EDIT Options History — October 2017

In October 2017, EDIT traded between $21.91 and $25.50. ATM implied volatility averaged 67.9%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 19.7%. IV traded below realized volatility by 6.6% (HV 20d: 74.5%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.81.

Notable Days

  • 2017-10-04: Highest Volume — 2,444 contracts
  • 2017-10-09: Largest IV spike — 11.7% change
  • 2017-10-30: Highest IV Rank — 39.2%
  • 2017-10-30: Largest Expected Move — 20.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.90$21.91$25.50$24.49$24.91
Max Pain$22.39$20.00$22.50$20.00$22.50
ATM IV67.9%63.1%72.9%64.7%68.0%
Expected Move19.7%18.6%20.9%18.6%19.5%
HV 20d74.5%58.5%82.6%67.8%63.9%
HV 60d77.0%73.8%78.6%75.1%73.8%
IV Rank24.8%11.2%39.2%15.9%25.3%
IV Percentile29.2%7.1%55.6%12.3%32.5%
Term Structure0.6%-2.5%5.1%3.9%-1.5%
VWIV68.7%62.8%76.4%64.8%70.7%
Skew 25d-1.5%-6.6%5.7%-5.0%-2.9%
Skew 10d-0.3%-9.9%10.5%5.5%2.5%
Call IV 25d71.8%65.5%78.8%67.7%70.4%
Put IV 25d70.3%62.7%74.8%62.7%67.5%
Bid-Ask Spread %45.3830.3964.0444.9937.11
Gamma HHI0.330.290.410.400.41
Net GEX87.5K12.6K156.2K129.7K156.2K
Net DEX-8.0M-11.1M-3.6M-9.4M-10.9M
Net VEX-39.0K-40.9K-36.7K-36.7K-40.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.371.801.080.48
Total Volume1,417.7277572,4442,0691,271
Total OI16,350.63614,04819,13614,21716,635

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$24.49$20.0064.7%18.6%67.8%15.9%64.8%-5.0%3.9%129.7K-9.4M-36.7K1.0844.99N/AN/A9971,0728,6575,560
2017-10-03$25.50$22.5066.1%18.9%67.4%19.7%68.2%-2.1%-1.1%121.8K-10.6M-36.9K0.6137.37N/AN/A1,0656558,7436,067
2017-10-04$23.50$22.5066.7%19.1%74.6%21.4%68.2%-0.1%3.0%95.5K-7.1M-37.9K0.5158.91N/AN/A1,6228229,0876,125
2017-10-05$25.00$22.5063.1%19.5%76.8%11.2%62.8%1.9%0.4%128.8K-9.7M-37.9K0.6040.12N/AN/A8234929,4546,218
2017-10-06$25.01$22.5064.0%20.1%76.7%13.7%72.0%0.9%-0.0%126.3K-10.4M-40.3K0.4330.39N/AN/A1,3225669,7406,322
2017-10-09$25.01$22.5071.5%20.5%76.6%35.2%67.4%-2.0%-0.3%130.9K-11.1M-40.5K0.9639.84N/AN/A71268610,0246,333
2017-10-10$25.24$22.5066.8%20.3%76.4%21.7%68.5%0.4%-1.3%122.4K-11.0M-40.4K0.8831.75N/AN/A7586649,9796,480
2017-10-11$24.11$22.5070.6%20.2%77.4%32.5%67.2%3.4%-0.2%96.5K-8.5M-40.7K0.3840.48N/AN/A1,36951610,1196,636
2017-10-12$24.93$22.5069.7%20.0%77.9%30.1%66.9%5.7%-1.7%105.9K-9.9M-39.5K0.5838.12N/AN/A82447610,1036,815
2017-10-13$23.36$22.5067.5%19.4%82.1%23.8%70.1%0.6%5.1%76.4K-6.7M-39.9K1.1444.90N/AN/A68077810,2456,885
2017-10-16$22.77$22.5070.7%20.3%82.6%32.8%71.7%-2.4%0.8%49.5K-4.8M-37.6K1.8039.73N/AN/A6001,08010,4007,200
2017-10-17$23.22$22.5071.5%20.5%82.2%35.2%69.7%1.2%-2.5%22.7K-6.5M-39.4K1.1043.04N/AN/A59965610,6817,687
2017-10-18$23.32$22.5069.0%19.8%81.9%28.0%70.2%-1.4%1.0%12.6K-6.7M-39.0K1.2735.78N/AN/A41752810,7317,811
2017-10-19$23.91$22.5067.8%19.4%81.7%24.7%67.3%-5.8%1.0%56.5K-8.5M-38.4K0.8250.97N/AN/A75662210,7267,918
2017-10-20$23.98$22.5066.4%19.0%81.6%20.7%64.2%-3.9%4.3%75.2K-9.1M-37.9K0.6554.23N/AN/A63140711,1907,946
2017-10-23$23.87$22.5067.0%19.2%75.6%22.5%67.2%-1.5%0.9%81.0K-7.2M-38.3K0.3750.67N/AN/A8643188,5515,497
2017-10-24$22.76$22.5067.3%19.3%76.5%23.1%70.8%-4.3%-0.0%75.0K-5.5M-38.5K1.6864.04N/AN/A3656139,1125,587
2017-10-25$22.83$22.5067.5%19.3%75.9%23.8%68.0%-6.6%-0.9%63.6K-5.4M-39.0K0.7461.58N/AN/A4343239,1905,940
2017-10-26$21.91$22.5066.9%19.2%61.1%22.0%67.7%-4.5%2.3%35.1K-3.6M-38.2K0.5546.90N/AN/A7404079,2956,010
2017-10-27$22.26$22.5067.6%19.4%58.5%24.2%70.9%-0.4%1.3%58.8K-4.6M-39.8K0.7447.45N/AN/A5884369,6186,168
2017-10-30$23.94$22.5072.9%20.9%64.0%39.2%76.4%-4.7%-1.8%105.4K-8.0M-40.9K0.3760.04N/AN/A1,1944429,8756,354
2017-10-31$24.91$22.5068.0%19.5%63.9%25.3%70.7%-2.9%-1.5%156.2K-10.9M-40.1K0.4837.11N/AN/A86141010,1916,444