EDIT Options History — December 2019

In December 2019, EDIT traded between $29.48 and $32.42. ATM implied volatility averaged 67.7%, placing in the 34.2% IV rank vs the trailing year. The 30-day expected move averaged 20.9%. IV traded above realized volatility by 15.3% (HV 20d: 52.4%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.22.

Notable Days

  • 2019-12-03: Highest Volume — 11,297 contracts
  • 2019-12-11: Largest IV drop — 16.6% change
  • 2019-12-02: Highest IV Rank — 54.4%
  • 2019-12-11: Largest Expected Move — 23.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.86$29.48$32.42$29.99$29.61
Max Pain$25.19$25.00$27.00$25.00$27.00
ATM IV67.7%63.0%80.6%80.6%63.5%
Expected Move20.9%19.1%23.3%23.2%20.1%
HV 20d52.4%31.9%64.9%64.9%36.6%
HV 60d49.3%48.1%50.5%50.5%50.0%
IV Rank34.2%27.0%54.4%54.4%27.8%
IV Percentile74.0%59.5%97.2%97.2%60.7%
Term Structure2.8%-8.1%17.0%4.1%5.7%
VWIV77.1%69.4%96.7%81.6%75.0%
Skew 25d-3.5%-14.2%6.7%6.7%-3.8%
Skew 10d-5.0%-37.2%25.0%-0.4%-10.3%
Call IV 25d73.1%60.9%88.1%84.3%67.6%
Put IV 25d69.6%59.7%93.1%91.0%63.9%
Bid-Ask Spread %42.8828.9074.6265.1536.81
Gamma HHI0.190.150.360.170.20
Net GEX967.1K589.3K1.5M666.3K603.8K
Net DEX-41.7M-50.1M-26.4M-34.5M-26.8M
Net VEX-165.0K-185.1K-123.5K-123.5K-149.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.220.050.760.050.19
Total Volume2,648.95236311,2977,179540
Total OI52,849.61934,84257,06634,84255,641

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$29.99$25.0080.6%23.2%64.9%54.4%81.6%6.7%4.1%666.3K-34.5M-123.5K0.0565.15N/AN/A6,81936023,50911,333
2019-12-03$30.19$25.0071.9%21.5%63.7%40.8%75.9%-0.4%0.7%885.1K-39.8M-137.4K0.1665.15N/AN/A9,7581,53927,81311,643
2019-12-04$30.73$25.0072.1%20.4%63.4%41.2%70.1%-0.9%3.8%1.0M-47.3M-176.5K0.0774.62N/AN/A5,73440035,07913,060
2019-12-05$30.45$25.0066.6%22.8%61.5%32.6%84.2%-2.5%3.8%1.1M-47.5M-185.1K0.2344.01N/AN/A1,31630138,94913,432
2019-12-06$31.03$25.0070.6%22.4%61.5%38.8%84.8%-14.2%-0.4%1.5M-50.0M-184.6K0.0549.06N/AN/A3,63118639,31013,481
2019-12-09$30.46$25.0067.7%21.6%61.3%34.2%85.0%-6.7%7.3%1.0M-43.6M-173.4K0.1439.00N/AN/A1,09115339,20013,353
2019-12-10$30.69$25.0075.8%23.3%60.7%47.0%96.7%5.1%12.0%1.0M-45.1M-178.3K0.1440.06N/AN/A1,89625739,50113,748
2019-12-11$29.65$25.0063.2%23.3%56.8%27.3%95.2%-4.9%17.0%1.0M-39.4M-171.2K0.2243.78N/AN/A2,51056240,32313,882
2019-12-12$30.02$25.0065.3%21.6%56.6%30.6%78.5%-2.6%12.4%1.1M-40.2M-169.7K0.0733.24N/AN/A2,40317641,58614,185
2019-12-13$29.76$25.0063.0%20.5%56.4%27.0%73.1%-1.3%14.0%1.3M-37.6M-164.0K0.0941.18N/AN/A1,44812542,15814,250
2019-12-16$31.24$25.0067.9%20.1%57.6%34.6%75.3%-5.6%-1.6%1.0M-44.6M-172.2K0.1039.11N/AN/A1,68717140,43314,010
2019-12-17$31.24$25.0067.5%19.7%57.9%34.0%71.4%-3.9%-1.9%1.1M-44.2M-165.9K0.6739.91N/AN/A65343540,85514,056
2019-12-18$32.18$25.0067.8%19.4%53.0%34.5%71.7%-5.2%0.0%1.0M-50.1M-171.3K0.0739.63N/AN/A2,20616441,07614,395
2019-12-19$32.15$25.0067.6%19.5%50.0%34.2%72.2%-2.1%-2.2%1.0M-49.1M-168.3K0.1243.29N/AN/A92511442,29814,507
2019-12-20$31.87$25.0065.2%19.1%50.6%30.4%69.4%-6.2%-3.2%1.1M-48.0M-168.7K0.1841.25N/AN/A97117942,45514,611
2019-12-23$32.14$25.0065.7%19.2%50.4%31.2%70.2%-2.5%0.8%895.4K-41.7M-163.4K0.5032.88N/AN/A1,48574839,98413,879
2019-12-24$32.42$25.0065.6%19.6%32.7%31.0%70.9%-7.2%0.3%778.4K-42.6M-169.1K0.2535.71N/AN/A2917240,56114,592
2019-12-26$32.18$25.0064.0%19.9%31.9%28.5%70.6%-3.1%-4.0%720.6K-42.0M-166.1K0.3128.90N/AN/A42813340,69314,655
2019-12-27$30.55$25.0064.5%20.6%35.8%29.4%72.3%-8.2%-8.1%777.2K-34.2M-160.0K0.7629.56N/AN/A1,4211,07440,87714,800
2019-12-30$29.48$27.0064.8%19.9%36.6%29.7%75.1%-4.3%-1.7%589.3K-26.4M-147.1K0.2638.10N/AN/A1,00426240,52015,149
2019-12-31$29.61$27.0063.5%20.1%36.6%27.8%75.0%-3.8%5.7%603.8K-26.8M-149.1K0.1936.81N/AN/A4548640,35015,291