Aerie Pharmaceuticals

AERI

61.30

-0.25

-0.4%

After Hours:

61.30

0.00

0.0%

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Stock Price
Open: 61.75
Prev. Close: 61.55
Low/Hi: 60.70 - 61.75
52-Week: 35.20 - 66.25
Volumes
Equity: 77,202
90-Day Avg: 584,218
Option: 78
90-Day Avg: 1,173
Volatility
Todays Stock Vol: 19.1
20-Day (HV): 39.2
52-Week (HV): 46.1
30-Day IV: 55.7 +1.7
IV Pct Rank: 0% Subdued
Fundamental
Div. Yield:
Earnings: 5-Mar (Est.)
P/E Ratio:
Market Cap: 2.3 B
Stock Info
Type: Common
Sector: Healthcare
Industry: Drug Manufacturers - Major

AERI Symbol Review Report

Price Performance:

Today, AERI has moved -0.4%, while SPY has moved +0.2%.

Over the last two weeks, AERI has moved -1.1%, and SPY has moved +0.9%.

Volume:

AERI's stock volume today is 77,202, which is 0.1x relative to the 90-day average of 584,218

SPY's relative volume today is 0.4x, trading 27,087,908 shares against an average of 62,976,225 for the last 90 days.

Volatility:

The current 1-Day OHLC Volatility for AERI is 19.1 for today. The 20-day average is 37.6, and the 52-week average is 41.9.

The 1-Day OHLC Volatility for SPY is 3.5, while the average over the last 20 days is 5.6, and for the last 52 weeks is 6.1.

Implied Volatility:

The current 30-Day Implied Volatility (IV30) is 55.7, and has moved +3.2% from yesterday. Its IV % Rank is 0.00, which is considered Subdued.

As a comparison, the current IV30 for SPY is 6.8, down slightly -0.6% from the previous day. SPY's IV % Rank is Subdued at 0.08.

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

Over the same span, SPY's IV30 Range is 6.4 - 13.5.

Based on the IV30, a synthetic put to protect downside risk would cost 6.3%, compared to a 52-week range of 4.4% - 15.2%.

At-the-Money Straddles:

ATM Straddle Expected Range
Expiration $ Premium % Premium Low High
15-Dec-17 6.61 10.8% 54.66 67.89
19-Jan-18 10.37 16.9% 50.91 71.64
16-Feb-18 11.76 19.2% 49.52 73.03
18-May-18 17.16 28.0% 44.11 78.44
18-Jan-19 24.50 40.0% 36.77 85.78

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 2.3% higher than the upside call.

Option Volume:

On the day, AERI traded 78 contracts, with 6.4% being put options. This represents a relative volume of 0.1x compared to the last 90 days, when the average volume was 1,173 and 26.1% 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 13 16.7% 35,340 48 61.5% 16,085 12 15.4% 540 73 93.6% 51,965
Put 0 0.0% 0 0 0.0% 0 5 6.4% 150 5 6.4% 150
Total 78 52,115

Most Active Options:

Option Symbol Volume # Trades Last Price Low Price High Price Open Interest IV % IV Change
AERI 15Dec17 C 65 40 3 1.70 1.40 1.70 286 55.0 +0.1%
AERI 15Dec17 C 75 10 1 0.30 0.30 0.30 1 29.2 +1.8%
AERI 18Jan19 C 40 10 1 26.55 26.55 26.55 19 57.8 +5.3%
AERI 15Dec17 P 50 5 1 0.30 0.30 0.30 21 60.9 +76.1%
AERI 18Jan19 C 65 5 1 12.00 12.00 12.00 14 49.2 +2.8%

Biggest Open Interest Increases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
AERI 15Dec17 C 65 286 272 +14 +5.2% 40
AERI 15Dec17 C 70 259 247 +12 +4.9% 0
AERI 19Jan18 C 70 2,890 2,883 +7 +0.2% 0
AERI 16Feb18 C 70 35 31 +4 +12.9% 0
AERI 18Jan19 P 50 130 127 +3 +2.4% 0

Biggest Open Interest Decreases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
AERI 16Feb18 P 75 0 12 -12 -100.0% 0
AERI 18May18 P 60 2 11 -9 -81.8% 0
AERI 16Feb18 C 55 5 6 -1 -16.7% 0

Upcoming Dividend:

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