EDIT Options History — November 2016

In November 2016, EDIT traded between $12.56 and $16.85. ATM implied volatility averaged 74.9%. The 30-day expected move averaged 21.5%. IV traded below realized volatility by 3.1% (HV 20d: 78.0%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 2.24.

Notable Days

  • 2016-11-10: Highest Volume — 1,349 contracts
  • 2016-11-08: Largest IV spike — 22.7% change
  • 2016-11-03: Largest Expected Move — 22.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.83$12.56$16.85$13.98$14.10
Max Pain$16.67$15.00$17.50$17.50$17.50
ATM IV74.9%65.9%91.8%73.9%77.0%
Expected Move21.5%18.9%22.6%21.2%22.1%
HV 20d78.0%62.5%86.4%81.4%62.5%
HV 60d67.5%65.6%69.6%67.0%66.5%
Term Structure2.1%-6.7%13.9%7.1%2.1%
VWIV75.9%56.7%88.0%86.0%88.0%
Skew 25d-0.9%-26.2%19.8%-16.5%-18.5%
Skew 10d6.6%-27.9%46.7%-20.4%-19.0%
Call IV 25d73.3%56.3%84.1%79.9%84.1%
Put IV 25d72.5%52.8%84.2%63.4%65.5%
Bid-Ask Spread %95.0486.26103.80101.85103.80
Gamma HHI0.380.280.510.330.50
Net GEX-6.3K-21.1K7.9K-4.3K-6.7K
Net DEX-71.1K-568.1K376.0K102.4K-7.8K
Net VEX-2.5K-3.0K-1.6K-2.0K-2.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.240.126.280.120.69
Total Volume747.6673681,349422392
Total OI1,760.811,2502,2241,2501,530

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$13.98$17.5073.9%21.2%81.4%0.0%86.0%-16.5%7.1%-4.3K102.4K-2.0K0.12101.85N/AN/A37745740510
2016-11-02$13.21$17.5065.9%18.9%82.6%0.0%87.8%-13.8%13.9%-4.0K191.1K-1.8K0.1297.75N/AN/A38145740516
2016-11-03$12.56$15.0073.5%22.6%83.9%0.0%79.7%-0.6%2.1%-3.5K234.1K-1.6K1.5792.44N/AN/A348547752516
2016-11-04$13.24$15.0069.9%22.2%83.5%0.0%73.8%9.5%9.4%-21.1K376.0K-2.2K0.1391.13N/AN/A354468561,031
2016-11-07$13.40$15.0074.8%22.5%82.4%0.0%79.1%-5.0%1.1%-17.5K320.0K-2.3K0.3197.01N/AN/A3891208631,027
2016-11-08$14.00$15.0091.8%21.7%83.1%0.0%74.9%10.3%0.0%-13.8K215.7K-2.5K0.2991.43N/AN/A3871129561,065
2016-11-09$14.36$15.0077.7%22.3%79.8%0.0%84.1%4.8%0.5%-14.5K110.6K-2.4K3.2795.28N/AN/A3081,0069581,065
2016-11-10$15.15$15.0076.2%21.8%80.7%0.0%80.8%12.6%3.6%-10.3K-11.5K-3.0K2.9691.14N/AN/A3411,0089611,165
2016-11-11$16.27$15.0077.2%22.1%83.5%0.0%82.9%10.1%-5.0%-1.1K-324.5K-3.0K3.2687.23N/AN/A2026599621,169
2016-11-14$16.85$17.5074.7%21.4%83.5%0.0%85.0%7.9%-0.1%7.9K-568.1K-3.0K2.4186.26N/AN/A2556149841,221
2016-11-15$16.47$17.5076.3%21.9%83.6%0.0%59.5%-4.1%0.1%1.9K-409.5K-2.9K3.0292.75N/AN/A2036149791,223
2016-11-16$15.63$17.5073.8%21.2%86.4%0.0%56.7%-15.6%7.1%-9.8K-164.4K-2.8K3.0491.46N/AN/A2046219971,223
2016-11-17$15.59$17.5070.0%20.1%84.1%0.0%78.6%-2.2%10.5%-16.6K-196.7K-2.7K2.6290.40N/AN/A2506549871,237
2016-11-18$15.23$17.5069.8%20.0%83.6%0.0%76.1%-0.1%13.6%-2.6K-183.4K-2.6K2.5793.61N/AN/A2676869541,235
2016-11-21$15.60$17.5074.9%21.5%80.9%0.0%80.5%17.7%-3.0%-1.8K-244.9K-2.7K6.1192.30N/AN/A98599655680
2016-11-22$15.74$17.5078.8%22.6%71.6%0.0%60.1%6.0%-6.7%-3.2K-253.3K-2.7K6.2897.49N/AN/A96603656699
2016-11-23$15.67$17.5071.0%20.4%69.3%0.0%76.6%19.8%-2.2%-2.5K-245.3K-2.7K2.5597.52N/AN/A237605657720
2016-11-25$15.29$17.5077.2%22.1%63.8%0.0%63.1%-3.0%-5.2%-860-221.1K-2.8K2.4999.23N/AN/A237589768722
2016-11-28$14.96$17.5073.5%21.1%64.6%0.0%63.4%-11.5%-0.9%-2.1K-168.0K-2.6K2.56101.92N/AN/A234600768723
2016-11-29$14.10$17.5075.4%21.6%62.7%0.0%77.2%-26.2%-3.1%-5.5K-44.3K-2.5K0.63103.76N/AN/A226142772735
2016-11-30$14.10$17.5077.0%22.1%62.5%0.0%88.0%-18.5%2.1%-6.7K-7.8K-2.5K0.69103.80N/AN/A232160779751