ASGN Options History — September 2015

In September 2015, ASGN traded between $34.78 and $38.52. ATM implied volatility averaged 39.4%, placing in the 37.9% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 8.3% (HV 20d: 31.0%). Max pain ranged from $30.00 to $40.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.52.

Notable Days

  • 2015-09-21: Highest Volume — 5,162 contracts
  • 2015-09-28: Largest IV spike — 45.6% change
  • 2015-09-01: Highest IV Rank — 89.0%
  • 2015-09-01: Largest Expected Move — 19.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.53$34.78$38.52$34.78$36.93
Max Pain$30.95$30.00$40.00$40.00$30.00
ATM IV39.4%24.9%66.5%66.5%37.3%
Expected Move10.7%7.1%19.1%19.1%10.7%
HV 20d31.0%25.8%34.1%31.9%27.6%
HV 60d26.7%25.5%28.9%25.9%28.9%
IV Rank37.9%10.5%89.0%89.0%33.9%
IV Percentile69.4%21.4%99.6%99.6%72.6%
Term Structure-0.0%-35.6%8.5%-35.6%6.8%
VWIV36.0%25.1%57.9%57.9%36.1%
Skew 25d8.5%2.1%22.5%20.5%5.3%
Skew 10d14.6%3.6%46.9%6.9%5.4%
Call IV 25d32.5%25.2%42.0%27.7%35.5%
Put IV 25d41.0%33.9%64.4%48.3%40.8%
Bid-Ask Spread %99.6189.01113.91110.88105.91
Gamma HHI0.450.410.550.430.50
Net GEX357.8K-236.6K965.9K276.8K965.9K
Net DEX-7.1M-17.9M438.4K-3.5M-16.7M
Net VEX-43.3K-68.5K-29.8K-46.5K-68.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.001.121.120.68
Total Volume1,226.85715,162233170
Total OI10,472.7625,14312,66110,85012,661

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$34.78$40.0066.5%19.1%31.9%89.0%57.9%20.5%-35.6%276.8K-3.5M-46.5K1.12110.88N/AN/A1101238,4052,445
2015-09-02$35.36$40.0053.2%15.2%31.9%63.9%46.3%18.2%-15.5%242.1K-2.6M-42.7K0.59112.09N/AN/A111668,4012,440
2015-09-03$35.58$30.0064.7%10.4%31.9%85.7%37.8%13.0%2.1%284.9K-3.1M-44.2K0.62103.16N/AN/A107668,4012,440
2015-09-04$35.28$30.0049.0%11.6%31.9%56.0%49.3%22.5%-2.2%140.9K-1.6M-40.3K0.62104.50N/AN/A107668,4012,440
2015-09-08$35.89$30.0045.7%10.8%32.3%49.9%0.0%8.4%1.3%157.2K-2.4M-37.3K0.0093.76N/AN/A108,4012,440
2015-09-09$35.53$30.0037.0%10.6%32.3%33.4%36.8%4.4%1.2%-36.8K-1.4M-36.6K0.7689.01N/AN/A89688,4012,440
2015-09-10$34.97$30.0036.4%10.5%32.5%32.4%40.0%3.4%1.1%-157.2K438.4K-30.6K0.8496.72N/AN/A89758,4042,434
2015-09-11$35.36$30.0036.4%10.4%33.0%32.3%36.9%8.6%1.8%-236.6K13.3K-30.3K0.7391.28N/AN/A103758,4042,434
2015-09-14$35.67$30.0035.0%10.0%32.6%29.7%36.1%6.2%2.9%-172.8K-789.9K-29.9K0.7495.37N/AN/A101758,4042,434
2015-09-15$36.40$30.0035.7%10.2%32.6%30.9%0.0%3.8%2.4%-57.7K-2.9M-31.0K0.34100.03N/AN/A29108,4052,434
2015-09-16$37.17$30.0034.8%10.0%33.8%29.2%32.5%3.1%2.5%316.3K-4.6M-32.6K0.6893.55N/AN/A111758,4032,425
2015-09-17$37.10$30.0040.9%11.7%33.7%40.7%31.2%3.4%-8.7%319.7K-5.0M-31.7K0.63113.91N/AN/A120758,4032,425
2015-09-18$37.05$30.0033.2%9.5%32.9%26.3%31.6%2.1%2.6%316.5K-4.5M-29.8K0.7599.96N/AN/A100758,3992,425
2015-09-21$38.26$30.0027.7%7.9%34.1%15.8%27.7%8.4%6.7%367.5K-5.6M-32.1K0.0191.92N/AN/A5,106564,914229
2015-09-22$37.62$30.0024.9%7.1%29.4%10.5%28.0%6.0%8.5%797.5K-15.8M-59.2K0.0189.98N/AN/A5,106569,959229
2015-09-23$38.18$30.0028.0%8.0%26.5%16.3%28.1%5.9%6.8%831.5K-16.7M-59.4K0.0191.42N/AN/A5,096619,959231
2015-09-24$38.00$30.0028.6%8.2%25.9%17.5%29.4%5.9%6.4%819.5K-16.5M-59.2K0.01101.14N/AN/A5,096619,980231
2015-09-25$38.52$30.0030.4%8.7%25.8%20.9%30.5%9.0%5.6%840.6K-17.9M-59.6K0.83104.22N/AN/A65549,980231
2015-09-28$37.18$30.0044.2%12.7%28.8%47.0%25.1%16.5%-1.0%765.6K-14.7M-55.3K0.98102.17N/AN/A65649,985228
2015-09-29$36.32$30.0037.3%10.7%30.0%34.0%41.9%3.1%3.5%733.0K-12.4M-52.2K0.02100.78N/AN/A2,617649,985238
2015-09-30$36.93$30.0037.3%10.7%27.6%33.9%36.1%5.3%6.8%965.9K-16.7M-68.5K0.68105.91N/AN/A1016912,423238