ASAN Options History — January 2021

In January 2021, ASAN traded between $27.93 and $39.75. ATM implied volatility averaged 73.3%. The 30-day expected move averaged 20.5%. IV traded above realized volatility by 20.5% (HV 20d: 52.8%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.24.

Notable Days

  • 2021-01-11: Highest Volume — 10,240 contracts
  • 2021-01-11: Largest IV spike — 18.2% change
  • 2021-01-27: Largest Expected Move — 23.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.08$27.93$39.75$28.98$35.13
Max Pain$29.21$25.00$30.00$25.00$30.00
ATM IV73.3%67.8%83.9%73.8%76.8%
Expected Move20.5%19.4%23.2%20.5%22.0%
HV 20d52.8%40.9%61.2%58.7%61.2%
HV 60d59.9%57.5%63.1%58.2%61.7%
Term Structure7.5%2.9%9.6%8.3%6.8%
VWIV72.4%68.3%81.9%71.7%79.9%
Skew 25d-6.8%-10.0%-4.2%-9.4%-8.1%
Skew 10d-15.3%-28.5%-8.0%-19.4%-28.5%
Call IV 25d76.2%72.2%84.4%76.6%83.5%
Put IV 25d69.4%64.6%78.5%67.3%75.4%
Bid-Ask Spread %20.205.0641.7012.6131.05
Gamma HHI0.330.250.520.350.27
Net GEX735.9K487.3K1.0M831.6K579.9K
Net DEX-47.1M-70.3M-30.2M-36.4M-34.7M
Net VEX-136.3K-140.8K-131.2K-133.9K-139.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.240.080.560.420.19
Total Volume3,987.73790410,2401,819977
Total OI32,783.47425,52540,31837,32829,162

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-01-04$28.98$25.0073.8%20.5%58.7%0.0%71.7%-9.4%8.3%831.6K-36.4M-133.9K0.4212.61N/AN/A1,27754228,4768,852
2021-01-05$28.64$25.0073.0%20.1%58.0%0.0%73.5%-7.8%8.3%814.6K-34.3M-131.9K0.1014.61N/AN/A3,04231428,3169,079
2021-01-06$27.93$25.0072.5%19.8%40.9%0.0%68.3%-7.3%8.1%810.5K-30.2M-131.2K0.3412.67N/AN/A2,39782429,4739,234
2021-01-07$29.02$30.0067.8%19.6%42.6%0.0%69.5%-7.5%8.4%940.0K-37.8M-136.5K0.2515.57N/AN/A1,82244930,5679,751
2021-01-08$31.40$30.0071.0%19.4%49.3%0.0%68.6%-5.6%8.4%1.0M-52.7M-140.2K0.2017.47N/AN/A5,5701,12830,2609,769
2021-01-11$32.02$30.0083.9%19.8%46.2%0.0%70.5%-5.9%8.1%961.2K-52.2M-134.9K0.1026.73N/AN/A9,30193928,4779,621
2021-01-12$34.92$30.0080.8%20.1%51.9%0.0%69.2%-8.4%7.9%1.0M-60.7M-136.0K0.136.81N/AN/A7,8061,03026,3069,873
2021-01-13$36.57$30.0070.8%20.3%52.3%0.0%73.2%-7.5%7.1%923.8K-64.3M-133.1K0.128.62N/AN/A8,9551,09125,1319,966
2021-01-14$37.09$30.0071.4%20.5%52.2%0.0%73.4%-7.4%6.0%946.5K-65.0M-137.6K0.2112.31N/AN/A3,07165126,9889,842
2021-01-15$38.76$30.0072.6%20.8%53.4%0.0%72.9%-6.8%7.4%487.3K-70.3M-136.3K0.1425.36N/AN/A3,51648926,4989,934
2021-01-19$39.67$30.0074.0%21.2%52.7%0.0%74.1%-5.9%6.6%505.3K-50.1M-133.0K0.145.06N/AN/A4,41160618,1377,388
2021-01-20$39.60$30.0071.6%20.5%52.5%0.0%71.4%-5.9%7.1%549.6K-49.0M-133.1K0.566.13N/AN/A1,17365918,5697,537
2021-01-21$39.75$30.0068.9%19.7%52.4%0.0%69.6%-4.2%8.0%549.2K-48.7M-134.6K0.2321.92N/AN/A2,30953818,4627,725
2021-01-22$39.13$30.0068.8%19.7%52.1%0.0%69.6%-5.7%8.5%626.9K-48.1M-140.5K0.3826.29N/AN/A1,10141419,6007,909
2021-01-25$38.39$30.0069.8%20.0%52.4%0.0%70.0%-5.7%8.0%632.4K-45.2M-140.8K0.4627.90N/AN/A1,07349019,7358,098
2021-01-26$38.51$30.0068.9%19.7%52.4%0.0%72.0%-4.7%9.6%640.9K-45.1M-138.4K0.2229.33N/AN/A74016419,6128,035
2021-01-27$35.29$30.0080.9%23.2%60.9%0.0%81.9%-5.4%2.9%532.3K-34.3M-138.0K0.0841.70N/AN/A4,61936019,7878,015
2021-01-28$35.70$30.0075.4%21.6%60.5%0.0%77.1%-10.0%7.1%590.1K-36.6M-140.2K0.2341.61N/AN/A1,55836120,5398,163
2021-01-29$35.13$30.0076.8%22.0%61.2%0.0%79.9%-8.1%6.8%579.9K-34.7M-139.4K0.1931.05N/AN/A81815920,8018,361