ASAN Options History — September 2024

In September 2024, ASAN traded between $11.23 and $13.29. ATM implied volatility averaged 51.6%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 14.7%. IV traded below realized volatility by 3.6% (HV 20d: 55.1%). Max pain ranged from $10.00 to $14.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.72.

Notable Days

  • 2024-09-03: Highest Volume — 13,161 contracts
  • 2024-09-04: Largest IV drop — 35.3% change
  • 2024-09-03: Highest IV Rank — 74.3%
  • 2024-09-03: Largest Expected Move — 29.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.98$11.23$13.29$13.29$11.50
Max Pain$11.45$10.00$14.00$12.50$12.00
ATM IV51.6%44.2%83.3%83.3%49.8%
Expected Move14.7%12.6%29.5%29.5%13.3%
HV 20d55.1%46.7%60.6%46.7%52.2%
HV 60d53.3%48.5%58.6%55.2%49.5%
IV Rank14.4%0.4%74.3%74.3%11.0%
IV Percentile33.4%1.2%96.8%96.8%29.0%
Term Structure-1.5%-17.1%4.6%-5.5%-4.7%
VWIV51.1%40.0%102.6%102.6%48.0%
Skew 25d4.1%-0.1%14.8%4.6%2.8%
Skew 10d10.8%-6.6%26.1%10.3%-6.6%
Call IV 25d49.7%37.3%79.5%79.5%47.9%
Put IV 25d53.9%46.4%84.0%84.0%50.7%
Bid-Ask Spread %30.6110.3373.7843.9716.80
Gamma HHI0.200.150.330.190.20
Net GEX50.7K-314.0K238.6K238.6K56.5K
Net DEX803.5K-7.3M4.5M-7.3M1.9M
Net VEX-110.7K-137.8K-99.2K-137.8K-104.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.061.900.910.06
Total Volume2,797.1542313,16113,1617,331
Total OI64,047.8559,97675,84263,49361,627

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-09-03$13.29$12.5083.3%29.5%46.7%74.3%102.6%4.6%-5.5%238.6K-7.3M-137.8K0.9143.97N/AN/A6,8786,28341,98721,506
2024-09-04$12.41$14.0053.9%16.2%53.1%18.7%57.3%2.7%1.0%-34.4K1.5M-119.2K1.0140.94N/AN/A4,3384,36647,68126,993
2024-09-05$12.61$12.5059.5%14.3%53.3%29.4%49.9%5.8%-17.1%17.9K-260.5K-122.8K1.1573.78N/AN/A1,1961,37547,79527,956
2024-09-06$11.95$12.5053.0%14.6%55.9%17.0%53.5%2.9%0.2%-314.0K3.5M-112.3K0.7237.10N/AN/A1,31995348,22127,621
2024-09-09$11.41$12.5054.3%14.4%56.5%19.4%50.3%3.6%-5.5%-27.8K3.8M-102.4K0.4421.11N/AN/A1,23854938,89421,129
2024-09-10$11.23$12.5054.4%15.5%55.8%19.7%54.0%2.5%-1.9%-31.3K4.5M-99.2K0.9322.22N/AN/A94687939,70321,414
2024-09-11$11.70$10.0052.0%13.8%56.5%15.2%48.6%4.5%-3.8%-8.9K2.5M-105.7K1.0122.98N/AN/A59059740,24122,043
2024-09-12$11.80$10.0050.0%14.0%56.6%11.3%48.9%4.2%-1.4%-1881.7M-106.9K1.0810.33N/AN/A60665740,45522,226
2024-09-13$12.07$10.0050.0%13.4%55.6%11.4%46.9%1.1%-5.0%-59.7K-430.2K-111.9K0.5828.98N/AN/A1,14966540,58622,414
2024-09-16$12.16$10.0051.8%14.8%55.7%14.8%52.1%4.6%-0.5%120.7K-444.2K-112.2K0.9315.06N/AN/A75970639,37121,649
2024-09-17$12.11$10.0048.2%13.7%54.6%8.0%50.9%2.6%2.3%117.5K3.9K-112.4K0.2312.31N/AN/A49211139,72622,196
2024-09-18$11.88$10.0049.4%14.2%54.6%10.2%40.0%10.9%4.6%88.3K1.1M-109.3K0.2669.23N/AN/A86822639,80922,286
2024-09-19$12.59$10.0044.2%12.6%58.9%0.4%44.5%7.0%0.7%201.4K-2.6M-116.7K0.8522.60N/AN/A1,04188640,14322,428
2024-09-20$11.96$10.0045.9%13.1%60.6%3.7%45.6%14.8%1.1%92.0K1.7M-105.9K0.6614.30N/AN/A1,50198540,56022,759
2024-09-23$11.82$12.5046.0%13.2%58.9%3.8%45.3%3.6%1.7%86.6K1.5M-103.8K0.2238.45N/AN/A1,10524838,40921,567
2024-09-24$11.93$12.5045.7%12.9%55.5%3.2%43.9%0.9%-0.3%127.8K814.6K-106.0K0.1840.77N/AN/A2,37243039,08021,677
2024-09-25$11.73$12.5045.6%13.3%55.5%3.0%46.3%2.5%1.5%132.1K787.2K-108.3K0.6919.84N/AN/A25117240,75721,828
2024-09-26$11.73$11.0047.2%13.5%54.2%6.0%48.1%1.0%0.0%134.3K727.4K-108.4K1.9016.99N/AN/A24045640,95321,965
2024-09-27$11.71$12.0047.4%13.3%52.1%6.5%45.1%-0.1%2.2%77.5K1.0M-108.0K0.6744.39N/AN/A70447541,02122,281
2024-09-30$11.50$12.0049.8%13.3%52.2%11.0%48.0%2.8%-4.7%56.5K1.9M-104.9K0.0616.80N/AN/A6,93739439,86621,761