EDIT Options History — September 2016

In September 2016, EDIT traded between $13.45 and $17.24. ATM implied volatility averaged 65.6%. The 30-day expected move averaged 20.5%. IV traded above realized volatility by 10.6% (HV 20d: 55.0%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.31.

Notable Days

  • 2016-09-15: Highest Volume — 306 contracts
  • 2016-09-12: Largest IV spike — 3936.6% change
  • 2016-09-09: Largest Expected Move — 35.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.17$13.45$17.24$16.60$13.45
Max Pain$16.43$15.00$20.00$20.00$15.00
ATM IV65.6%2.1%82.8%65.5%76.2%
Expected Move20.5%15.9%35.3%18.8%21.8%
HV 20d55.0%39.5%65.8%62.1%39.5%
HV 60d55.3%49.1%59.9%59.9%49.1%
Term Structure1.6%-43.5%20.7%-0.9%2.1%
VWIV71.4%61.2%130.8%66.2%75.8%
Skew 25d-3.9%-58.2%6.7%6.7%-2.8%
Skew 10d-2.2%-20.6%57.6%13.6%-19.1%
Call IV 25d75.0%63.0%153.5%63.0%79.1%
Put IV 25d71.1%56.5%95.3%69.7%76.3%
Bid-Ask Spread %100.8586.44141.43108.72103.33
Gamma HHI0.490.260.660.280.37
Net GEX-3.8K-5.9K-987-3.7K-987
Net DEX172.6K79.1K228.4K158.0K140.5K
Net VEX-829-1.1K-643-643-1.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.282.252.250.28
Total Volume239.333192306208296
Total OI489306754306754

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$16.60$20.0065.5%18.8%62.1%0.0%66.2%6.7%-0.9%-3.7K158.0K-6432.25108.72N/AN/A6414475231
2016-09-02$16.12$20.0055.6%15.9%61.9%0.0%64.4%-7.1%20.7%-3.0K161.6K-6532.13108.41N/AN/A7916888231
2016-09-06$15.98$20.0064.9%19.8%60.9%0.0%65.3%4.3%5.0%-4.2K177.4K-6951.9193.11N/AN/A88168106269
2016-09-07$16.54$17.5060.8%19.8%63.8%0.0%61.2%4.4%8.0%-3.9K149.2K-7591.9994.51N/AN/A80159116269
2016-09-08$17.24$17.5062.2%19.8%63.9%0.0%71.4%1.7%1.5%-3.5K126.4K-7611.9286.44N/AN/A83159119269
2016-09-09$16.53$17.502.1%35.3%63.6%0.0%130.8%-58.2%-43.5%-1.3K79.1K-8162.21141.43N/AN/A72159130269
2016-09-12$16.57$17.5082.8%20.0%63.3%0.0%66.5%5.6%0.2%-3.8K142.8K-7182.1595.68N/AN/A80172131269
2016-09-13$15.57$17.5076.3%21.2%65.4%0.0%72.2%0.3%-4.2%-4.9K181.5K-7001.8893.44N/AN/A90169144284
2016-09-14$15.00$17.5071.0%20.4%65.8%0.0%69.0%-6.1%1.2%-4.9K191.6K-7281.9199.01N/AN/A94180172304
2016-09-15$15.01$15.0066.0%18.9%65.3%0.0%65.5%3.6%2.6%-5.9K197.2K-8222.22100.96N/AN/A95211193338
2016-09-16$14.71$15.0071.0%20.4%61.6%0.0%69.8%5.6%3.0%-3.5K228.4K-7821.4098.24N/AN/A95133194338
2016-09-19$14.64$15.0072.2%20.7%57.7%0.0%71.0%-5.1%2.7%-3.8K188.8K-7630.9399.36N/AN/A10194174292
2016-09-20$14.92$15.0068.3%19.6%56.3%0.0%68.3%5.2%-0.4%-4.1K168.9K-8150.75103.01N/AN/A13198181293
2016-09-21$14.85$15.0065.0%18.6%52.2%0.0%67.2%-12.7%8.2%-4.1K154.2K-9420.7496.44N/AN/A13298216298
2016-09-22$14.81$15.0064.1%18.4%43.0%0.0%66.1%5.5%6.6%-4.7K177.1K-9480.66102.15N/AN/A13489213318
2016-09-23$14.50$15.0066.5%19.1%43.0%0.0%62.5%-11.3%5.5%-4.3K184.0K-9550.5599.74N/AN/A15083220320
2016-09-26$14.02$15.0071.0%20.4%43.5%0.0%71.6%-1.8%4.3%-3.6K189.8K-9280.4296.38N/AN/A16068248329
2016-09-27$14.06$15.0072.7%20.8%41.8%0.0%72.6%-3.2%0.1%-3.9K207.0K-9360.4695.17N/AN/A14868258346
2016-09-28$13.80$15.0073.6%21.1%41.2%0.0%71.7%-12.6%1.3%-3.7K211.4K-9700.3696.75N/AN/A14151281346
2016-09-29$13.62$15.0070.3%20.2%39.5%0.0%70.3%-4.5%10.0%-3.2K210.4K-9970.38105.65N/AN/A17666296347
2016-09-30$13.45$15.0076.2%21.8%39.5%0.0%75.8%-2.8%2.1%-987140.5K-1.1K0.28103.33N/AN/A23165392362