EDIT Options History — December 2017

In December 2017, EDIT traded between $23.50 and $31.30. ATM implied volatility averaged 61.3%, placing in the 17.1% IV rank vs the trailing year. The 30-day expected move averaged 16.4%. IV traded below realized volatility by 10.4% (HV 20d: 71.7%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.71.

Notable Days

  • 2017-12-28: Highest Volume — 3,347 contracts
  • 2017-12-11: Largest IV spike — 27.1% change
  • 2017-12-11: Highest IV Rank — 71.8%
  • 2017-12-05: Largest Expected Move — 18.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.64$23.50$31.30$29.85$30.77
Max Pain$25.75$25.00$30.00$25.00$25.00
ATM IV61.3%51.3%83.9%62.5%54.5%
Expected Move16.4%14.7%18.3%17.9%15.6%
HV 20d71.7%65.7%76.9%67.6%66.3%
HV 60d69.7%64.2%72.3%67.2%64.2%
IV Rank17.1%0.0%71.8%12.9%7.5%
IV Percentile18.9%0.0%95.6%8.3%1.6%
Term Structure3.8%-3.9%8.3%-3.9%4.1%
VWIV57.3%49.9%63.8%63.8%54.4%
Skew 25d2.7%-5.7%7.3%3.2%6.1%
Skew 10d9.2%-7.1%17.3%8.3%12.2%
Call IV 25d56.5%48.6%62.9%58.8%53.7%
Put IV 25d59.2%53.3%67.1%62.0%59.8%
Bid-Ask Spread %53.6331.9471.9449.2934.95
Gamma HHI0.430.330.580.580.37
Net GEX167.9K114.7K237.2K182.7K202.2K
Net DEX-12.4M-22.5M-5.3M-16.3M-21.7M
Net VEX-67.9K-91.0K-51.2K-51.2K-91.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.381.090.730.78
Total Volume2,422.251,5333,3471,8592,977
Total OI16,767.7512,52320,25612,52320,256

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$29.85$25.0062.5%17.9%67.6%12.9%63.8%3.2%-3.9%182.7K-16.3M-51.2K0.7349.29N/AN/A1,0767838,2114,312
2017-12-04$27.75$30.0066.5%17.8%72.7%23.9%62.9%7.3%-0.5%164.3K-13.0M-52.1K0.9449.35N/AN/A1,2271,1538,3264,354
2017-12-05$27.29$30.0075.5%18.3%71.5%48.7%62.9%3.1%1.5%155.0K-11.9M-54.3K0.9646.80N/AN/A1,1661,1158,7254,709
2017-12-06$25.15$30.0066.7%17.2%76.2%24.4%60.4%2.8%1.8%125.0K-8.0M-52.6K0.7549.21N/AN/A1,8581,4008,8554,684
2017-12-07$25.79$25.0065.1%15.9%75.6%20.1%60.4%2.3%8.3%145.8K-10.0M-61.9K0.6762.07N/AN/A1,33889410,1255,730
2017-12-08$24.96$25.0066.0%15.8%76.9%22.5%55.9%1.8%6.5%151.7K-8.6M-64.5K0.6843.97N/AN/A1,22783710,6015,927
2017-12-11$23.60$25.0083.9%17.8%75.1%71.8%62.6%1.3%4.5%120.0K-5.8M-62.5K0.4766.81N/AN/A1,56273010,8836,224
2017-12-12$23.50$25.0080.1%18.2%75.0%61.2%62.0%5.1%2.3%114.7K-5.3M-63.1K0.8562.86N/AN/A95281011,1426,352
2017-12-13$24.41$25.0060.6%17.4%74.4%7.7%61.3%1.7%1.4%157.8K-7.5M-65.8K0.4147.82N/AN/A1,44259811,4986,611
2017-12-14$24.42$25.0057.1%16.4%73.5%0.0%55.6%-0.3%7.8%173.2K-8.1M-65.2K0.3851.95N/AN/A1,51858011,5686,632
2017-12-15$25.01$25.0054.7%15.7%73.3%0.0%52.8%0.2%8.2%143.9K-9.6M-66.3K0.5851.87N/AN/A1,70999012,0226,590
2017-12-18$25.13$25.0052.8%15.1%73.3%0.0%52.1%3.6%7.5%148.3K-9.2M-68.4K0.6231.94N/AN/A1,20874410,1225,682
2017-12-19$24.60$25.0055.7%16.0%73.5%7.1%54.8%-5.7%6.6%147.1K-8.5M-69.3K0.4644.83N/AN/A1,53470210,3175,848
2017-12-20$24.86$25.0057.9%16.6%73.3%12.3%56.0%1.6%3.7%165.9K-9.0M-70.1K0.8471.31N/AN/A83370010,8155,938
2017-12-21$26.70$25.0057.4%16.5%71.0%11.2%55.4%5.1%-2.2%213.1K-13.9M-71.1K0.7060.17N/AN/A1,9361,35410,9295,932
2017-12-22$28.43$25.0051.3%14.7%66.6%0.0%53.2%2.9%6.1%237.2K-17.8M-79.3K0.7070.18N/AN/A1,5161,06111,6096,595
2017-12-26$29.25$25.0054.8%15.7%65.7%8.3%56.9%2.9%1.7%234.4K-20.0M-81.5K1.0971.94N/AN/A1,3871,51411,7726,985
2017-12-27$29.95$25.0052.0%14.9%66.0%1.8%53.0%3.0%4.8%201.4K-20.4M-84.9K0.7559.82N/AN/A1,5211,14611,6807,693
2017-12-28$31.30$25.0051.5%14.8%66.6%0.6%49.9%6.8%5.0%174.4K-22.5M-83.2K0.7745.53N/AN/A1,8881,45911,1737,928
2017-12-29$30.77$25.0054.5%15.6%66.3%7.5%54.4%6.1%4.1%202.2K-21.7M-91.0K0.7834.95N/AN/A1,6681,30911,9938,263