ASGN Options History — November 2015

In November 2015, ASGN traded between $45.01 and $47.32. ATM implied volatility averaged 29.9%, placing in the 22.0% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 1.9% (HV 20d: 31.8%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 3.78.

Notable Days

  • 2015-11-02: Highest Volume — 824 contracts
  • 2015-11-11: Largest IV drop — 10.3% change
  • 2015-11-10: Highest IV Rank — 26.3%
  • 2015-11-17: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.49$45.01$47.32$45.94$46.68
Max Pain$39.00$35.00$40.00$35.00$40.00
ATM IV29.9%27.9%31.8%30.4%30.3%
Expected Move8.5%8.0%9.1%8.7%8.7%
HV 20d31.8%19.8%34.6%33.5%19.8%
HV 60d31.5%28.7%33.4%33.0%28.8%
IV Rank22.0%18.0%26.3%23.5%20.3%
IV Percentile48.0%40.1%53.6%51.6%49.6%
Term Structure1.9%-2.3%4.9%-2.3%0.1%
VWIV28.6%21.8%31.1%29.5%21.8%
Skew 25d3.6%-0.2%11.4%6.0%1.0%
Skew 10d7.4%0.5%16.0%8.3%0.9%
Call IV 25d27.4%19.5%30.4%24.3%30.4%
Put IV 25d31.0%28.8%33.8%30.4%31.4%
Bid-Ask Spread %86.8279.1696.3596.3587.79
Gamma HHI0.540.470.650.540.51
Net GEX564.0K203.8K901.7K901.7K234.8K
Net DEX-37.0M-45.2M-17.3M-44.1M-17.8M
Net VEX-15.0K-27.7K-7.6K-27.7K-7.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.780.0060.000.2560.00
Total Volume318.65882482461
Total OI10,176.24,62212,72112,7214,676

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$45.94$35.0030.4%8.7%33.5%23.5%29.5%6.0%-2.3%901.7K-44.1M-27.7K0.2596.35N/AN/A65916511,1651,556
2015-11-03$46.71$35.0030.7%8.8%32.8%24.1%31.1%-0.2%-2.3%728.4K-45.0M-23.3K0.2594.17N/AN/A64816510,7801,625
2015-11-04$46.65$35.0030.2%8.7%33.0%23.0%27.0%11.4%-0.7%636.9K-43.2M-20.2K1.1796.25N/AN/A14116510,2551,625
2015-11-05$46.51$35.0030.5%8.3%33.1%23.4%29.2%3.0%2.8%654.7K-43.1M-19.8K2.1181.28N/AN/A10923010,2691,625
2015-11-06$46.92$40.0028.2%8.0%33.0%18.7%0.0%3.1%3.9%590.9K-44.3M-17.1K0.0081.88N/AN/A8010,2731,695
2015-11-09$46.04$40.0030.6%8.2%34.4%23.8%28.7%2.9%3.9%728.4K-42.2M-19.0K0.0084.90N/AN/A10010,2791,695
2015-11-10$46.42$40.0031.8%8.3%32.8%26.3%29.1%2.3%3.1%661.1K-43.1M-18.3K2.1079.16N/AN/A11524210,2711,695
2015-11-11$46.25$40.0028.5%8.2%32.8%19.3%29.1%8.3%3.5%668.7K-43.2M-16.6K2.1090.26N/AN/A11524210,2711,698
2015-11-12$45.01$40.0027.9%8.0%34.2%18.0%29.3%4.7%4.5%889.0K-39.7M-19.2K1.3787.99N/AN/A14720210,2481,708
2015-11-13$45.80$40.0028.8%8.2%34.3%19.8%29.6%7.0%4.0%802.9K-41.9M-15.7K1.5494.84N/AN/A12619410,2641,708
2015-11-16$45.80$40.0030.2%8.7%34.4%22.8%30.3%2.6%3.8%854.9K-41.9M-16.4K0.0583.69N/AN/A21110,2621,708
2015-11-17$46.66$40.0031.7%9.1%34.6%26.1%30.0%4.3%1.9%629.7K-44.0M-13.9K1.1280.69N/AN/A14816610,2521,709
2015-11-18$46.94$40.0030.2%8.7%33.0%22.9%28.8%1.6%3.1%556.3K-45.0M-11.3K1.1388.56N/AN/A15117010,2561,708
2015-11-19$46.80$40.0029.3%8.4%33.1%20.9%28.5%0.2%4.9%545.0K-45.2M-10.3K0.2383.30N/AN/A62914210,2561,713
2015-11-20$47.32$40.0030.2%8.7%31.8%22.8%29.0%2.1%3.1%241.6K-45.1M-8.5K0.2283.09N/AN/A6291369,9461,725
2015-11-23$47.17$40.0029.6%8.5%31.9%21.6%26.8%5.0%3.8%203.8K-18.1M-8.0K0.0084.83N/AN/A4404,204418
2015-11-24$46.50$40.0029.5%8.5%31.9%21.3%0.0%0.8%-0.4%263.0K-17.3M-9.2K0.0082.91N/AN/A1004,232418
2015-11-25$46.66$40.0029.5%8.5%31.4%21.4%28.3%4.8%-1.4%258.2K-17.6M-9.0K1.0189.49N/AN/A95964,242418
2015-11-27$47.01$40.0030.1%8.6%20.2%19.9%29.3%0.5%-1.8%229.6K-18.0M-8.1K1.0184.92N/AN/A95964,256420
2015-11-30$46.68$40.0030.3%8.7%19.8%20.3%21.8%1.0%0.1%234.8K-17.8M-7.6K60.0087.79N/AN/A1604,256420