ASGN Options History — December 2015

In December 2015, ASGN traded between $42.77 and $47.64. ATM implied volatility averaged 28.3%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 4.5% (HV 20d: 23.8%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.64.

Notable Days

  • 2015-12-03: Highest Volume — 234 contracts
  • 2015-12-03: Largest IV spike — 52.6% change
  • 2015-12-03: Highest IV Rank — 26.8%
  • 2015-12-14: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.31$42.77$47.64$47.64$45.06
Max Pain$44.55$40.00$45.00$40.00$45.00
ATM IV28.3%21.8%33.3%28.6%28.1%
Expected Move8.1%6.3%9.3%8.2%8.1%
HV 20d23.8%19.3%27.7%20.1%26.7%
HV 60d29.3%28.0%30.6%28.9%28.0%
IV Rank15.8%1.5%26.8%16.5%15.3%
IV Percentile39.2%1.6%59.5%41.7%41.3%
Term Structure4.1%-3.1%7.5%-3.1%7.5%
VWIV27.9%21.6%33.6%21.6%27.8%
Skew 25d3.7%0.6%10.8%0.6%2.0%
Skew 10d8.7%0.2%38.9%38.9%3.2%
Call IV 25d27.5%23.5%33.8%29.2%26.5%
Put IV 25d31.3%26.1%37.0%29.8%28.5%
Bid-Ask Spread %94.2582.33109.7089.38109.70
Gamma HHI0.590.440.940.850.52
Net GEX139.8K-16.7K382.3K189.9K-16.7K
Net DEX-10.4M-18.7M102.2K-18.7M-175.7K
Net VEX-5.3K-7.5K-3.7K-6.0K-3.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.000.870.870.61
Total Volume1421123411692
Total OI3,215.9555644,7524,737571

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$47.64$40.0028.6%8.2%20.1%16.5%21.6%0.6%-3.1%189.9K-18.7M-6.0K0.8789.38N/AN/A62544,257480
2015-12-02$47.57$40.0021.8%6.3%19.3%1.5%21.9%6.2%0.8%137.1K-18.3M-6.6K0.6482.33N/AN/A142914,195532
2015-12-03$46.59$45.0033.3%8.4%20.8%26.8%29.2%5.0%3.3%181.1K-17.6M-7.5K0.6488.01N/AN/A143914,218532
2015-12-04$47.06$45.0023.9%8.1%21.1%6.0%27.3%3.1%4.1%154.1K-18.0M-6.5K0.6485.82N/AN/A143914,220532
2015-12-07$46.91$45.0026.7%8.6%20.9%12.4%0.0%2.2%2.2%162.5K-17.9M-6.0K0.0088.84N/AN/A1104,220532
2015-12-08$47.48$45.0033.0%8.5%20.0%26.1%28.9%4.2%3.7%178.0K-18.4M-5.6K0.7486.58N/AN/A123914,219532
2015-12-09$45.90$45.0029.8%8.6%23.4%19.2%30.2%3.4%3.9%218.3K-16.9M-6.6K0.7593.40N/AN/A122914,201532
2015-12-10$45.78$45.0028.4%8.1%23.4%16.0%28.4%1.7%5.4%242.2K-16.7M-6.7K0.4191.21N/AN/A114474,194532
2015-12-11$44.39$45.0031.4%9.0%24.0%22.7%31.2%1.5%2.6%344.5K-15.0M-7.0K0.5493.68N/AN/A111604,191538
2015-12-14$44.08$45.0032.5%9.3%23.1%25.0%33.6%3.2%2.3%376.0K-14.3M-7.3K0.5791.69N/AN/A112644,160538
2015-12-15$43.90$45.0030.6%8.8%23.1%20.8%31.3%3.2%1.5%382.3K-14.2M-6.0K0.7891.02N/AN/A79624,162539
2015-12-16$44.69$45.0028.2%8.1%23.0%15.5%29.0%2.8%4.6%298.4K-15.5M-5.1K0.78107.39N/AN/A80624,177539
2015-12-17$43.89$45.0027.7%7.9%23.5%14.5%28.3%1.9%3.9%338.9K-14.3M-4.4K0.6992.64N/AN/A90624,161539
2015-12-18$42.77$45.0024.9%7.1%24.8%8.3%26.3%5.6%2.7%-10.9K-13.0M-3.9K0.5894.07N/AN/A108634,181539
2015-12-21$43.75$45.0028.2%8.1%26.1%15.7%28.8%7.8%5.6%-13.2K102.2K-4.0K0.7295.24N/AN/A5741279285
2015-12-22$44.17$45.0026.8%7.7%26.5%12.4%27.0%6.4%7.0%-14.4K6.8K-4.0K0.7397.84N/AN/A5540283285
2015-12-23$44.51$45.0027.0%7.7%26.4%12.9%27.2%10.8%6.0%-14.3K-71.6K-4.0K0.7396.89N/AN/A5540284285
2015-12-24$44.76$45.0027.7%7.9%26.5%14.5%27.2%1.0%6.3%-13.5K-66.2K-4.1K0.71101.06N/AN/A5640285286
2015-12-28$44.83$45.0026.9%7.7%26.3%12.8%26.7%1.7%7.4%-15.8K-86.8K-3.9K0.7398.20N/AN/A5540286286
2015-12-29$45.84$45.0028.4%8.2%27.7%16.1%26.9%5.7%6.6%-13.2K-246.9K-3.9K0.6197.51N/AN/A5735286286
2015-12-30$45.34$45.0028.2%8.1%26.7%15.6%27.7%2.5%6.6%-15.8K-218.0K-3.8K0.61101.07N/AN/A5735286286
2015-12-31$45.06$45.0028.1%8.1%26.7%15.3%27.8%2.0%7.5%-16.7K-175.7K-3.7K0.61109.70N/AN/A5735286285