ASGN Options History — September 2013

In September 2013, ASGN traded between $30.69 and $33.60. ATM implied volatility averaged 29.5%, placing in the 29.5% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 4.7% (HV 20d: 24.8%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.95.

Notable Days

  • 2013-09-03: Highest Volume — 122 contracts
  • 2013-09-12: Largest IV spike — 49.3% change
  • 2013-09-16: Highest IV Rank — 48.4%
  • 2013-09-16: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.61$30.69$33.60$30.69$33.00
Max Pain$29.50$25.00$30.00$30.00$30.00
ATM IV29.5%18.7%36.2%32.6%24.9%
Expected Move9.1%7.1%10.4%9.3%7.1%
HV 20d24.8%21.0%26.7%23.7%21.0%
HV 60d35.5%34.3%36.5%35.8%34.3%
IV Rank29.5%0.0%48.4%35.7%17.3%
IV Percentile21.9%0.0%63.9%27.0%3.6%
Term Structure4.2%-1.3%20.1%2.2%20.1%
VWIV32.8%27.7%48.9%32.7%28.2%
Skew 25d2.9%-10.6%18.5%18.5%17.8%
Skew 10d8.4%-9.4%35.3%35.3%12.8%
Call IV 25d28.9%16.4%34.3%26.9%16.4%
Put IV 25d31.8%20.3%45.3%45.3%34.2%
Bid-Ask Spread %26.8311.5457.4022.3143.98
Gamma HHI0.400.320.470.390.43
Net GEX9.7K1.2K25.1K13.4K3.2K
Net DEX-1.2M-1.7M-755.8K-858.2K-755.8K
Net VEX-4.5K-5.8K-3.9K-5.8K-3.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.0010.0910.090.00
Total Volume23.7501221220
Total OI1,367.851,1051,5601,5601,116

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$30.69$30.0032.6%9.3%23.7%35.7%32.7%18.5%2.2%13.4K-858.2K-5.8K10.0922.31N/AN/A11111729831
2013-09-04$31.31$25.0034.2%9.8%24.3%40.3%29.9%11.2%-1.0%25.1K-1.2M-5.3K0.3312.80N/AN/A31726737
2013-09-05$31.66$25.0035.8%10.3%24.0%44.9%48.9%14.5%0.9%21.9K-1.3M-5.2K0.3628.78N/AN/A145724738
2013-09-06$31.82$30.0029.1%9.6%24.0%25.6%0.0%1.8%4.5%20.7K-1.3M-5.0K0.0022.04N/AN/A40714743
2013-09-09$32.83$30.0018.7%9.3%26.3%0.0%27.7%4.5%2.3%1.6K-1.6M-4.3K0.0057.40N/AN/A470716743
2013-09-10$33.04$30.0019.2%9.3%25.9%1.6%32.5%2.1%4.2%16.4K-1.6M-4.5K0.0035.36N/AN/A560719743
2013-09-11$32.68$30.0022.2%9.4%26.3%9.8%0.0%2.8%3.1%16.9K-1.5M-4.6K0.0011.54N/AN/A720712743
2013-09-12$32.03$30.0033.1%9.5%26.7%40.0%32.8%0.8%3.8%18.9K-1.3M-4.7K0.0016.52N/AN/A90705743
2013-09-13$32.20$30.0033.8%9.7%25.4%41.7%0.0%3.1%3.0%18.1K-1.3M-4.7K0.0014.32N/AN/A20707743
2013-09-16$32.26$30.0036.2%10.4%25.2%48.4%33.6%2.9%-1.3%1.2K-1.4M-4.5K0.1814.96N/AN/A6812707743
2013-09-17$32.99$30.0031.2%8.9%25.9%34.6%0.0%5.2%2.7%3.3K-1.6M-4.3K0.0034.48N/AN/A20762743
2013-09-18$33.11$30.0032.6%9.3%25.7%38.4%0.0%5.9%3.8%4.3K-1.6M-4.2K0.0016.19N/AN/A30762743
2013-09-19$33.21$30.0030.9%8.8%25.6%33.7%31.1%1.7%4.4%6.5K-1.6M-4.3K0.0017.31N/AN/A230754743
2013-09-20$33.34$30.0030.9%8.9%25.3%34.0%0.0%2.0%4.3%2.6K-1.7M-4.3K0.0021.33N/AN/A00761743
2013-09-23$33.04$30.0025.9%7.4%25.2%20.1%0.0%-9.1%2.6%3.0K-783.7K-4.0K0.2235.34N/AN/A184466639
2013-09-24$33.60$30.0030.5%8.7%25.0%32.6%30.6%-6.0%5.9%4.4K-837.8K-4.0K4.0031.63N/AN/A14468643
2013-09-25$33.01$30.0029.2%8.4%23.5%29.0%0.0%-4.7%8.4%3.6K-768.9K-4.1K0.0033.22N/AN/A00469647
2013-09-26$33.07$30.0031.2%8.9%23.5%34.5%28.2%-10.6%3.1%2.3K-769.2K-4.1K0.0035.13N/AN/A40469647
2013-09-27$33.25$30.0028.5%8.2%23.1%27.3%0.0%-6.7%6.0%5.5K-808.7K-4.0K0.0031.89N/AN/A01469647
2013-09-30$33.00$30.0024.9%7.1%21.0%17.3%0.0%17.8%20.1%3.2K-755.8K-3.9K0.0043.98N/AN/A00469647