ASGN Options History — November 2012

In November 2012, ASGN traded between $18.17 and $20.63. ATM implied volatility averaged 34.2%, placing in the 6.2% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 0.0% (HV 20d: 34.2%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.68.

Notable Days

  • 2012-11-27: Highest Volume — 71 contracts
  • 2012-11-15: Largest IV spike — 32.4% change
  • 2012-11-16: Highest IV Rank — 17.3%
  • 2012-11-16: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.30$18.17$20.63$19.72$19.93
Max Pain$18.10$17.50$20.00$20.00$20.00
ATM IV34.2%25.6%42.9%40.6%26.8%
Expected Move10.7%7.7%12.3%11.6%7.7%
HV 20d34.2%27.9%36.7%27.9%33.2%
HV 60d36.3%35.2%37.7%35.4%36.1%
IV Rank6.2%0.0%17.3%5.0%1.1%
IV Percentile4.2%0.0%21.4%6.3%0.8%
Term Structure2.9%-0.5%6.8%2.4%6.3%
VWIV35.5%21.8%42.3%37.4%21.8%
Skew 25d2.5%-4.9%12.8%0.7%1.1%
Skew 10d3.2%-8.4%17.5%2.9%1.7%
Call IV 25d33.4%22.6%41.7%34.1%22.9%
Put IV 25d35.9%22.2%43.7%34.8%23.9%
Bid-Ask Spread %30.6213.6051.3444.5518.75
Gamma HHI0.630.420.790.720.60
Net GEX15.5K5.7K29.4K22.0K7.4K
Net DEX-214.2K-529.8K-78.5K-327.2K-200.5K
Net VEX-1.4K-1.6K-1.2K-1.6K-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.006.100.000.00
Total Volume15.3810711010
Total OI527.667377611528515

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$19.72$20.0040.6%11.6%27.9%5.0%0.0%0.7%2.4%22.0K-327.2K-1.6K0.0044.55N/AN/A100427101
2012-11-02$19.70$20.0037.4%10.7%27.9%1.6%37.4%-1.7%4.3%24.2K-344.3K-1.6K0.0021.75N/AN/A250437101
2012-11-05$20.00$17.5038.8%11.3%28.3%3.1%0.0%1.6%4.6%29.4K-412.0K-1.6K0.1826.45N/AN/A112462101
2012-11-06$20.63$17.5040.5%12.1%30.3%4.8%40.9%5.0%-0.5%28.7K-529.8K-1.6K0.2827.30N/AN/A4011463103
2012-11-07$19.50$17.5036.8%12.0%36.4%1.0%42.3%1.4%1.2%29.4K-303.2K-1.6K1.1727.23N/AN/A67478113
2012-11-08$19.02$17.5025.9%11.7%36.7%0.0%41.1%2.1%1.1%23.9K-187.4K-1.4K0.0051.34N/AN/A220481114
2012-11-09$19.09$17.5025.6%11.6%36.7%0.0%34.9%12.8%1.6%25.0K-197.6K-1.4K0.6042.77N/AN/A106483114
2012-11-12$19.01$17.5031.1%11.8%36.6%5.2%40.7%8.4%2.6%21.3K-165.6K-1.4K0.0044.03N/AN/A20483120
2012-11-13$18.70$17.5034.2%12.2%35.7%8.6%0.0%5.4%0.9%18.9K-164.6K-1.3K0.0020.89N/AN/A00483120
2012-11-14$18.17$17.5032.3%12.3%35.9%6.6%0.0%-4.9%0.4%5.7K-78.5K-1.2K0.0047.03N/AN/A80483120
2012-11-15$18.50$17.5042.7%12.3%35.5%17.1%0.0%1.1%0.9%6.4K-96.4K-1.2K0.0023.57N/AN/A30491120
2012-11-16$18.29$17.5042.9%12.3%35.3%17.3%40.3%-2.8%0.6%6.0K-84.2K-1.2K0.4022.30N/AN/A52490120
2012-11-19$18.76$17.5033.5%9.6%36.3%7.9%36.5%5.7%3.8%7.3K-113.2K-1.2K0.2126.44N/AN/A286263114
2012-11-20$18.98$17.5041.0%11.7%35.2%15.4%33.3%5.2%4.5%8.7K-148.2K-1.3K0.0050.34N/AN/A200291119
2012-11-21$19.29$17.5034.6%9.9%35.7%9.0%0.0%6.4%1.8%10.8K-191.3K-1.4K0.0029.15N/AN/A010311119
2012-11-23$19.47$17.5033.4%9.6%35.7%7.7%0.0%8.5%3.1%11.5K-195.1K-1.4K0.0027.40N/AN/A00311129
2012-11-26$19.56$17.5034.4%9.9%35.0%8.7%0.0%-3.2%3.6%11.8K-201.7K-1.4K0.0037.95N/AN/A00311129
2012-11-27$19.37$17.5028.7%8.2%35.1%3.1%28.7%-4.0%6.8%12.5K-191.7K-1.3K6.1019.72N/AN/A1061311129
2012-11-28$19.68$20.0028.7%8.2%34.8%3.1%0.0%2.1%6.0%7.1K-153.4K-1.5K2.0013.60N/AN/A12320189
2012-11-29$19.98$20.0028.6%8.2%35.1%3.0%28.6%2.4%4.8%7.0K-212.5K-1.5K0.0020.42N/AN/A50321191
2012-11-30$19.93$20.0026.8%7.7%33.2%1.1%21.8%1.1%6.3%7.4K-200.5K-1.5K0.0018.75N/AN/A010324191