ASAN Options History — September 2023

In September 2023, ASAN traded between $17.07 and $21.70. ATM implied volatility averaged 53.2%, placing in the 6.0% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded below realized volatility by 10.6% (HV 20d: 63.8%). Max pain ranged from $17.50 to $22.50. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.43.

Notable Days

  • 2023-09-06: Highest Volume — 37,107 contracts
  • 2023-09-06: Largest IV drop — 30.1% change
  • 2023-09-05: Highest IV Rank — 20.4%
  • 2023-09-01: Largest Expected Move — 25.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.65$17.07$21.70$21.70$18.36
Max Pain$19.55$17.50$22.50$20.00$18.50
ATM IV53.2%46.4%75.9%73.2%54.4%
Expected Move15.4%13.2%25.9%25.9%15.6%
HV 20d63.8%46.4%70.7%46.4%64.2%
HV 60d57.0%52.4%60.2%52.5%57.8%
IV Rank6.0%0.0%20.4%17.7%11.0%
IV Percentile5.7%0.0%36.9%30.2%6.7%
Term Structure-0.3%-3.3%1.4%-2.1%-0.5%
VWIV53.7%46.7%91.0%91.0%55.1%
Skew 25d1.8%-1.3%3.9%1.8%-1.3%
Skew 10d3.3%-2.1%11.4%2.5%0.3%
Call IV 25d52.6%45.4%73.2%73.2%56.1%
Put IV 25d54.3%47.8%76.5%75.0%54.8%
Bid-Ask Spread %19.029.8537.1619.6537.16
Gamma HHI0.100.080.130.120.11
Net GEX338.6K-261.1K954.9K492.2K807.1K
Net DEX-3.4M-21.6M8.8M-20.5M-12.9M
Net VEX-265.6K-303.0K-230.7K-284.9K-303.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.141.170.350.14
Total Volume9,207.751,95537,1074,6317,768
Total OI117,048.594,259134,015100,115131,686

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-09-01$21.70$20.0073.2%25.9%46.4%17.7%91.0%1.8%-2.1%492.2K-20.5M-284.9K0.3519.65N/AN/A3,4201,21159,00441,111
2023-09-05$21.57$22.5075.9%19.7%46.4%20.4%68.3%3.9%-3.3%349.0K-19.4M-280.3K0.5721.48N/AN/A14,3528,19556,51237,747
2023-09-06$18.86$22.5053.0%14.7%66.1%0.0%51.6%0.9%-0.7%-261.1K5.6M-230.7K0.5411.92N/AN/A24,09113,01670,32245,072
2023-09-07$19.98$20.0050.2%14.4%69.9%0.0%50.5%2.6%0.6%830.0K-17.2M-281.1K0.5310.78N/AN/A10,9995,78782,49549,022
2023-09-08$20.20$20.0050.7%14.4%70.0%0.5%50.1%3.3%-2.5%893.1K-21.6M-287.4K0.4916.65N/AN/A5,6912,76382,93151,084
2023-09-11$20.18$20.0048.3%14.0%69.9%0.0%49.6%1.3%0.4%954.9K-18.5M-290.4K0.209.85N/AN/A5,4351,10172,66943,284
2023-09-12$19.21$20.0049.3%14.1%70.7%1.5%49.6%1.5%0.4%487.9K-5.9M-275.5K0.3824.41N/AN/A3,7441,43372,45143,906
2023-09-13$18.73$20.0048.5%14.1%69.1%0.3%49.2%1.3%1.4%256.9K-802.8K-267.7K0.2817.09N/AN/A3,9581,09274,16844,682
2023-09-14$18.79$20.0046.4%13.2%68.7%0.0%46.7%2.6%-0.6%314.7K-399.4K-264.9K0.4715.72N/AN/A2,8411,32575,46045,000
2023-09-15$18.13$20.0047.5%13.7%69.4%1.5%47.3%0.1%0.9%12.0K6.6M-254.5K0.3911.42N/AN/A3,8521,51076,67745,684
2023-09-18$18.29$20.0048.7%14.0%68.7%3.1%48.6%1.7%0.3%196.6K2.6M-257.0K0.5626.88N/AN/A2,7931,55265,24743,727
2023-09-19$17.63$20.0049.9%14.3%69.3%4.8%49.4%2.9%-0.4%113.8K8.2M-250.9K0.8218.89N/AN/A3,0382,49667,12744,780
2023-09-20$17.34$20.0050.1%14.4%64.8%5.1%49.8%1.8%-0.3%77.4K8.8M-247.2K0.4813.91N/AN/A3,3761,63269,25745,855
2023-09-21$17.13$18.0050.8%14.5%63.2%6.0%50.2%0.6%1.2%81.0K7.4M-248.8K0.3619.98N/AN/A1,78264771,61545,117
2023-09-22$17.14$18.0051.1%14.5%60.4%6.5%51.3%1.3%1.4%67.6K6.7M-249.9K0.1823.00N/AN/A2,12237772,21845,386
2023-09-25$17.07$18.0053.7%15.3%58.1%10.0%53.6%2.1%-0.5%132.5K6.2M-247.0K0.3511.88N/AN/A1,69759570,40244,244
2023-09-26$17.07$18.0054.7%15.4%58.2%11.3%53.8%2.9%-1.1%156.8K5.1M-249.9K1.1723.04N/AN/A9001,05571,63944,297
2023-09-27$17.20$18.0053.9%15.4%58.3%10.3%54.5%2.6%0.4%160.7K4.1M-252.5K0.1623.78N/AN/A4,33367672,12545,147
2023-09-28$18.38$17.5054.2%15.5%64.3%10.6%54.3%1.2%-0.7%649.5K-12.7M-288.2K0.2623.01N/AN/A24,9806,52076,30245,518
2023-09-29$18.36$18.5054.4%15.6%64.2%11.0%55.1%-1.3%-0.5%807.1K-12.9M-303.0K0.1437.16N/AN/A6,82594382,27349,413