EDIT Options History — December 2016

In December 2016, EDIT traded between $14.00 and $18.66. ATM implied volatility averaged 73.3%, placing in the 35.4% IV rank vs the trailing year. The 30-day expected move averaged 20.6%. IV traded above realized volatility by 9.4% (HV 20d: 63.9%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.67.

Notable Days

  • 2016-12-19: Highest Volume — 726 contracts
  • 2016-12-30: Largest IV spike — 33.8% change
  • 2016-12-30: Highest IV Rank — 44.5%
  • 2016-12-30: Largest Expected Move — 25.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.46$14.00$18.66$14.00$16.24
Max Pain$15.36$15.00$17.50$17.50$15.00
ATM IV73.3%62.0%90.0%75.7%90.0%
Expected Move20.6%18.8%25.8%21.7%25.8%
HV 20d63.9%56.4%74.0%58.9%73.9%
HV 60d69.8%66.1%74.1%66.1%71.9%
IV Rank35.4%30.3%44.5%40.9%44.5%
IV Percentile40.5%11.7%92.3%86.5%92.3%
Term Structure2.8%-18.6%9.9%-1.5%-18.6%
VWIV68.0%59.1%92.0%73.4%61.0%
Skew 25d4.4%-12.2%21.6%-2.0%21.6%
Skew 10d6.8%-29.4%34.5%-11.4%5.5%
Call IV 25d66.5%54.3%84.5%84.5%54.3%
Put IV 25d70.8%61.8%88.0%82.5%75.8%
Bid-Ask Spread %93.8184.48123.60105.22123.60
Gamma HHI0.320.180.500.500.18
Net GEX13.4K-6.8K26.1K-6.8K16.7K
Net DEX-609.8K-1.2M-18.6K-18.6K-923.8K
Net VEX-3.1K-4.2K-2.2K-2.5K-3.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.101.871.870.37
Total Volume337.762232726247293
Total OI1,659.7621,2911,8441,5471,763

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$14.00$17.5075.7%21.7%58.9%0.0%73.4%-2.0%-1.5%-6.8K-18.6K-2.5K1.87105.22N/AN/A86161789758
2016-12-02$15.50$17.5075.0%21.5%65.1%0.0%60.3%20.0%1.8%-113-275.0K-2.6K1.4599.20N/AN/A101146799759
2016-12-05$15.75$15.0081.5%21.1%63.2%0.0%71.1%6.4%2.6%2.4K-330.5K-2.4K1.0788.56N/AN/A136146812766
2016-12-06$15.91$15.0080.7%20.9%63.2%0.0%69.1%9.8%9.9%5.1K-375.9K-2.5K0.8292.14N/AN/A162133833766
2016-12-07$15.86$15.0083.0%19.5%61.9%40.9%66.6%4.9%2.0%8.2K-352.9K-2.4K1.1491.39N/AN/A117133829764
2016-12-08$16.58$15.0082.7%20.1%63.0%40.8%70.0%7.1%5.1%9.8K-512.6K-2.6K1.5292.26N/AN/A92140842764
2016-12-09$15.84$15.0062.0%21.0%63.2%30.3%92.0%4.5%8.4%7.3K-376.3K-2.4K0.7084.48N/AN/A187131850762
2016-12-12$15.65$15.0064.6%20.6%57.8%31.6%63.1%-4.3%4.5%7.0K-319.3K-2.2K0.7190.34N/AN/A180127942768
2016-12-13$15.98$15.0076.0%19.6%56.8%37.4%60.5%0.9%7.1%9.7K-361.4K-2.3K0.6988.89N/AN/A178122938769
2016-12-14$16.87$15.0071.3%20.4%59.7%35.0%59.1%13.3%2.6%18.9K-542.5K-2.3K0.5992.87N/AN/A208122939764
2016-12-15$16.71$15.0072.2%20.7%56.5%35.5%61.0%10.7%4.8%19.3K-570.6K-2.4K0.4390.32N/AN/A297128975765
2016-12-16$17.02$15.0072.6%20.8%56.7%35.7%72.9%-2.1%3.9%10.1K-550.0K-2.7K0.3987.05N/AN/A4371691,073771
2016-12-19$16.69$15.0072.3%20.7%56.4%35.5%74.8%-12.2%-1.1%11.5K-645.9K-3.3K0.1090.04N/AN/A663631,061230
2016-12-20$17.78$15.0066.7%19.1%59.8%32.7%70.6%8.7%4.6%23.5K-1.0M-4.1K0.2393.94N/AN/A286661,405235
2016-12-21$18.66$15.0069.1%19.8%61.7%33.9%70.7%9.1%6.0%26.1K-1.2M-4.2K0.2285.33N/AN/A304661,419236
2016-12-22$16.80$15.0068.9%19.8%73.6%33.8%65.6%1.4%4.5%21.7K-859.3K-3.9K0.3691.02N/AN/A237851,455236
2016-12-23$17.10$15.0065.6%18.8%73.0%32.2%63.8%0.3%6.0%23.0K-904.8K-4.0K0.3795.17N/AN/A220821,482256
2016-12-27$17.61$15.0069.6%19.9%72.7%34.1%63.5%2.2%1.8%25.1K-1.0M-4.1K0.3895.14N/AN/A224851,482262
2016-12-28$17.03$15.0071.5%20.5%70.1%35.1%68.3%0.3%3.1%23.1K-903.1K-4.0K0.3995.41N/AN/A210811,508262
2016-12-29$16.07$17.5067.3%19.3%74.0%33.0%69.2%-9.0%1.4%19.7K-703.8K-3.6K0.3597.71N/AN/A214751,501265
2016-12-30$16.24$15.0090.0%25.8%73.9%44.5%61.0%21.6%-18.6%16.7K-923.8K-3.9K0.37123.60N/AN/A214791,496267