ASGN Options History — August 2007

In August 2007, ASGN traded between $10.15 and $11.48. ATM implied volatility averaged 48.4%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded below realized volatility by 10.5% (HV 20d: 58.9%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 0.31.

Notable Days

  • 2007-08-16: Highest Volume — 3,591 contracts
  • 2007-08-16: Largest IV spike — 44.7% change
  • 2007-08-13: Highest IV Rank — 34.0%
  • 2007-08-16: Largest Expected Move — 19.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.81$10.15$11.48$10.33$10.58
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV48.4%35.8%68.3%49.5%53.4%
Expected Move13.4%10.3%19.6%14.2%15.3%
HV 20d58.9%34.6%67.2%34.6%44.5%
HV 60d44.9%35.2%47.7%35.2%46.1%
IV Rank16.3%5.1%34.0%17.3%20.8%
IV Percentile61.8%15.1%98.0%73.1%88.0%
Term Structure-1.2%-10.1%11.0%-0.4%-7.5%
VWIV51.0%39.7%69.5%48.0%47.0%
Skew 25d5.2%2.6%21.3%8.0%5.4%
Skew 10d5.4%1.8%9.8%6.7%6.6%
Call IV 25d48.2%46.8%49.7%46.8%48.0%
Put IV 25d53.4%51.0%71.1%54.8%53.4%
Bid-Ask Spread %103.0767.52134.52102.89120.34
Gamma HHI0.680.470.920.500.88
Net GEX33.0K5.2K73.8K5.4K73.8K
Net DEX-801.2K-1.8M-148.4K-163.0K-1.0M
Net VEX-4.5K-9.7K-903-909-6.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.310.001.430.340.00
Total Volume165.52203,591470
Total OI2,098.5224634,0004634,000

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-08-01$10.33$10.0049.5%14.2%34.6%17.3%48.0%8.0%-0.4%5.4K-163.0K-9090.34102.89N/AN/A351241746
2007-08-02$11.48$10.0035.8%10.3%51.2%5.1%39.7%5.6%11.0%5.8K-287.0K-9580.95115.61N/AN/A212044248
2007-08-03$10.86$10.0039.1%11.2%55.3%8.0%0.0%21.3%8.6%5.2K-209.6K-1.0K0.00126.94N/AN/A01043168
2007-08-06$11.10$10.0045.0%12.5%55.8%13.2%69.5%3.9%0.2%5.5K-231.9K-1.0K0.00112.46N/AN/A15043178
2007-08-07$11.00$10.0042.9%13.7%55.5%11.4%0.0%3.8%-5.0%5.4K-214.3K-1.0K0.00100.83N/AN/A0042278
2007-08-08$11.24$10.0045.5%11.1%55.8%13.7%0.0%3.6%10.3%5.3K-226.2K-1.0K1.4395.68N/AN/A71042278
2007-08-09$10.62$10.0044.1%12.2%59.4%12.5%0.0%4.3%-0.9%5.6K-184.5K-9681.00114.07N/AN/A2242271
2007-08-10$11.07$10.0050.8%13.1%60.9%18.5%47.0%4.5%0.4%5.3K-219.4K-1.0K0.00104.73N/AN/A0642469
2007-08-13$10.84$10.0068.3%12.9%61.4%34.0%0.0%4.5%-0.4%5.4K-216.2K-9670.00109.29N/AN/A0042469
2007-08-14$10.40$10.0049.2%13.1%63.3%17.0%0.0%3.1%-1.4%5.7K-166.9K-9320.0098.99N/AN/A0042469
2007-08-15$10.15$10.0047.2%13.5%63.8%15.2%0.0%5.1%-5.6%5.9K-148.4K-9030.0067.52N/AN/A7042469
2007-08-16$10.25$10.0068.2%19.6%63.9%33.9%0.0%3.6%1.5%5.7K-148.9K-9170.00115.14N/AN/A3,591042469
2007-08-17$10.97$10.0049.9%14.3%67.2%17.7%0.0%3.3%-6.1%38.1K-1.0M-5.7K0.00104.98N/AN/A002,39969
2007-08-20$10.94$10.0046.9%13.4%67.2%15.0%0.0%5.0%-4.4%61.7K-1.6M-9.2K0.0087.69N/AN/A5003,86869
2007-08-21$11.05$10.0052.0%14.9%66.2%19.5%0.0%3.4%-6.5%64.2K-1.7M-9.7K0.0071.15N/AN/A303,91869
2007-08-22$11.18$10.0044.9%12.9%66.1%13.2%0.0%6.3%2.9%66.3K-1.8M-9.7K0.00109.86N/AN/A003,92169
2007-08-23$11.04$10.0047.0%13.5%63.2%15.0%0.0%3.4%-10.1%64.8K-1.8M-9.7K0.00134.52N/AN/A003,92169
2007-08-24$10.83$10.0047.9%13.7%63.7%15.9%0.0%4.1%-8.4%64.5K-1.5M-8.7K0.0089.62N/AN/A003,92169
2007-08-27$10.68$10.0048.1%13.8%63.5%16.0%0.0%5.1%-6.1%62.6K-1.4M-8.6K0.0087.50N/AN/A803,92169
2007-08-28$10.64$10.0053.1%15.2%62.4%20.5%0.0%4.3%-6.7%71.1K-1.4M-8.7K0.00120.54N/AN/A503,92669
2007-08-29$10.77$10.0042.0%12.0%61.7%10.6%0.0%5.0%6.3%63.3K-1.4M-8.4K0.0087.80N/AN/A303,93169
2007-08-30$10.56$10.0042.3%12.1%48.4%10.9%0.0%2.6%-0.5%61.5K-1.3M-7.9K0.0092.47N/AN/A003,93169
2007-08-31$10.58$10.0053.4%15.3%44.5%20.8%0.0%5.4%-7.5%73.8K-1.0M-6.7K0.00120.34N/AN/A003,93169