ASAN Options History — December 2020

In December 2020, ASAN traded between $26.54 and $30.94. ATM implied volatility averaged 91.9%. The 30-day expected move averaged 25.1%. IV traded above realized volatility by 21.7% (HV 20d: 70.2%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.29.

Notable Days

  • 2020-12-10: Highest Volume — 21,861 contracts
  • 2020-12-10: Largest IV drop — 24.0% change
  • 2020-12-01: Largest Expected Move — 34.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.92$26.54$30.94$27.14$29.33
Max Pain$23.86$20.00$25.00$22.50$25.00
ATM IV91.9%67.0%139.1%120.8%68.3%
Expected Move25.1%19.2%34.6%34.6%19.6%
HV 20d70.2%58.8%78.6%67.0%58.8%
HV 60d59.9%58.7%60.9%60.9%58.7%
Term Structure-1.2%-16.3%4.8%-16.3%3.2%
VWIV90.3%69.1%132.2%132.2%70.6%
Skew 25d-14.5%-25.5%-6.5%-24.9%-7.9%
Skew 10d-26.1%-52.9%-9.3%-51.7%-17.9%
Call IV 25d97.7%72.6%138.6%137.6%72.6%
Put IV 25d83.2%64.7%113.3%112.7%64.7%
Bid-Ask Spread %30.8312.3354.8624.6512.33
Gamma HHI0.400.320.820.320.35
Net GEX832.6K353.0K3.8M354.0K826.6K
Net DEX-36.2M-53.0M-21.2M-22.1M-38.6M
Net VEX-125.0K-149.7K-82.1K-82.1K-141.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.290.070.630.160.23
Total Volume5,370.04548021,8612,4891,689
Total OI35,190.63622,40147,95522,40137,090

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$27.14$22.50120.8%34.6%67.0%0.0%132.2%-24.9%-16.3%354.0K-22.1M-82.1K0.1624.65N/AN/A2,14134817,6124,789
2020-12-02$26.65$22.50119.0%34.1%67.7%0.0%126.4%-25.3%-16.0%353.0K-21.2M-83.5K0.1428.30N/AN/A2,34033618,1645,000
2020-12-03$27.22$20.00119.4%30.1%67.7%0.0%110.1%-20.5%-8.3%367.7K-23.4M-84.3K0.1833.11N/AN/A4,33075918,4865,156
2020-12-04$26.54$20.00123.7%30.2%67.9%0.0%108.7%-21.1%-7.2%368.2K-22.2M-88.7K0.2832.36N/AN/A2,41767419,7045,653
2020-12-07$29.81$22.50137.1%31.0%78.1%0.0%109.4%-18.8%-5.2%477.3K-33.0M-91.6K0.2533.14N/AN/A8,5782,11620,1526,162
2020-12-08$29.10$22.50139.1%31.1%78.6%0.0%108.9%-25.5%-4.2%478.7K-33.1M-107.2K0.4821.34N/AN/A6,1052,90822,7517,446
2020-12-09$28.20$22.50115.2%33.0%73.5%0.0%115.6%-22.3%-6.7%434.3K-30.5M-119.8K0.3232.06N/AN/A8,0022,55724,2649,020
2020-12-10$29.77$22.5087.6%25.1%74.8%0.0%90.2%-15.4%2.3%765.6K-38.4M-123.3K0.2434.32N/AN/A17,5684,29327,62310,938
2020-12-11$28.61$25.0090.3%25.9%76.6%0.0%91.1%-16.6%0.9%557.0K-30.6M-121.6K0.3422.41N/AN/A5,4331,86627,08510,427
2020-12-14$28.09$25.0082.9%23.8%76.0%0.0%82.5%-10.6%0.2%552.6K-28.7M-123.8K0.0732.32N/AN/A12,78085828,52011,209
2020-12-15$28.68$25.0078.9%22.6%76.0%0.0%78.3%-11.2%1.0%910.1K-37.7M-140.6K0.0826.30N/AN/A4,75037233,37211,767
2020-12-16$29.10$25.0077.0%22.1%75.9%0.0%77.1%-11.9%1.3%1.2M-42.5M-147.4K0.1833.92N/AN/A2,67548235,34711,821
2020-12-17$30.27$25.0076.4%21.9%74.7%0.0%78.5%-10.7%2.6%1.5M-53.0M-149.7K0.2333.72N/AN/A3,92889636,10511,850
2020-12-18$30.10$25.0075.4%21.6%72.5%0.0%77.5%-12.0%2.7%3.8M-52.2M-148.1K0.1944.55N/AN/A3,73170535,91211,855
2020-12-21$30.94$25.0076.2%21.9%72.6%0.0%80.3%-11.3%3.1%743.8K-47.4M-148.5K0.4230.83N/AN/A2,10787526,6327,272
2020-12-22$30.34$25.0074.9%21.5%72.9%0.0%77.9%-10.3%2.3%755.1K-45.3M-145.0K0.2916.63N/AN/A1,71150327,1517,658
2020-12-23$29.89$25.0073.8%21.2%73.2%0.0%77.3%-11.1%3.4%763.5K-43.2M-145.7K0.6354.86N/AN/A92657927,5157,827
2020-12-24$30.01$25.0072.2%20.7%61.5%0.0%74.2%-8.8%4.8%779.0K-43.5M-148.1K0.6244.45N/AN/A29618427,7848,243
2020-12-28$28.88$25.0074.9%21.5%59.6%0.0%77.4%-10.2%1.2%775.9K-37.2M-138.5K0.5141.05N/AN/A1,33068327,8438,357
2020-12-29$28.61$25.0071.9%20.6%59.7%0.0%73.9%-6.9%3.7%779.1K-35.2M-135.8K0.1929.55N/AN/A1,22123028,0188,267
2020-12-30$28.96$25.0067.0%19.2%59.2%0.0%69.1%-6.5%4.5%812.5K-36.7M-135.1K0.4316.16N/AN/A1,30055927,9728,375
2020-12-31$29.33$25.0068.3%19.6%58.8%0.0%70.6%-7.9%3.2%826.6K-38.6M-141.4K0.2312.33N/AN/A1,37131828,3468,744