ASGN Options History — May 2012

In May 2012, ASGN traded between $15.95 and $18.05. ATM implied volatility averaged 46.9%, placing in the 7.7% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 0.5% (HV 20d: 46.4%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.20.

Notable Days

  • 2012-05-23: Highest Volume — 178 contracts
  • 2012-05-30: Largest IV spike — 12.7% change
  • 2012-05-07: Highest IV Rank — 11.9%
  • 2012-05-15: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.75$15.95$18.05$18.00$16.66
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV46.9%39.3%51.6%47.6%42.2%
Expected Move13.4%11.3%14.8%13.6%12.1%
HV 20d46.4%33.4%52.9%52.5%33.7%
HV 60d65.3%63.0%69.1%67.8%63.0%
IV Rank7.7%2.1%11.9%10.1%3.9%
IV Percentile23.7%1.6%42.9%28.6%5.2%
Term Structure2.1%-3.1%7.4%-1.0%6.5%
VWIV45.5%41.5%49.0%48.0%41.5%
Skew 25d4.1%-9.3%14.4%-4.5%-6.6%
Skew 10d8.3%-9.8%42.7%-9.8%17.9%
Call IV 25d41.1%32.4%47.0%47.0%41.7%
Put IV 25d45.3%34.2%51.8%42.4%35.1%
Bid-Ask Spread %87.2154.3598.1781.1994.15
Gamma HHI0.410.330.500.330.50
Net GEX6.2K3.5K11.4K7.2K11.1K
Net DEX-198.9K-329.3K-107.0K-313.0K-245.6K
Net VEX-1.2K-1.5K-1.1K-1.2K-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.200.006.000.280.71
Total Volume18.95501784136
Total OI476400563449561

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$18.00$17.5047.6%13.6%52.5%10.1%48.0%-4.5%-1.0%7.2K-313.0K-1.2K0.2881.19N/AN/A329343106
2012-05-02$18.05$17.5048.7%14.0%51.2%10.8%0.0%12.9%-2.3%6.4K-305.6K-1.2K0.0095.05N/AN/A140340115
2012-05-03$17.25$17.5049.6%14.2%52.4%11.3%0.0%-0.4%-3.1%5.8K-247.5K-1.2K4.5095.74N/AN/A29340115
2012-05-04$16.65$17.5047.5%13.5%52.9%10.0%49.0%2.5%2.0%5.1K-182.6K-1.2K0.2769.61N/AN/A4512342122
2012-05-07$16.45$17.5050.5%13.7%51.9%11.9%48.0%12.3%1.2%4.6K-157.1K-1.2K0.4374.72N/AN/A73332121
2012-05-08$16.71$17.5046.5%13.8%49.6%9.4%0.0%14.4%0.7%5.2K-172.4K-1.2K0.0083.75N/AN/A05339121
2012-05-09$16.49$17.5051.4%14.1%48.5%11.3%0.0%10.6%-0.6%4.8K-161.8K-1.2K0.0085.28N/AN/A02339126
2012-05-10$16.57$17.5048.1%13.8%48.0%8.9%0.0%12.5%1.1%5.0K-158.8K-1.2K0.0082.61N/AN/A30339128
2012-05-11$16.38$17.5047.8%13.7%48.1%7.4%0.0%5.8%1.5%4.7K-143.3K-1.2K0.0086.10N/AN/A03339128
2012-05-14$15.95$17.5050.0%14.3%48.5%8.8%0.0%0.8%1.4%3.5K-107.0K-1.1K0.0087.54N/AN/A00339131
2012-05-15$16.23$17.5051.6%14.8%48.4%9.8%0.0%6.7%2.2%4.1K-123.7K-1.1K0.0089.80N/AN/A00339130
2012-05-16$16.50$17.5047.9%13.7%48.9%7.5%0.0%8.1%0.7%4.9K-147.2K-1.1K2.5090.34N/AN/A25339130
2012-05-17$16.37$17.5047.8%13.7%48.0%7.4%0.0%6.9%0.7%4.6K-140.9K-1.1K0.0090.89N/AN/A00338128
2012-05-18$16.29$17.5048.7%14.0%47.9%8.0%0.0%5.3%0.0%3.8K-133.9K-1.1K0.0089.82N/AN/A00338128
2012-05-21$16.89$17.5044.9%12.9%47.7%5.6%0.0%6.6%4.5%3.9K-175.1K-1.1K0.0092.83N/AN/A130289111
2012-05-22$16.75$17.5046.1%13.2%47.6%6.4%45.2%5.6%2.8%3.8K-166.7K-1.1K0.0089.53N/AN/A150289111
2012-05-23$17.10$17.5043.6%12.5%45.2%4.8%43.6%1.3%5.1%4.0K-198.7K-1.1K0.0354.35N/AN/A1726294111
2012-05-24$17.25$17.5043.3%12.4%45.0%4.6%43.3%1.9%6.0%11.0K-329.3K-1.5K3.3395.97N/AN/A310446117
2012-05-25$16.64$17.5043.3%12.4%35.4%4.6%0.0%2.5%4.0%10.6K-266.2K-1.4K0.0096.53N/AN/A10446107
2012-05-29$16.73$17.5039.3%11.3%35.5%2.1%0.0%-4.8%7.4%11.4K-251.8K-1.3K6.0094.58N/AN/A16447107
2012-05-30$16.51$17.5044.3%12.7%33.4%5.2%0.0%-9.3%4.7%10.7K-246.4K-1.3K0.0098.17N/AN/A10448113
2012-05-31$16.66$17.5042.2%12.1%33.7%3.9%41.5%-6.6%6.5%11.1K-245.6K-1.3K0.7194.15N/AN/A2115448113