ASAN Options History — March 2021

In March 2021, ASAN traded between $26.15 and $36.87. ATM implied volatility averaged 75.2%. The 30-day expected move averaged 20.4%. IV traded above realized volatility by 2.2% (HV 20d: 73.1%). Max pain ranged from $30.00 to $40.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 0.32.

Notable Days

  • 2021-03-31: Highest Volume — 7,467 contracts
  • 2021-03-10: Largest IV drop — 27.3% change
  • 2021-03-03: Largest Expected Move — 26.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.83$26.15$36.87$36.87$28.67
Max Pain$33.91$30.00$40.00$40.00$30.00
ATM IV75.2%57.3%111.4%89.9%57.3%
Expected Move20.4%16.4%26.8%25.8%16.4%
HV 20d73.1%57.5%81.8%57.5%72.1%
HV 60d62.7%58.2%66.8%58.5%66.8%
Term Structure-1.3%-15.1%4.8%-11.7%3.2%
VWIV73.5%58.4%101.4%95.0%58.4%
Skew 25d-4.2%-8.2%-0.6%-5.8%-0.6%
Skew 10d-12.1%-27.5%-3.0%-17.1%-6.4%
Call IV 25d74.7%58.2%100.9%96.6%58.2%
Put IV 25d70.5%56.8%92.8%90.8%57.7%
Bid-Ask Spread %35.5315.4764.3337.7528.79
Gamma HHI0.190.130.280.280.19
Net GEX202.6K78.6K370.8K242.0K223.8K
Net DEX-10.2M-21.1M-830.0K-21.1M-7.3M
Net VEX-118.5K-134.6K-98.2K-134.6K-111.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.030.760.050.05
Total Volume2,236.871,0047,4671,5277,467
Total OI27,981.39123,38733,30423,38728,181

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-03-01$36.87$40.0089.9%25.8%57.5%0.0%95.0%-5.8%-11.7%242.0K-21.1M-134.6K0.0537.75N/AN/A1,4497814,8328,555
2021-03-02$35.39$35.0092.0%26.4%59.5%0.0%94.3%-6.3%-15.1%225.5K-18.0M-132.4K0.0335.04N/AN/A1,7635315,4378,634
2021-03-03$32.38$35.0093.3%26.8%65.5%0.0%101.4%-8.2%-14.1%194.8K-12.4M-126.6K0.5334.08N/AN/A1,40375016,6758,673
2021-03-04$30.75$35.0096.2%22.8%65.8%0.0%82.3%-5.5%-3.3%128.4K-8.2M-120.9K0.3826.41N/AN/A1,45054916,9229,147
2021-03-05$30.48$35.0097.8%22.8%65.3%0.0%80.2%-3.0%-4.3%146.3K-7.8M-119.9K0.4421.12N/AN/A2,3261,02617,3559,078
2021-03-08$29.72$35.00110.1%23.6%64.6%0.0%85.8%-5.3%-6.2%155.7K-7.8M-116.2K0.6326.22N/AN/A91857718,2339,046
2021-03-09$32.78$35.00111.4%23.2%74.7%0.0%81.7%-5.5%-5.3%272.6K-15.7M-130.4K0.6527.23N/AN/A1,44694518,6039,474
2021-03-10$31.98$35.0081.0%23.2%74.7%0.0%83.2%-5.0%-4.7%244.4K-13.7M-127.9K0.1239.28N/AN/A4,30250318,95810,007
2021-03-11$33.85$35.0070.8%20.3%77.9%0.0%71.7%-3.8%-0.1%309.4K-17.7M-130.0K0.2741.61N/AN/A2,80874419,40710,331
2021-03-12$31.81$35.0071.9%20.6%80.1%0.0%74.0%-5.7%-0.1%204.5K-11.6M-123.4K0.1834.73N/AN/A2,56646719,76010,357
2021-03-15$32.73$35.0071.7%20.6%76.3%0.0%72.3%-4.0%-0.5%339.5K-16.7M-130.6K0.4540.05N/AN/A78335121,59410,473
2021-03-16$33.47$35.0067.4%19.3%77.2%0.0%68.7%-3.1%2.3%370.8K-18.5M-130.2K0.1739.96N/AN/A1,62527521,52110,508
2021-03-17$33.09$35.0065.7%18.8%77.1%0.0%68.6%-3.2%2.4%337.2K-16.2M-125.3K0.2047.83N/AN/A1,13023021,19910,617
2021-03-18$30.30$35.0067.7%19.4%81.8%0.0%70.1%-4.6%1.1%109.8K-7.4M-115.2K0.3749.49N/AN/A1,40552321,73910,748
2021-03-19$29.44$35.0064.1%18.4%79.9%0.0%66.1%-4.1%3.6%191.2K-3.7M-112.6K0.7630.45N/AN/A1,13086022,37210,932
2021-03-22$30.05$32.5061.4%17.6%77.4%0.0%64.1%-4.5%3.9%212.3K-9.5M-114.5K0.1050.46N/AN/A99610316,2208,392
2021-03-23$29.20$32.5061.9%17.7%76.0%0.0%62.8%-5.8%2.6%190.3K-7.4M-108.6K0.6464.33N/AN/A1,04767316,7138,461
2021-03-24$27.98$32.5059.8%17.1%76.8%0.0%63.9%-2.8%4.8%134.2K-4.0M-105.4K0.1749.38N/AN/A1,21021117,0398,941
2021-03-25$27.76$32.5059.4%17.0%76.8%0.0%60.6%-2.2%2.5%123.5K-3.4M-105.3K0.3129.81N/AN/A1,39943617,4479,086
2021-03-26$27.06$30.0060.0%17.2%76.9%0.0%61.7%-2.9%2.8%113.9K-2.3M-102.2K0.3017.10N/AN/A95328417,6309,081
2021-03-29$26.15$30.0060.4%17.3%72.2%0.0%64.1%-3.6%4.0%78.6K-830.0K-98.2K0.2815.47N/AN/A95927118,1089,249
2021-03-30$27.24$30.0059.2%17.0%74.5%0.0%60.2%-1.0%3.3%111.9K-3.1M-104.3K0.1730.71N/AN/A85914518,5049,333
2021-03-31$28.67$30.0057.3%16.4%72.1%0.0%58.4%-0.6%3.2%223.8K-7.3M-111.6K0.0528.79N/AN/A7,12833918,7839,398