Aerie Pharmaceuticals

AERI

52.55

+0.05

+0.1%

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Stock Price
Open: 52.65
Prev. Close: 52.50
Low/Hi: 52.25 - 53.55
52-Week: 38.14 - 66.60
Volumes
Equity: 501,548
90-Day Avg: 404,470
Option: 33
90-Day Avg: 695
Volatility
Todays Stock Vol: 29.9
20-Day (HV): 48.6
52-Week (HV): 44.4
30-Day IV: 48.7 -0.6
IV Pct Rank: 38% Subdued
Fundamental
Div. Yield:
Earnings: 28-Feb AMC
P/E Ratio:
Market Cap: 2.1 B
Short Int Pct: 0.0%
Pct Held By Inst.: 94.6%
Stock Info
Type: Common
Sector: Healthcare
Industry: Drug Manufacturers - Major

AERI Symbol Review Report

Report Date: 22-Feb-2018

Price Performance:

On the day, AERI has moved +0.1%, while SPY has moved +0.1%.

Over the last two weeks, AERI has moved -1.9%, and SPY has moved +5.0%.

Volume:

AERI's stock volume on the day is 501,548, which is 1.2x relative to the 90-day average of 404,470

SPY's relative volume on the day is 1.1x, trading 102,454,020 shares against an average of 92,866,824 for the last 90 days.

Volatility:

The current 1-Day OHLC Volatility for AERI is 29.9 for the day. The 20-day average is 47.8, and the 52-week average is 40.5.

The 1-Day OHLC Volatility for SPY is 15.1, while the average over the last 20 days is 14.8, and for the last 52 weeks is 7.0.

Implied Volatility:

The current 30-Day Implied Volatility (IV30) is 48.7, and has moved -1.2% from the previous day. Its IV % Rank is 0.38, which is considered Subdued.

As a comparison, the current IV30 for SPY is 14.2, down -3.9% from the previous day. SPY's IV % Rank is Elevated at 0.95.

Over the last 52 weeks, the IV30 Range is 39.0 - 135.4.

Over the same span, SPY's IV30 Range is 6.4 - 27.6.

Based on the IV30, a synthetic put to protect downside risk would cost 5.5%, compared to a 52-week range of 4.4% - 15.2%.

At-the-Money Straddles:

ATM Straddle Expected Range
Expiration $ Premium % Premium Low High
16-Mar-18 5.13 9.8% 47.39 57.66
20-Apr-18 8.00 15.2% 44.53 60.52
18-May-18 9.81 18.7% 42.71 62.34
17-Aug-18 14.86 28.3% 37.66 67.39
18-Jan-19 18.22 34.7% 34.31 70.74

Volatility Skew:

The current downside put implied volatility is trading 0.0% equal to the upside call volatility, which represents a slightly bullish tone when compared to the past year. Over the last year, the downside put has traded on average 2.4% higher than the upside call.

Option Volume:

On the day, AERI traded 33 contracts, with 24.2% being put options. This represents a relative volume of 0.1x compared to the last 90 days, when the average volume was 695 and 24.6% puts.

Order Flow:

In the Money At the Money Out of the Money Total
Option Type Volume % Volume Total
Notional
Volume % Volume Total
Notional
Volume % Volume Total
Notional
Volume % Volume Total
Notional $
Call 0 0.0% 0 20 60.6% 6,185 5 15.2% 225 25 75.8% 6,410
Put 0 0.0% 0 5 15.2% 1,750 3 9.1% 510 8 24.2% 2,260
Total 33 8,670

Most Active Options:

Option Symbol Volume # Trades Last Price Low Price High Price Open Interest IV % IV Change
AERI 18May18 C 55 10 1 4.01 4.01 4.01 48 47.3 -5.0%
AERI 18May18 C 60 5 1 2.10 2.10 2.10 42 47.6 -1.3%
AERI 18May18 P 50 5 1 3.50 3.50 3.50 3,036 48.8 -5.2%
AERI 16Mar18 C 60 4 1 0.50 0.50 0.50 164 40.1 -10.1%
AERI 16Mar18 C 55 3 1 1.60 1.60 1.60 23 49.2 +2.2%

Biggest Open Interest Increases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
AERI 16Mar18 P 50 2,025 1,825 +200 +11.0% 0
AERI 20Apr18 C 60 12 0 +12 0
AERI 16Mar18 C 50 29 19 +10 +52.6% 0
AERI 20Apr18 C 55 10 0 +10 0
AERI 17Aug18 C 60 19 16 +3 +18.8% 0

Biggest Open Interest Decreases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
AERI 16Mar18 C 60 164 165 -1 -0.6% 4
AERI 16Mar18 C 55 23 24 -1 -4.2% 3

Upcoming Dividend:

The next dividend for AERI has not yet been announced. Its indicative dividend yield going forward is 0.00%.

Upcoming Earnings:

The next announced earnings release for AERI is on 28-Feb-2018, scheduled for after the market closes. The price effect from the previous earnings date was -3.3%, and the option market's implied straddle is ±9.8%.

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