/A24466919,40814,549
2024-11-29$13.16$13.0038.0%10.9%49.0%13.2%37.4%2.5%1.7%-64.8K-791.0K-51.5K1.3189.47N/AN/A1,2191,60119,59315,230