ASGN Options History — December 2014

In December 2014, ASGN traded between $30.62 and $34.04. ATM implied volatility averaged 34.1%, placing in the 27.9% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 10.9% (HV 20d: 23.2%). Max pain ranged from $25.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.55.

Notable Days

  • 2014-12-16: Highest Volume — 474 contracts
  • 2014-12-04: Largest IV spike — 56.8% change
  • 2014-12-10: Highest IV Rank — 48.3%
  • 2014-12-12: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.09$30.62$34.04$30.91$33.19
Max Pain$27.50$25.00$35.00$25.00$35.00
ATM IV34.1%22.8%44.9%25.0%22.8%
Expected Move9.8%7.2%12.6%10.1%9.3%
HV 20d23.2%18.0%25.9%18.0%25.9%
HV 60d29.8%29.0%30.2%29.0%30.0%
IV Rank27.9%6.5%48.3%10.7%6.5%
IV Percentile50.7%1.6%94.0%2.8%1.6%
Term Structure0.3%-16.9%11.3%11.3%5.1%
VWIV33.9%22.5%40.7%35.0%23.3%
Skew 25d9.0%-3.7%26.9%7.9%6.3%
Skew 10d21.5%-4.4%58.6%10.9%7.7%
Call IV 25d33.2%21.2%47.5%23.3%27.7%
Put IV 25d42.2%27.8%65.0%31.2%33.9%
Bid-Ask Spread %91.6771.85122.5778.3972.82
Gamma HHI0.620.540.740.630.70
Net GEX123.9K65.6K195.1K157.2K74.0K
Net DEX-2.7M-4.1M-1.8M-2.7M-1.8M
Net VEX-6.8K-8.3K-5.5K-8.2K-5.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.001.200.790.00
Total Volume216.5247418611
Total OI1,954.0451,2152,4042,2731,263

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$30.91$25.0025.0%10.1%18.0%10.7%35.0%7.9%11.3%157.2K-2.7M-8.2K0.7978.39N/AN/A104821,946327
2014-12-02$31.22$25.0029.9%10.8%18.1%19.9%34.9%5.1%2.6%153.2K-3.0M-8.1K0.6971.85N/AN/A121831,972340
2014-12-03$31.78$25.0024.9%10.7%18.7%10.5%35.7%11.3%0.2%135.5K-3.4M-8.3K0.6783.08N/AN/A134901,968346
2014-12-04$31.03$25.0039.0%10.3%21.1%37.1%35.5%15.8%-5.0%164.3K-2.6M-8.2K0.0099.43N/AN/A201,955354
2014-12-05$31.91$25.0027.1%8.8%21.9%14.8%34.8%7.2%-3.8%132.1K-3.3M-7.6K1.2091.61N/AN/A75901,954354
2014-12-08$31.30$25.0029.5%10.3%23.2%19.2%34.9%9.7%5.1%195.1K-3.1M-7.4K0.3975.71N/AN/A2771081,955354
2014-12-09$31.84$25.0032.5%10.9%23.7%24.9%36.2%11.3%4.9%127.9K-3.1M-7.2K0.9973.29N/AN/A1091081,886334
2014-12-10$31.50$25.0044.9%11.4%24.0%48.3%40.7%19.1%9.9%161.0K-2.8M-7.3K1.0884.97N/AN/A1001081,893334
2014-12-11$31.82$25.0037.5%11.2%23.0%34.3%36.9%2.9%7.7%125.7K-3.1M-7.1K0.8086.80N/AN/A1441151,892334
2014-12-12$31.25$25.0042.3%12.6%22.6%43.4%37.6%9.7%0.2%127.8K-2.8M-7.5K0.7880.65N/AN/A1441131,942333
2014-12-15$30.91$25.0041.1%9.1%22.8%41.0%36.4%-1.4%-2.7%183.3K-2.7M-6.5K0.8277.56N/AN/A1341101,942339
2014-12-16$30.62$25.0028.1%9.2%23.0%16.6%37.0%-3.7%5.4%179.2K-2.6M-6.0K0.3089.76N/AN/A3641101,943312
2014-12-17$31.09$25.0036.9%11.0%23.6%33.2%36.2%26.9%-3.5%168.0K-2.9M-6.6K0.3196.08N/AN/A3531102,092312
2014-12-18$32.04$25.0038.1%11.1%25.0%35.5%35.3%14.3%7.0%140.9K-3.5M-6.5K0.44101.36N/AN/A2481082,052312
2014-12-19$32.47$25.0037.3%8.8%24.8%34.0%29.1%6.7%-6.7%67.4K-4.1M-6.0K0.00106.98N/AN/A1302,016306
2014-12-22$32.87$0.0034.9%8.7%25.0%29.4%0.0%6.0%-0.9%65.6K-1.8M-6.1K0.34111.04N/AN/A183621,079147
2014-12-23$33.29$0.0034.3%8.1%25.2%28.2%30.8%17.4%-1.0%68.5K-1.9M-5.9K0.2899.77N/AN/A232641,069147
2014-12-24$33.66$35.0039.9%7.2%25.3%38.8%22.5%17.3%-16.9%74.6K-1.9M-5.8K0.54122.57N/AN/A115621,067149
2014-12-26$33.80$35.0036.5%8.7%25.3%32.5%31.9%-0.3%-3.4%76.2K-1.9M-5.5K0.70106.62N/AN/A89621,067148
2014-12-29$34.04$35.0036.1%7.4%24.5%31.7%23.3%11.5%-9.7%73.3K-2.1M-5.8K0.48121.84N/AN/A129621,078148
2014-12-30$33.55$35.0031.0%9.1%25.4%22.1%0.0%-3.3%0.7%76.1K-1.9M-5.7K0.0084.47N/AN/A0351,080148
2014-12-31$33.19$35.0022.8%9.3%25.9%6.5%0.0%6.3%5.1%74.0K-1.8M-5.7K0.0072.82N/AN/A1101,080183