EDIT Options History — September 2017

In September 2017, EDIT traded between $19.71 and $23.97. ATM implied volatility averaged 65.5%, placing in the 29.6% IV rank vs the trailing year. The 30-day expected move averaged 18.8%. IV traded above realized volatility by 2.6% (HV 20d: 62.9%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.88.

Notable Days

  • 2017-09-28: Highest Volume — 2,489 contracts
  • 2017-09-11: Largest IV spike — 20.7% change
  • 2017-09-05: Highest IV Rank — 84.0%
  • 2017-09-05: Largest Expected Move — 21.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.18$19.71$23.97$20.58$23.97
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV65.5%59.4%79.4%69.4%59.4%
Expected Move18.8%17.0%21.6%19.9%17.0%
HV 20d62.9%42.9%95.4%95.4%68.6%
HV 60d69.1%67.8%75.0%68.5%75.0%
IV Rank29.6%0.6%84.0%73.1%0.6%
IV Percentile18.6%0.4%84.9%30.2%0.4%
Term Structure4.9%-2.5%10.6%3.8%8.3%
VWIV66.6%61.2%75.9%72.6%65.4%
Skew 25d-1.9%-9.0%5.2%1.5%3.4%
Skew 10d-0.6%-17.1%14.4%-4.5%8.0%
Call IV 25d68.4%61.8%80.3%69.4%64.0%
Put IV 25d66.4%59.8%73.3%70.9%67.4%
Bid-Ask Spread %53.0639.6577.3149.4640.94
Gamma HHI0.280.240.380.240.38
Net GEX113.7K34.7K171.6K143.6K123.5K
Net DEX-5.7M-8.7M-1.7M-6.1M-8.7M
Net VEX-35.3K-39.7K-31.5K-39.7K-36.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.341.781.430.99
Total Volume1,250.656062,4897591,607
Total OI13,825.3512,00715,79514,58013,779

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$20.58$20.0069.4%19.9%95.4%73.1%72.6%1.5%3.8%143.6K-6.1M-39.7K1.4349.46N/AN/A31244710,1204,460
2017-09-05$20.04$20.0079.4%21.6%89.7%84.0%75.4%-3.8%-0.9%132.4K-5.2M-37.5K0.5043.91N/AN/A80940410,0654,564
2017-09-06$19.71$20.0073.8%20.6%90.0%77.9%75.9%-7.6%7.2%127.0K-4.5M-36.8K0.7049.04N/AN/A57340110,0114,601
2017-09-07$20.19$20.0074.5%20.7%88.7%78.7%71.2%-1.3%4.8%139.5K-5.3M-36.4K1.7854.07N/AN/A21838810,0354,618
2017-09-08$20.09$20.0061.9%21.1%82.3%64.9%73.6%-3.2%4.4%147.0K-5.2M-35.7K1.5259.43N/AN/A35553910,0934,659
2017-09-11$19.99$20.0074.6%20.0%73.0%78.8%70.5%-9.0%2.9%150.0K-4.9M-34.8K0.6459.77N/AN/A61239110,2224,765
2017-09-12$19.93$20.0068.5%19.8%69.8%26.8%69.5%-3.5%4.3%156.8K-4.6M-34.8K0.8665.13N/AN/A49742610,2634,818
2017-09-13$21.01$20.0061.9%17.8%60.3%7.8%63.6%-5.9%6.3%167.7K-7.1M-35.3K0.4648.14N/AN/A1,12452110,2714,912
2017-09-14$21.04$20.0062.8%18.0%60.3%10.3%63.5%-2.0%8.8%171.6K-7.6M-35.7K0.6855.08N/AN/A78953410,5975,080
2017-09-15$20.92$20.0060.3%17.3%49.1%3.1%61.5%-3.7%10.6%74.0K-7.3M-34.6K0.5750.73N/AN/A92952510,5825,213
2017-09-18$21.35$20.0061.9%17.8%43.8%7.8%61.2%-1.2%5.7%88.9K-5.2M-35.9K0.8257.92N/AN/A7195907,9514,057
2017-09-19$22.02$20.0063.1%18.1%44.3%11.3%62.4%-1.7%5.8%89.9K-5.8M-34.9K1.3454.27N/AN/A3524717,7884,219
2017-09-20$22.52$20.0061.2%17.5%43.7%5.8%61.8%-0.8%3.8%97.3K-6.5M-35.1K0.9060.09N/AN/A5575037,7724,266
2017-09-21$23.18$20.0065.3%18.7%44.2%17.6%63.2%4.0%-2.5%103.0K-7.5M-35.6K0.3449.33N/AN/A1,5215177,7514,457
2017-09-22$22.89$20.0065.0%18.6%42.9%16.6%64.7%-4.0%2.4%108.5K-7.1M-36.1K0.8246.01N/AN/A5214288,1384,625
2017-09-25$21.13$20.0060.7%17.4%52.4%4.3%62.3%-2.3%9.2%79.0K-4.2M-33.4K1.0177.31N/AN/A5095168,1574,702
2017-09-26$20.36$20.0061.1%17.5%46.2%5.3%64.3%-1.9%7.1%48.5K-2.5M-32.5K0.4339.65N/AN/A1,0084388,0904,897
2017-09-27$19.96$20.0061.3%17.6%46.5%6.0%64.1%-1.2%3.9%34.7K-1.7M-31.5K1.1554.45N/AN/A6847897,9124,931
2017-09-28$22.81$20.0063.2%18.1%66.8%11.6%66.1%5.2%2.6%91.7K-6.7M-34.0K0.7346.52N/AN/A1,4401,0497,9825,084
2017-09-29$23.97$20.0059.4%17.0%68.6%0.6%65.4%3.4%8.3%123.5K-8.7M-36.1K0.9940.94N/AN/A8078008,4585,321