ASGN Options History — January 2016

In January 2016, ASGN traded between $36.20 and $42.88. ATM implied volatility averaged 48.1%, placing in the 59.4% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded above realized volatility by 12.4% (HV 20d: 35.7%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 2.50.

Notable Days

  • 2016-01-15: Highest Volume — 3,283 contracts
  • 2016-01-07: Largest IV spike — 30.2% change
  • 2016-01-15: Highest IV Rank — 74.7%
  • 2016-01-15: Largest Expected Move — 15.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.22$36.20$42.88$42.88$37.61
Max Pain$41.47$40.00$45.00$45.00$40.00
ATM IV48.1%29.1%55.0%39.2%46.9%
Expected Move13.6%10.3%15.8%10.6%13.4%
HV 20d35.7%30.5%39.3%30.9%39.3%
HV 60d32.0%29.6%33.6%29.9%30.2%
IV Rank59.4%17.5%74.7%39.8%56.8%
IV Percentile90.1%48.0%98.4%81.7%87.3%
Term Structure-5.7%-9.8%-0.5%-3.3%-6.7%
VWIV49.2%38.9%55.1%38.9%55.1%
Skew 25d8.2%4.6%13.0%5.4%12.9%
Skew 10d17.2%-6.2%31.9%12.6%31.9%
Call IV 25d43.9%35.6%51.5%35.6%44.1%
Put IV 25d52.1%40.3%60.4%41.0%57.0%
Bid-Ask Spread %84.9074.0995.4682.2395.46
Gamma HHI0.440.360.610.460.44
Net GEX48.8K-74.0K138.3K-12.3K138.3K
Net DEX286.9K-821.1K2.3M186.4K-821.1K
Net VEX-11.0K-16.6K-3.4K-3.4K-14.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.500.118.130.240.38
Total Volume835.8952093,283235228
Total OI3,0235714,6015714,570

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-01-04$42.88$0.0039.2%10.6%30.9%39.8%0.0%5.4%-3.3%-12.3K186.4K-3.4K0.2482.23N/AN/A18946286285
2016-01-05$42.68$0.0029.1%10.3%30.5%17.5%38.9%4.6%-0.5%-2.0K82.4K-4.2K0.1177.63N/AN/A52758411298
2016-01-06$42.37$45.0033.8%11.8%30.5%28.0%41.0%6.3%-3.7%21.4K-260.5K-6.1K0.1683.82N/AN/A41367667332
2016-01-07$41.14$45.0044.0%11.8%30.9%50.5%41.4%5.5%-2.5%39.8K-231.4K-7.1K0.1881.51N/AN/A36367895355
2016-01-08$38.60$45.0051.4%12.7%35.8%66.8%45.6%4.9%-4.4%45.0K-129.5K-7.3K3.1285.17N/AN/A2066431,102355
2016-01-11$38.26$45.0050.8%12.9%35.7%65.3%46.3%7.9%-5.0%-5.1K1.2M-8.5K0.3278.95N/AN/A235761,103823
2016-01-12$38.02$45.0052.6%12.5%34.8%69.3%46.7%4.7%-4.6%-9.3K1.4M-7.8K0.5174.09N/AN/A189961,085829
2016-01-13$36.20$40.0052.4%15.0%37.7%68.8%51.0%10.1%-9.8%-7.6K1.5M-7.0K7.7783.60N/AN/A2091,6231,080829
2016-01-14$36.52$40.0051.8%14.8%38.3%67.6%50.4%9.2%-8.6%-71.0K2.3M-10.0K3.0975.21N/AN/A3631,1211,1001,588
2016-01-15$36.80$40.0055.0%15.8%37.5%74.7%53.6%8.8%-6.6%-74.0K2.3M-10.3K0.5282.69N/AN/A2,1651,1181,1511,604
2016-01-19$36.76$40.0049.8%14.3%37.4%63.3%49.5%8.2%-6.2%101.4K-231.7K-16.6K6.4982.43N/AN/A1681,0903,0891,493
2016-01-20$36.76$40.0052.3%15.0%37.0%68.7%51.8%10.4%-7.6%105.4K-304.6K-16.5K8.1382.93N/AN/A1341,0903,0931,494
2016-01-21$36.71$40.0051.0%14.6%35.4%65.8%50.5%9.4%-6.4%100.4K-133.0K-15.8K7.4788.14N/AN/A1461,0903,1071,494
2016-01-22$37.76$40.0043.3%12.4%37.2%48.8%51.0%13.0%-2.2%126.8K-753.2K-15.7K7.5193.93N/AN/A1461,0963,1071,494
2016-01-25$36.65$40.0052.7%15.1%37.5%69.6%51.7%7.7%-6.7%112.6K-352.2K-15.1K0.4388.37N/AN/A146633,1071,478
2016-01-26$37.23$40.0052.9%15.2%38.2%70.0%53.9%11.3%-8.1%126.2K-617.2K-15.6K0.3592.36N/AN/A178633,1071,488
2016-01-27$36.71$40.0052.6%15.1%38.0%69.4%52.6%5.5%-7.0%103.8K-90.3K-14.1K0.3594.57N/AN/A179633,0801,488
2016-01-28$36.43$40.0052.0%14.9%36.1%68.1%54.3%9.5%-7.7%87.0K351.9K-12.5K0.3890.06N/AN/A165633,0821,488
2016-01-29$37.61$40.0046.9%13.4%39.3%56.8%55.1%12.9%-6.7%138.3K-821.1K-14.5K0.3895.46N/AN/A165633,0821,488