EDIT Options History — July 2017

In July 2017, EDIT traded between $15.50 and $17.74. ATM implied volatility averaged 70.8%, placing in the 34.8% IV rank vs the trailing year. The 30-day expected move averaged 20.1%. IV traded above realized volatility by 27.0% (HV 20d: 43.8%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.85.

Notable Days

  • 2017-07-28: Highest Volume — 2,052 contracts
  • 2017-07-12: Largest IV drop — 9.3% change
  • 2017-07-10: Highest IV Rank — 38.1%
  • 2017-07-17: Largest Expected Move — 21.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.65$15.50$17.74$17.43$17.04
Max Pain$19.38$15.00$20.00$15.00$17.50
ATM IV70.8%66.3%77.3%67.2%67.1%
Expected Move20.1%19.0%21.2%19.3%19.2%
HV 20d43.8%39.2%53.0%53.0%50.9%
HV 60d63.3%61.8%64.5%63.4%64.1%
IV Rank34.8%32.5%38.1%32.9%32.9%
IV Percentile40.6%18.3%73.8%25.8%21.8%
Term Structure-0.7%-4.1%7.3%7.3%-0.8%
VWIV68.7%62.3%74.1%65.7%62.3%
Skew 25d-0.6%-9.0%8.2%-9.0%2.6%
Skew 10d-0.5%-16.9%22.7%22.7%6.5%
Call IV 25d71.8%65.0%76.9%73.6%73.0%
Put IV 25d71.3%64.6%77.2%64.6%75.6%
Bid-Ask Spread %50.1035.0789.5689.5638.85
Gamma HHI0.370.190.600.450.27
Net GEX112.6K7.7K242.4K168.7K41.5K
Net DEX742.7K-2.3M3.3M-1.2M888.7K
Net VEX-24.4K-32.7K-17.1K-32.6K-19.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.850.652.702.510.94
Total Volume1,188.658972,0529891,644
Total OI16,584.113,67917,97217,16114,640

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$17.43$15.0067.2%19.3%53.0%32.9%65.7%-9.0%7.3%168.7K-1.2M-32.6K2.5189.56N/AN/A28270711,2005,961
2017-07-05$17.47$15.0070.2%20.1%52.4%34.5%69.1%4.8%1.3%172.4K-2.0M-32.7K2.3977.58N/AN/A29971511,2165,960
2017-07-06$17.03$20.0075.1%20.7%43.1%36.9%70.5%-0.3%-2.2%157.1K-975.8K-31.0K1.1448.49N/AN/A60668811,2385,950
2017-07-07$17.19$20.0073.4%20.0%41.2%36.1%72.2%-4.4%0.0%182.3K-1.5M-31.2K2.5948.08N/AN/A27872011,4895,954
2017-07-10$16.93$20.0077.3%20.6%39.6%38.1%72.6%-5.3%-3.1%179.6K-639.3K-29.2K2.7045.88N/AN/A28877811,4825,994
2017-07-11$17.04$20.0076.2%20.3%39.2%37.5%74.1%0.5%-3.6%192.5K-915.1K-29.1K2.2945.97N/AN/A31371811,4966,004
2017-07-12$17.23$20.0069.1%19.8%39.3%33.9%71.7%-0.7%0.0%208.6K-1.1M-28.5K2.4641.82N/AN/A30274311,4616,034
2017-07-13$17.74$20.0068.0%19.5%40.1%33.3%71.9%0.9%0.6%240.6K-2.3M-29.4K1.5247.94N/AN/A35854311,4686,033
2017-07-14$17.05$20.0071.4%20.5%42.4%35.1%72.0%-2.1%-2.2%242.4K-1.1M-28.2K2.1559.61N/AN/A28561211,5676,050
2017-07-17$16.31$20.0073.8%21.2%45.3%36.3%72.0%1.1%-2.6%171.6K1.3M-23.6K1.6140.55N/AN/A49279311,5796,121
2017-07-18$15.50$20.0071.6%20.5%44.6%35.2%69.5%-6.8%1.4%53.7K3.3M-20.0K1.8052.16N/AN/A39871511,7016,255
2017-07-19$15.80$20.0072.9%20.9%44.8%35.8%68.5%0.6%-3.7%98.5K2.5M-21.5K2.1547.83N/AN/A33772311,7636,209
2017-07-20$15.74$20.0071.1%20.4%44.1%34.9%66.0%-2.7%-2.0%9.5K2.9M-19.4K2.3857.14N/AN/A32276611,7776,124
2017-07-21$15.78$20.0070.4%20.2%41.0%34.6%63.5%0.9%-1.1%9.8K2.9M-19.2K2.1049.93N/AN/A33570511,7776,179
2017-07-24$16.19$20.0070.7%20.3%42.0%34.7%63.3%8.2%0.9%7.7K3.0M-18.5K0.9735.07N/AN/A7777538,0435,636
2017-07-25$16.36$20.0068.5%19.6%41.7%33.6%68.3%-0.8%-0.7%25.5K2.5M-19.1K1.7138.02N/AN/A4147098,5755,535
2017-07-26$15.97$20.0069.2%19.8%41.5%33.9%68.5%3.2%-0.7%20.6K3.1M-17.6K1.2149.96N/AN/A6287618,5855,531
2017-07-27$15.79$20.0066.3%19.0%40.4%32.5%68.6%-2.8%1.9%23.9K3.1M-17.1K1.6544.23N/AN/A4587568,8115,613
2017-07-28$17.31$20.0067.4%19.3%50.6%33.1%63.9%0.6%-4.1%44.8K1.1M-21.0K0.6543.29N/AN/A1,2438098,9825,689
2017-07-31$17.04$17.5067.1%19.2%50.9%32.9%62.3%2.6%-0.8%41.5K888.7K-19.7K0.9438.85N/AN/A8477979,1665,474