ASAN Options History — November 2020

In November 2020, ASAN traded between $21.22 and $27.71. ATM implied volatility averaged 76.2%. The 30-day expected move averaged 22.5%. IV traded above realized volatility by 23.5% (HV 20d: 52.7%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.26.

Notable Days

  • 2020-11-27: Highest Volume — 11,080 contracts
  • 2020-11-27: Largest IV spike — 45.6% change
  • 2020-11-27: Largest Expected Move — 41.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.07$21.22$27.71$22.05$27.71
Max Pain$22.88$22.50$25.00$25.00$22.50
ATM IV76.2%54.0%145.6%65.8%132.6%
Expected Move22.5%17.1%41.7%18.9%38.0%
HV 20d52.7%44.1%70.8%46.5%66.0%
Term Structure-6.0%-21.8%9.5%5.2%-20.5%
VWIV80.4%59.9%147.9%73.6%132.4%
Skew 25d-6.6%-30.3%-0.1%-0.1%-28.8%
Skew 10d-15.1%-45.3%-4.6%-5.3%-45.3%
Call IV 25d82.6%59.8%156.0%66.2%144.2%
Put IV 25d76.0%58.2%125.6%66.1%115.3%
Bid-Ask Spread %31.1712.9744.0625.7330.28
Gamma HHI0.260.220.320.250.32
Net GEX87.4K19.6K374.8K27.8K374.8K
Net DEX-4.9M-24.6M-690.4K-1.1M-24.6M
Net VEX-34.2K-84.8K-18.6K-18.9K-84.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.260.080.560.090.10
Total Volume2,272.917611,0803656,533
Total OI11,188.36,70622,3246,70622,324

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$22.05$25.0065.8%18.9%0.0%0.0%73.6%-0.1%5.2%27.8K-1.1M-18.9K0.0925.73N/AN/A335305,1711,535
2020-11-03$22.01$25.0062.6%18.0%0.0%0.0%65.1%-3.1%8.2%26.6K-1.1M-18.6K0.3022.12N/AN/A135415,1711,535
2020-11-04$22.08$25.0059.7%17.1%0.0%0.0%59.9%-1.7%9.5%24.2K-1.1M-18.8K0.3919.21N/AN/A7392885,3721,563
2020-11-05$23.00$22.5056.8%20.1%0.0%0.0%71.4%-3.9%-6.0%41.7K-1.9M-22.2K0.2328.40N/AN/A1,0432355,6881,773
2020-11-06$23.41$22.5054.0%19.4%0.0%0.0%68.8%-1.1%-5.1%53.2K-2.2M-23.4K0.2932.89N/AN/A2,0325946,2291,854
2020-11-09$23.06$22.5057.8%19.7%0.0%0.0%72.3%-3.0%-4.5%62.4K-2.5M-28.1K0.1332.50N/AN/A8081017,5472,334
2020-11-10$21.38$22.5060.9%20.0%46.5%0.0%72.3%-5.1%-4.7%27.6K-799.2K-24.6K0.2037.17N/AN/A9241877,7092,309
2020-11-11$21.57$22.5069.8%20.0%45.4%0.0%69.5%-1.2%-6.7%24.9K-980.7K-25.6K0.4817.92N/AN/A3431647,7742,420
2020-11-12$21.22$22.5070.5%20.2%44.1%0.0%71.8%-2.3%-5.9%23.7K-690.4K-25.7K0.2435.35N/AN/A9032177,9622,505
2020-11-13$22.40$22.5070.4%20.2%48.5%0.0%72.8%-1.7%-6.4%50.4K-2.3M-29.9K0.0840.29N/AN/A1,122938,3962,647
2020-11-16$22.90$22.5073.0%20.9%48.1%0.0%73.5%-1.8%-8.9%79.6K-3.3M-30.8K0.1936.94N/AN/A1,0642068,8282,672
2020-11-17$23.47$22.5071.5%20.5%47.8%0.0%74.8%-4.8%-7.4%104.5K-4.4M-32.9K0.3342.02N/AN/A1,0263369,0602,682
2020-11-18$22.73$22.5072.4%20.8%48.9%0.0%73.4%-2.8%-8.0%56.4K-3.4M-32.2K0.3944.06N/AN/A7622969,3642,692
2020-11-19$21.87$22.5072.4%20.7%50.5%0.0%74.1%-10.4%-5.5%19.6K-1.9M-31.5K0.5630.30N/AN/A9515289,6332,979
2020-11-20$22.31$22.5073.1%21.0%50.6%0.0%71.5%-4.2%-6.3%70.2K-2.7M-34.3K0.4136.78N/AN/A83734310,3473,123
2020-11-23$21.99$22.5077.1%22.1%50.4%0.0%77.8%-5.9%-6.7%118.1K-4.2M-36.7K0.1226.68N/AN/A1,6171868,1602,652
2020-11-24$22.87$22.5078.5%22.5%52.5%0.0%81.7%-7.3%-5.7%162.5K-6.6M-43.2K0.3839.48N/AN/A1,3905359,2332,813
2020-11-25$25.78$22.50100.0%28.7%67.9%0.0%103.7%-12.2%-13.8%193.4K-12.3M-53.5K0.1112.97N/AN/A6,7027329,9683,291
2020-11-27$27.51$22.50145.6%41.7%70.8%0.0%147.9%-30.3%-21.8%206.5K-19.4M-68.7K0.0932.31N/AN/A10,16191912,6063,845
2020-11-30$27.71$22.50132.6%38.0%66.0%0.0%132.4%-28.8%-20.5%374.8K-24.6M-84.8K0.1030.28N/AN/A5,95358017,8004,524