EDIT Options History — October 2016

In October 2016, EDIT traded between $13.02 and $16.26. ATM implied volatility averaged 75.7%. The 30-day expected move averaged 21.6%. IV traded above realized volatility by 10.4% (HV 20d: 65.3%). 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 15 of 21 days. Put/call ratio averaged 0.37.

Notable Days

  • 2016-10-26: Highest Volume — 464 contracts
  • 2016-10-11: Largest IV spike — 16.8% change
  • 2016-10-04: Largest Expected Move — 23.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.18$13.02$16.26$13.45$14.14
Max Pain$17.26$15.00$20.00$15.00$17.50
ATM IV75.7%68.2%83.7%75.7%78.2%
Expected Move21.6%19.5%23.6%21.7%22.4%
HV 20d65.3%39.0%90.0%39.0%90.0%
HV 60d58.8%49.2%67.7%49.2%67.7%
Term Structure2.4%-10.2%9.5%-1.3%-2.8%
VWIV73.4%60.6%87.1%77.7%76.4%
Skew 25d-2.0%-18.2%17.2%-5.2%17.2%
Skew 10d-6.8%-31.1%23.1%-19.6%4.2%
Call IV 25d76.2%64.8%92.2%80.0%75.1%
Put IV 25d74.1%61.7%92.3%74.8%92.3%
Bid-Ask Spread %95.2188.85103.12103.1294.71
Gamma HHI0.370.210.740.360.31
Net GEX-3.0K-17.6K-238-732-2.6K
Net DEX45.7K-241.7K234.9K126.5K68.3K
Net VEX-1.5K-2.0K-1.1K-1.1K-2.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.370.120.710.240.14
Total Volume334.286230464332430
Total OI1,007.9527441,2347771,234

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$13.45$15.0075.7%21.7%39.0%0.0%77.7%-5.2%-1.3%-732126.5K-1.1K0.24103.12N/AN/A26765417360
2016-10-04$14.95$15.0082.4%23.6%56.4%0.0%80.7%-6.5%-10.2%-2.0K-73.4K-1.5K0.2896.47N/AN/A24468479360
2016-10-05$15.36$15.0076.3%21.9%55.8%0.0%76.1%1.6%-1.5%-2.0K-146.0K-1.6K0.31101.18N/AN/A22169514365
2016-10-06$15.06$20.0080.2%22.2%53.4%0.0%60.6%2.3%-0.8%-1.4K-116.5K-1.5K0.2788.85N/AN/A24165536365
2016-10-07$14.05$17.5074.7%21.5%56.6%0.0%69.6%-7.1%1.1%-812-11.5K-1.5K0.4394.08N/AN/A270115543366
2016-10-10$14.56$17.5071.7%22.1%58.6%0.0%66.1%3.8%1.5%-4.0K-15.7K-1.5K0.4497.91N/AN/A259115552418
2016-10-11$14.01$17.5083.7%20.7%56.2%0.0%71.3%-6.7%3.3%-2.5K42.8K-1.4K0.7190.67N/AN/A218155555418
2016-10-12$13.13$17.5076.4%21.9%59.0%0.0%77.2%-18.2%5.6%-238204.4K-1.3K0.5398.99N/AN/A17794573466
2016-10-13$13.68$17.5077.6%22.2%61.4%0.0%73.6%-3.9%3.8%-3.1K145.7K-1.5K0.4996.06N/AN/A18791588513
2016-10-14$13.44$17.5068.2%19.5%61.3%0.0%71.9%-11.1%9.5%-3.9K200.9K-1.4K0.4495.38N/AN/A19084550519
2016-10-17$13.26$17.5078.0%22.4%61.4%0.0%78.6%-9.6%1.0%-815234.9K-1.2K0.4693.02N/AN/A19892564544
2016-10-18$13.82$17.5081.3%23.3%63.1%0.0%75.7%-8.4%-3.8%-929210.3K-1.3K0.4891.36N/AN/A18990579549
2016-10-19$13.88$17.5073.7%21.1%63.1%0.0%74.5%-3.3%4.2%-8.2K123.6K-1.4K0.4196.94N/AN/A17772579549
2016-10-20$14.73$17.5075.8%21.7%66.9%0.0%64.7%16.7%1.5%-17.6K-2.2K-1.4K0.4095.89N/AN/A19076579557
2016-10-21$15.28$17.5073.9%21.2%67.7%0.0%67.4%1.6%9.4%-1.6K-241.7K-1.5K0.3993.28N/AN/A25498590552
2016-10-24$16.26$17.5071.0%20.4%69.4%0.0%69.1%8.3%8.1%-1.9K-134.9K-1.5K0.2993.57N/AN/A17852432312
2016-10-25$14.67$17.5071.9%20.6%79.7%0.0%71.6%-4.0%6.6%-1.5K-14.4K-1.4K0.5988.87N/AN/A238141451319
2016-10-26$14.02$17.5075.3%21.6%81.2%0.0%67.4%8.3%2.1%-3.4K62.0K-1.7K0.1594.69N/AN/A40559532415
2016-10-27$13.02$17.5070.9%20.3%85.3%0.0%84.8%-15.6%8.0%-1.5K128.9K-1.7K0.2297.21N/AN/A37682718438
2016-10-28$13.06$17.5073.0%20.9%85.3%0.0%87.1%-3.2%4.8%-2.1K167.9K-1.8K0.1297.20N/AN/A38147735482
2016-10-31$14.14$17.5078.2%22.4%90.0%0.0%76.4%17.2%-2.8%-2.6K68.3K-2.0K0.1494.71N/AN/A37753740494