EDIT Options History — January 2017

In January 2017, EDIT traded between $16.91 and $18.59. ATM implied volatility averaged 75.6%, placing in the 37.2% IV rank vs the trailing year. The 30-day expected move averaged 22.1%. IV traded above realized volatility by 9.2% (HV 20d: 66.4%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 1.34.

Notable Days

  • 2017-01-25: Highest Volume — 1,300 contracts
  • 2017-01-11: Largest IV spike — 13.0% change
  • 2017-01-24: Highest IV Rank — 40.8%
  • 2017-01-24: Largest Expected Move — 23.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.08$16.91$18.59$16.91$17.49
Max Pain$15.75$15.00$17.50$15.00$17.50
ATM IV75.6%65.3%82.7%66.4%78.9%
Expected Move22.1%19.0%23.7%19.0%22.6%
HV 20d66.4%52.0%75.9%66.3%54.2%
HV 60d68.7%61.3%73.4%72.2%61.9%
IV Rank37.2%32.0%40.8%32.6%38.9%
IV Percentile58.6%15.8%85.4%19.6%72.8%
Term Structure-3.3%-9.6%10.6%10.4%-9.6%
VWIV72.5%66.4%80.0%70.3%75.0%
Skew 25d2.4%-12.0%11.9%2.7%-0.4%
Skew 10d2.0%-36.7%35.4%0.5%16.3%
Call IV 25d74.1%65.4%87.2%72.3%77.7%
Put IV 25d76.5%71.4%84.6%75.0%77.3%
Bid-Ask Spread %87.8578.7399.0299.0292.80
Gamma HHI0.250.190.290.270.23
Net GEX29.9K20.0K41.4K22.4K23.3K
Net DEX-1.1M-1.4M-772.5K-772.5K-822.8K
Net VEX-5.2K-8.2K-3.4K-3.4K-7.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.373.190.372.46
Total Volume531.32431,300331616
Total OI2,422.251,7633,2561,7633,256

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$16.91$15.0066.4%19.0%66.3%32.6%70.3%2.7%10.4%22.4K-772.5K-3.4K0.3799.02N/AN/A241901,496267
2017-01-04$18.51$15.0071.0%20.4%73.0%34.9%70.3%11.9%10.6%30.5K-1.2M-4.0K0.4998.13N/AN/A163801,516287
2017-01-05$17.64$15.0069.4%22.2%75.6%34.0%66.4%1.9%-3.4%28.5K-1.0M-3.9K0.6582.32N/AN/A1821181,556286
2017-01-06$17.64$15.0065.3%21.9%75.6%32.0%72.5%-5.7%-5.4%29.2K-1.0M-4.0K0.7078.73N/AN/A1941351,597321
2017-01-09$18.53$15.0071.0%22.6%75.9%34.9%70.5%5.8%-5.6%36.3K-1.4M-4.3K0.4384.67N/AN/A2861221,670337
2017-01-10$18.59$15.0070.6%21.4%73.5%34.7%70.7%5.1%-3.6%40.6K-1.4M-4.5K0.5382.61N/AN/A3031611,821342
2017-01-11$18.53$15.0079.8%22.9%73.3%39.3%70.6%6.7%-9.0%39.3K-1.3M-4.6K0.4981.44N/AN/A3371651,841411
2017-01-12$18.52$15.0076.3%21.9%73.2%37.6%75.5%0.6%-3.5%41.4K-1.4M-4.9K0.5885.29N/AN/A2591501,860443
2017-01-13$18.47$15.0075.5%21.6%71.1%37.1%71.2%-1.0%-0.4%40.1K-1.3M-4.8K1.2787.01N/AN/A1962491,861468
2017-01-17$17.92$15.0078.8%22.6%72.0%38.8%73.5%-6.9%-6.3%35.2K-1.1M-4.6K1.4285.04N/AN/A2153051,904569
2017-01-18$18.08$15.0079.4%22.8%71.8%39.1%77.6%8.4%-4.8%37.1K-1.2M-4.8K1.4388.25N/AN/A2133051,949631
2017-01-19$18.14$15.0077.0%22.1%71.3%37.9%74.1%4.5%-4.4%33.8K-1.2M-4.7K1.7889.83N/AN/A1622891,945631
2017-01-20$18.30$15.0076.1%21.8%67.9%37.5%67.4%-0.4%-0.8%20.7K-1.3M-4.9K1.6493.41N/AN/A1762891,958661
2017-01-23$18.57$15.0080.5%23.1%65.8%39.7%71.5%3.5%-6.6%21.8K-1.1M-4.9K1.7691.16N/AN/A2764871,513526
2017-01-24$18.04$17.5082.7%23.7%54.3%40.8%80.0%6.7%-7.3%20.0K-872.0K-6.1K3.1983.27N/AN/A1474691,670789
2017-01-25$18.16$17.5077.4%22.2%54.1%38.1%72.4%11.3%-2.7%20.7K-945.1K-6.3K0.5488.40N/AN/A8454551,697821
2017-01-26$18.01$17.5077.0%22.1%53.3%37.9%75.0%3.3%-3.3%26.5K-1.1M-7.8K2.2286.28N/AN/A2184832,290849
2017-01-27$18.38$17.5080.8%23.2%52.0%39.8%71.0%1.5%-5.5%28.1K-1.2M-8.2K2.4689.72N/AN/A1834512,342849
2017-01-30$17.15$17.5077.9%22.3%53.9%38.4%75.0%-12.0%-5.7%22.2K-807.4K-7.2K2.4389.66N/AN/A1784332,356859
2017-01-31$17.49$17.5078.9%22.6%54.2%38.9%75.0%-0.4%-9.6%23.3K-822.8K-7.2K2.4692.80N/AN/A1784382,379877