Avenue Magazine Editor-in-Chief Peter Davis resigned yesterday and was walked out of the building, leaving the January and February issues unfinished. Davis, publisher Julie Dannenberg and creative director Cricket Burns are forming a new glossy with Jared Kushner’s Observer Media Group. The unnamed monthly lifestyle magazine will be sold on newsstands and delivered separate from the New York Observer. Davis told us, “I resigned from Avenue in as amicable a way as I could. I wish them the best, but it is time to move on. We are starting a new monthly with more edge and more bite. We will hire new writers, an art director and build a new house. It is exciting.”