EDIT Options History — February 2017

In February 2017, EDIT traded between $17.76 and $27.24. ATM implied volatility averaged 79.3%, placing in the 39.1% IV rank vs the trailing year. The 30-day expected move averaged 22.6%. IV traded above realized volatility by 8.0% (HV 20d: 71.3%). Max pain ranged from $15.00 to $25.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 1.28.

Notable Days

  • 2017-02-15: Highest Volume — 4,816 contracts
  • 2017-02-15: Largest IV spike — 16.8% change
  • 2017-02-17: Highest IV Rank — 43.2%
  • 2017-02-17: Largest Expected Move — 25.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.27$17.76$27.24$18.07$24.82
Max Pain$19.87$15.00$25.00$17.50$25.00
ATM IV79.3%72.2%87.5%76.6%82.2%
Expected Move22.6%20.7%25.1%22.0%23.6%
HV 20d71.3%37.0%111.2%53.6%109.3%
HV 60d68.5%57.0%81.7%61.1%81.6%
IV Rank39.1%35.5%43.2%37.7%40.5%
IV Percentile70.6%39.9%92.6%63.8%82.3%
Term Structure1.9%-7.1%12.8%-1.9%0.3%
VWIV79.9%71.5%92.2%77.2%80.7%
Skew 25d-4.5%-12.6%8.6%8.6%-12.5%
Skew 10d-4.2%-22.6%35.2%35.2%-8.4%
Call IV 25d83.2%73.8%95.7%73.8%91.5%
Put IV 25d78.8%71.7%92.7%82.4%78.9%
Bid-Ask Spread %73.1551.7592.3392.3363.04
Gamma HHI0.320.240.460.240.46
Net GEX54.3K27.3K129.2K28.1K83.1K
Net DEX-2.9M-8.3M-1.0M-1.1M-4.5M
Net VEX-13.2K-22.9K-7.3K-7.7K-22.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.280.202.651.491.08
Total Volume1,322.1056314,816732982
Total OI5,121.5793,2818,2033,2818,203

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-02-01$18.07$17.5076.6%22.0%53.6%37.7%77.2%8.6%-1.9%28.1K-1.1M-7.7K1.4992.33N/AN/A2944382,394887
2017-02-02$17.97$17.5075.8%21.9%42.6%37.3%77.3%-4.3%2.0%30.5K-1.1M-7.9K2.0684.20N/AN/A2134382,507887
2017-02-03$18.46$17.5082.3%21.5%39.9%40.6%75.6%-4.7%2.7%32.9K-1.3M-8.0K2.6586.22N/AN/A1734582,514887
2017-02-06$18.81$17.5073.3%22.1%40.3%36.0%75.2%-6.3%10.0%35.7K-1.4M-8.0K1.7584.63N/AN/A2504382,524912
2017-02-07$18.49$17.5078.4%21.5%37.0%38.6%77.6%-5.3%4.8%33.1K-1.2M-7.7K1.8286.35N/AN/A2394342,535915
2017-02-08$17.76$17.5072.2%20.7%39.6%35.5%79.2%-9.2%12.8%27.3K-1.0M-7.3K1.2479.73N/AN/A3534362,529921
2017-02-09$18.55$17.5076.1%21.8%42.8%37.5%71.5%0.4%2.0%36.2K-1.3M-7.7K1.2384.35N/AN/A3514322,656918
2017-02-10$18.53$17.5073.9%21.2%42.8%36.3%78.3%-8.2%5.0%36.0K-1.2M-7.7K1.2588.47N/AN/A3444302,607915
2017-02-13$18.61$15.0077.2%22.1%42.8%38.0%74.9%-5.3%1.1%37.5K-1.3M-7.4K1.3686.90N/AN/A3484752,607914
2017-02-14$18.90$17.5073.7%21.1%41.6%36.2%71.8%0.3%6.6%38.9K-1.3M-7.4K1.2784.52N/AN/A3384282,621958
2017-02-15$24.07$17.5086.1%24.7%94.6%42.5%89.1%-8.5%-4.8%54.8K-4.0M-9.3K0.2058.04N/AN/A3,9998172,639955
2017-02-16$24.40$20.0086.1%24.7%94.5%42.5%92.2%-3.0%1.6%129.2K-6.8M-16.2K0.3763.00N/AN/A2,5019325,2451,577
2017-02-17$25.62$22.5087.5%25.1%95.2%43.2%87.0%-2.6%-7.1%88.4K-8.3M-19.6K0.6753.77N/AN/A9896635,6022,170
2017-02-21$27.24$22.5082.5%23.6%96.5%40.7%80.6%-4.5%-7.1%103.6K-6.5M-19.3K1.3354.09N/AN/A7801,0354,1561,650
2017-02-22$23.76$22.5080.5%23.1%110.2%39.7%83.6%-12.6%4.6%61.9K-3.3M-19.3K0.7357.01N/AN/A1,3399734,4222,127
2017-02-23$23.56$25.0083.8%24.0%110.5%41.4%86.4%-6.9%-0.6%61.2K-3.2M-22.7K1.2751.75N/AN/A4425605,1522,702
2017-02-24$23.56$25.0077.8%22.3%110.3%38.3%79.7%-1.7%4.4%62.0K-3.2M-22.7K1.5763.60N/AN/A3235085,1942,809
2017-02-27$22.96$25.0081.7%23.4%111.2%40.3%80.8%1.5%-1.0%51.5K-2.7M-21.6K0.9467.81N/AN/A4994685,2092,890
2017-02-28$24.82$25.0082.2%23.6%109.3%40.5%80.7%-12.5%0.3%83.1K-4.5M-22.9K1.0863.04N/AN/A4725105,2982,905