EDIT Options History — June 2016 In June 2016, EDIT traded between $23.82 and $32.66. ATM implied volatility averaged 92.0%. The 30-day expected move averaged 26.4%. IV traded above realized volatility by 17.0% (HV 20d: 75.1%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 0 of 16 trading days. Term structure was in contango for 6 of 16 days. Put/call ratio averaged 11.03.
Notable Days 2016-06-15 : Highest Volume — 47 contracts2016-06-24 : Largest IV spike — 76.7% change2016-06-28 : Largest Expected Move — 46.7%Monthly Statistics Metric Avg Min Max Open Close Price $28.47 $23.82 $32.66 $32.41 $24.30 Max Pain $30.00 $30.00 $30.00 $30.00 $30.00 ATM IV 92.0% 60.9% 162.8% 88.0% 69.9% Expected Move 26.4% 17.5% 46.7% 25.2% 20.0% HV 20d 75.1% 75.1% 75.1% 75.1% 75.1% Term Structure -26.0% -144.6% 17.6% -11.6% 17.6% VWIV 73.2% 58.4% 78.8% 78.8% 58.4% Skew 25d 3.4% -53.4% 44.1% -35.5% -30.0% Skew 10d 20.3% -44.6% 50.3% -11.6% 4.8% Call IV 25d 85.8% 64.0% 124.0% 105.5% 106.2% Put IV 25d 89.2% 57.0% 158.0% 70.0% 76.2% Bid-Ask Spread % 97.41 68.85 143.21 143.21 112.83 Gamma HHI 0.62 0.49 1.00 1.00 0.67 Net GEX -561 -844 0 0 -822 Net DEX 25.4K 0 42.1K 0 42.1K Net VEX -217 -276 0 0 -247 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 11.03 10.75 14.33 14.33 10.75 Total Volume 42.25 0 47 0 47 Total OI 39.313 0 47 0 47
Daily Data (16 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2016-06-09 $32.41 $0.00 88.0% 25.2% 0.0% 0.0% 0.0% 0.0% -11.6% 0 0 0 0.00 143.21 N/A N/A 0 0 0 0 2016-06-10 $30.71 $0.00 60.9% 17.5% 0.0% 0.0% 0.0% -35.5% 10.3% 0 0 0 0.00 136.89 N/A N/A 0 33 0 0 2016-06-13 $29.83 $0.00 79.0% 22.6% 0.0% 0.0% 0.0% 44.1% 5.0% -593 26.7K -213 0.00 139.34 N/A N/A 0 33 0 33 2016-06-14 $30.96 $0.00 79.4% 22.8% 0.0% 0.0% 78.8% 21.0% -5.5% -667 26.8K -210 14.33 70.51 N/A N/A 3 43 0 33 2016-06-15 $32.66 $30.00 70.5% 20.2% 0.0% 0.0% 74.4% 20.7% -1.9% -652 23.9K -266 10.75 68.85 N/A N/A 4 43 3 43 2016-06-16 $31.19 $30.00 79.8% 22.9% 0.0% 0.0% 74.7% 17.3% -6.1% -593 24.0K -273 10.75 76.70 N/A N/A 4 43 4 43 2016-06-17 $29.81 $30.00 81.0% 23.2% 0.0% 0.0% 75.3% 20.2% -6.8% -637 28.4K -276 10.75 79.26 N/A N/A 4 43 4 43 2016-06-20 $29.72 $30.00 82.9% 23.8% 0.0% 0.0% 75.8% 25.6% -6.8% -654 28.6K -272 10.75 81.70 N/A N/A 4 43 4 43 2016-06-21 $27.54 $30.00 82.9% 23.8% 0.0% 0.0% 69.0% 18.1% 11.7% -563 26.8K -257 10.75 83.84 N/A N/A 4 43 4 43 2016-06-22 $28.33 $30.00 80.8% 23.2% 0.0% 0.0% 72.2% 20.7% 4.9% -601 27.8K -262 10.75 83.69 N/A N/A 4 43 4 43 2016-06-23 $28.32 $30.00 80.1% 23.0% 0.0% 0.0% 73.0% 21.2% 6.2% -600 28.0K -262 10.75 82.02 N/A N/A 4 43 4 43 2016-06-24 $25.94 $30.00 141.5% 40.6% 0.0% 0.0% 0.0% -45.5% -144.3% -638 25.7K -222 10.75 106.21 N/A N/A 4 43 4 43 2016-06-27 $23.82 $30.00 160.3% 46.0% 0.0% 0.0% 0.0% -53.4% -144.6% -572 29.0K -227 10.75 92.53 N/A N/A 4 43 4 43 2016-06-28 $24.91 $30.00 162.8% 46.7% 0.0% 0.0% 75.5% -30.0% -135.1% -532 28.0K -232 10.75 94.24 N/A N/A 4 43 4 43 2016-06-29 $25.09 $30.00 72.5% 20.8% 0.0% 0.0% 78.4% 0.0% -9.4% -844 40.1K -252 10.75 106.81 N/A N/A 4 43 4 43 2016-06-30 $24.30 $30.00 69.9% 20.0% 75.1% 0.0% 58.4% 0.0% 17.6% -822 42.1K -247 10.75 112.83 N/A N/A 4 43 4 43
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