EDIT Options History — November 2017

In November 2017, EDIT traded between $22.43 and $28.92. ATM implied volatility averaged 65.7%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 18.5%. IV traded above realized volatility by 1.4% (HV 20d: 64.3%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.57.

Notable Days

  • 2017-11-16: Highest Volume — 3,014 contracts
  • 2017-11-08: Largest IV drop — 19.5% change
  • 2017-11-06: Highest IV Rank — 66.9%
  • 2017-11-01: Largest Expected Move — 20.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.13$22.43$28.92$23.41$28.92
Max Pain$22.38$20.00$25.00$22.50$25.00
ATM IV65.7%57.8%82.6%72.2%57.8%
Expected Move18.5%16.6%20.7%20.7%16.6%
HV 20d64.3%57.0%75.5%61.0%67.3%
HV 60d66.8%61.7%75.1%75.1%67.1%
IV Rank20.0%0.0%66.9%37.1%0.0%
IV Percentile22.8%0.0%93.3%52.8%0.0%
Term Structure0.7%-4.5%7.0%-4.2%0.6%
VWIV65.3%59.2%74.1%74.1%67.5%
Skew 25d0.5%-5.8%12.2%-5.8%12.2%
Skew 10d5.9%-4.8%20.7%3.8%16.3%
Call IV 25d65.5%58.8%77.4%77.4%60.7%
Put IV 25d66.0%59.5%72.8%71.5%72.8%
Bid-Ask Spread %51.3732.6570.7651.8352.96
Gamma HHI0.460.320.780.360.53
Net GEX175.7K55.1K512.4K101.7K192.1K
Net DEX-10.8M-16.7M-5.0M-7.2M-15.0M
Net VEX-46.2K-50.5K-40.9K-40.9K-50.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.281.280.401.28
Total Volume1,753.2861,0773,0141,5801,580
Total OI16,265.38110,70020,17616,77412,166

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$23.41$22.5072.2%20.7%61.0%37.1%74.1%-5.8%-4.2%101.7K-7.2M-40.9K0.4051.83N/AN/A1,12845210,2786,496
2017-11-02$23.88$22.5067.5%19.7%57.0%23.8%69.9%2.3%-0.2%123.6K-8.6M-43.2K0.5948.85N/AN/A97457810,8626,696
2017-11-03$24.95$22.5070.2%18.9%59.3%31.5%67.6%1.8%0.9%159.4K-11.1M-43.4K0.3459.97N/AN/A1,45149910,9246,890
2017-11-06$24.06$22.5082.6%20.3%60.7%66.9%71.7%0.3%0.9%142.2K-9.3M-44.6K0.4449.43N/AN/A1,37260211,2756,974
2017-11-07$23.06$22.5081.2%19.8%62.2%63.1%71.7%-0.9%2.2%108.3K-7.1M-45.4K0.8741.35N/AN/A77567811,7927,147
2017-11-08$22.43$22.5065.4%18.7%60.9%17.7%65.4%-3.5%3.1%55.1K-5.0M-44.8K0.4154.00N/AN/A1,84475512,0267,422
2017-11-09$22.66$20.0064.6%18.5%59.6%15.6%64.9%0.1%3.9%100.3K-6.5M-47.3K0.6646.01N/AN/A86456612,6547,522
2017-11-10$24.42$20.0062.9%18.0%61.4%10.6%63.6%-2.5%4.5%234.8K-11.9M-47.0K0.6253.65N/AN/A85452612,5997,544
2017-11-13$24.67$20.0065.6%18.8%60.6%18.2%66.0%1.3%0.7%286.5K-12.9M-45.3K0.2951.51N/AN/A1,45642712,6217,464
2017-11-14$23.55$20.0063.9%18.3%62.8%13.6%64.4%-1.0%5.5%148.9K-8.7M-44.0K0.6249.61N/AN/A89455212,2567,430
2017-11-15$24.33$20.0065.4%18.7%63.9%17.7%69.3%-5.4%0.7%288.4K-11.1M-44.5K0.2855.99N/AN/A1,53843312,3907,566
2017-11-16$25.01$20.0062.8%18.0%64.0%10.2%62.8%-4.2%3.6%512.4K-13.9M-46.7K0.2846.71N/AN/A2,36065412,6007,532
2017-11-17$25.06$22.5057.9%16.6%64.0%0.0%59.2%-0.9%7.0%131.6K-16.7M-46.4K0.4340.95N/AN/A1,68472412,6547,469
2017-11-20$25.40$22.5062.0%17.8%64.0%11.5%61.8%-1.1%-0.5%140.3K-9.7M-46.4K0.4332.65N/AN/A9494087,3833,317
2017-11-21$25.88$22.5061.5%17.6%61.4%10.1%61.0%2.7%-2.7%147.2K-10.4M-47.2K0.4243.73N/AN/A1,2945387,5403,440
2017-11-22$28.23$22.5058.7%16.8%67.6%2.1%60.6%3.7%-2.4%157.9K-13.7M-46.8K0.7170.76N/AN/A1,2748997,6013,581
2017-11-24$25.80$25.0064.3%18.4%74.5%17.7%63.4%2.9%-0.4%138.2K-9.7M-48.4K1.0565.57N/AN/A8398787,7883,892
2017-11-27$26.96$25.0062.1%17.8%75.5%11.6%60.4%1.7%-1.3%164.7K-11.8M-47.3K0.5259.52N/AN/A8364347,8503,783
2017-11-28$27.05$25.0067.7%19.4%71.8%27.1%62.8%6.5%-4.5%172.3K-12.2M-50.5K0.5552.36N/AN/A7574168,1453,930
2017-11-29$28.02$25.0063.1%18.1%71.5%14.4%63.2%1.2%-3.6%183.1K-13.7M-50.1K0.8051.39N/AN/A5974808,1073,967
2017-11-30$28.92$25.0057.8%16.6%67.3%0.0%67.5%12.2%0.6%192.1K-15.0M-50.2K1.2852.96N/AN/A6938878,1424,024