ASGN Options History — July 2007

In July 2007, ASGN traded between $9.36 and $10.96. ATM implied volatility averaged 42.7%, placing in the 12.2% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 12.7% (HV 20d: 30.0%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.46.

Notable Days

  • 2007-07-26: Highest Volume — 29 contracts
  • 2007-07-12: Largest IV spike — 45.1% change
  • 2007-07-31: Highest IV Rank — 20.8%
  • 2007-07-31: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.27$9.36$10.96$10.93$10.03
Max Pain$11.19$10.00$12.50$10.00$10.00
ATM IV42.7%31.0%53.5%32.1%53.5%
Expected Move13.0%8.9%15.3%9.2%15.3%
HV 20d30.0%20.0%40.5%40.5%32.5%
HV 60d32.9%32.2%35.2%32.2%35.2%
IV Rank12.2%0.8%20.8%0.8%20.8%
IV Percentile48.9%2.4%88.2%2.4%88.2%
Term Structure2.2%-6.6%17.6%16.2%-6.6%
VWIV47.6%47.6%47.6%47.6%47.6%
Skew 25d1.6%-0.2%3.5%-0.2%3.5%
Skew 10d5.7%5.3%6.1%6.1%5.3%
Call IV 25d47.1%46.8%47.4%46.8%47.4%
Put IV 25d48.7%46.6%50.9%46.6%50.9%
Bid-Ask Spread %85.3965.02110.2394.17106.42
Gamma HHI0.550.490.830.510.51
Net GEX4.4K2.8K5.6K4.8K5.1K
Net DEX-175.0K-235.1K-99.5K-235.1K-140.8K
Net VEX-1.1K-1.2K-818-1.2K-886
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.001.671.670.00
Total Volume4.04802900
Total OI521.857463553532463

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-07-02$10.93$10.0032.1%9.2%40.5%0.0%0.0%0.0%16.2%4.8K-235.1K-1.2K0.0094.17N/AN/A0045775
2007-07-03$10.96$10.0032.4%9.3%40.4%0.0%0.0%0.0%15.5%4.8K-229.5K-1.2K0.0094.10N/AN/A0145782
2007-07-05$10.76$10.0031.0%8.9%39.7%0.8%0.0%0.0%17.6%4.6K-219.3K-1.2K0.0091.61N/AN/A0045776
2007-07-06$10.69$12.5040.6%14.3%39.5%9.4%0.0%0.0%-1.7%4.6K-218.2K-1.2K0.0072.91N/AN/A0045776
2007-07-09$10.68$12.5035.4%14.2%39.5%4.7%0.0%0.0%-0.9%4.5K-214.1K-1.2K0.0065.02N/AN/A0045776
2007-07-10$10.50$12.5034.0%14.0%35.8%3.5%0.0%0.0%0.6%4.3K-198.2K-1.2K0.0070.17N/AN/A0045776
2007-07-11$10.42$12.5032.7%13.8%35.0%2.4%0.0%0.0%-0.4%3.9K-184.6K-1.1K1.6769.43N/AN/A3545776
2007-07-12$10.60$12.5047.5%13.6%34.8%15.5%0.0%0.0%1.1%4.4K-203.6K-1.1K0.0065.77N/AN/A0046076
2007-07-13$10.45$12.5046.6%13.4%33.5%14.7%0.0%0.0%1.0%4.1K-190.1K-1.1K0.0074.21N/AN/A0046076
2007-07-16$10.34$12.5048.0%13.8%20.4%16.0%0.0%0.0%-0.0%3.6K-180.0K-1.1K0.0069.73N/AN/A0045076
2007-07-17$10.29$12.5045.4%13.0%20.0%13.6%0.0%0.0%1.0%3.5K-173.5K-1.1K0.0095.66N/AN/A0046076
2007-07-18$10.39$12.5048.4%13.9%20.5%16.3%0.0%0.0%-1.6%3.8K-182.5K-1.1K0.0076.57N/AN/A0146076
2007-07-19$10.41$12.5047.7%13.7%20.5%15.7%47.6%0.0%-1.4%3.8K-184.1K-1.1K0.0091.86N/AN/A18046075
2007-07-20$10.09$10.0042.5%12.2%22.8%11.1%0.0%0.0%1.7%2.8K-172.9K-1.0K0.0097.75N/AN/A0047875
2007-07-23$10.04$10.0046.6%13.4%22.4%14.7%0.0%0.0%1.4%5.6K-160.7K-1.0K0.0073.51N/AN/A0046050
2007-07-24$9.77$10.0048.9%14.0%23.8%16.7%0.0%0.0%-1.3%5.2K-125.1K-9600.00100.99N/AN/A0046050
2007-07-25$9.91$10.0046.6%13.4%24.5%14.7%0.0%0.0%0.6%5.4K-138.4K-9920.0098.49N/AN/A0046050
2007-07-26$9.43$10.0051.7%14.8%27.0%19.3%0.0%0.0%-3.5%4.7K-108.9K-8910.16110.23N/AN/A25446050
2007-07-27$9.36$10.0041.0%11.7%26.9%9.7%0.0%0.0%3.4%4.6K-99.5K-8180.00107.49N/AN/A0043546
2007-07-30$9.66$10.0043.4%12.4%29.9%11.8%0.0%-0.2%3.0%4.9K-116.1K-8700.0067.10N/AN/A28043546
2007-07-31$10.03$10.0053.5%15.3%32.5%20.8%0.0%3.5%-6.6%5.1K-140.8K-8860.00106.42N/AN/A0041746