ASGN Options History — August 2011

In August 2011, ASGN traded between $6.95 and $10.15. ATM implied volatility averaged 90.1%, placing in the 42.0% IV rank vs the trailing year. The 30-day expected move averaged 24.3%. IV traded above realized volatility by 14.7% (HV 20d: 75.4%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.06.

Notable Days

  • 2011-08-09: Highest Volume — 100 contracts
  • 2011-08-26: Largest IV spike — 184.0% change
  • 2011-08-26: Highest IV Rank — 92.8%
  • 2011-08-26: Largest Expected Move — 50.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.32$6.95$10.15$10.15$7.60
Max Pain$9.55$7.50$10.00$7.50$10.00
ATM IV90.1%45.9%177.1%51.7%66.5%
Expected Move24.3%13.2%50.8%14.8%19.1%
HV 20d75.4%53.3%91.3%55.5%91.3%
HV 60d61.7%52.5%68.4%53.4%66.5%
IV Rank42.0%16.1%92.8%19.5%28.1%
IV Percentile74.6%25.0%99.2%41.4%70.1%
Term Structure-9.9%-111.5%62.3%0.5%-3.6%
Skew 25d13.5%2.0%37.9%9.0%17.3%
Skew 10d22.3%6.9%64.7%17.4%13.2%
Call IV 25d56.2%47.2%79.2%47.2%49.2%
Put IV 25d69.7%52.4%106.2%56.2%66.5%
Bid-Ask Spread %117.3760.51197.1695.14117.63
Gamma HHI0.450.360.610.500.46
Net GEX1.6K1.0K2.2K1.5K1.2K
Net DEX-66.1K-122.1K-43.0K-50.0K-47.9K
Net VEX-279-405-187-220-263
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.060.000.310.000.00
Total Volume9.727010000
Total OI231.091129281129255

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-08-01$10.15$7.5051.7%14.8%55.5%19.5%0.0%9.0%0.5%1.5K-50.0K-2200.0095.14N/AN/A001218
2011-08-02$9.79$7.5045.9%13.2%54.6%16.1%0.0%2.0%2.1%1.4K-43.6K-2060.0092.89N/AN/A001218
2011-08-03$10.09$7.5062.0%17.8%54.4%25.6%0.0%37.9%-6.3%1.5K-43.1K-2040.0060.51N/AN/A4501218
2011-08-04$10.02$7.5084.0%24.1%54.0%38.4%0.0%11.1%-18.2%1.9K-86.7K-2580.3190.07N/AN/A2991668
2011-08-05$9.77$10.0081.3%17.7%53.3%36.8%0.0%6.5%-7.9%2.0K-78.1K-2450.00104.26N/AN/A001708
2011-08-08$8.46$10.0089.3%23.4%72.1%41.5%0.0%4.6%-13.4%1.8K-51.4K-1970.00117.67N/AN/A001708
2011-08-09$8.80$10.0079.4%19.3%73.9%35.7%0.0%26.8%8.1%1.5K-48.6K-1870.00102.93N/AN/A10001708
2011-08-10$8.17$10.00133.9%16.3%77.5%67.5%0.0%0.0%-3.5%1.6K-94.5K-3750.00101.06N/AN/A002708
2011-08-11$8.47$10.0094.8%27.2%78.1%44.7%0.0%8.4%-30.6%2.2K-105.7K-3860.00138.37N/AN/A002708
2011-08-12$8.28$10.0067.0%19.2%78.2%28.5%0.0%5.5%7.5%2.2K-96.7K-3700.00112.74N/AN/A002708
2011-08-15$8.32$10.00162.0%46.4%78.3%83.9%0.0%0.0%62.3%1.5K-122.1K-4050.00197.16N/AN/A302708
2011-08-16$8.41$10.0061.1%17.5%78.1%25.0%0.0%3.9%8.3%2.1K-90.8K-3310.00115.57N/AN/A002738
2011-08-17$8.38$10.00157.1%45.0%77.9%81.1%0.0%36.1%-111.5%1.5K-97.9K-3290.00149.97N/AN/A2602738
2011-08-19$7.31$10.0068.4%19.6%79.3%29.3%0.0%4.4%-3.6%2.2K-52.0K-2840.0098.85N/AN/A022678
2011-08-22$6.95$10.0069.5%19.9%78.5%29.9%0.0%9.9%-0.6%1.1K-46.3K-2670.00121.33N/AN/A002478
2011-08-23$7.38$10.00166.1%47.6%83.6%86.3%0.0%27.0%-47.8%1.6K-64.5K-2960.00165.18N/AN/A002478
2011-08-24$7.56$10.0065.9%18.9%85.0%27.8%0.0%9.9%1.1%1.2K-48.0K-2730.00109.52N/AN/A002478
2011-08-25$7.03$10.0062.4%17.9%86.6%25.8%0.0%5.8%-2.3%1.0K-43.0K-2560.00110.29N/AN/A002478
2011-08-26$7.36$10.00177.1%50.8%89.1%92.8%0.0%28.0%-53.5%1.6K-51.1K-2690.00163.81N/AN/A002478
2011-08-29$7.39$10.0069.8%20.0%89.4%30.1%0.0%9.8%-2.0%1.2K-47.2K-2650.00104.91N/AN/A002478
2011-08-30$7.29$10.0067.1%19.2%89.3%28.5%0.0%7.0%-1.8%1.1K-44.3K-2570.00112.19N/AN/A002478
2011-08-31$7.60$10.0066.5%19.1%91.3%28.1%0.0%17.3%-3.6%1.2K-47.9K-2630.00117.63N/AN/A002478