ASGN Options History — May 2016

In May 2016, ASGN traded between $35.23 and $37.78. ATM implied volatility averaged 32.7%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded below realized volatility by 13.6% (HV 20d: 46.2%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 4.76.

Notable Days

  • 2016-05-10: Highest Volume — 1,065 contracts
  • 2016-05-27: Largest IV spike — 27.9% change
  • 2016-05-27: Highest IV Rank — 22.8%
  • 2016-05-27: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.63$35.23$37.78$36.22$37.74
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV32.7%25.7%38.4%34.4%28.7%
Expected Move9.3%7.4%11.0%9.9%8.2%
HV 20d46.2%25.8%52.7%50.6%25.8%
HV 60d38.0%36.0%41.5%41.5%36.0%
IV Rank15.1%5.7%22.8%17.5%9.5%
IV Percentile47.1%11.1%67.1%56.7%28.6%
Term Structure1.5%-6.8%13.0%-0.6%-6.8%
VWIV32.5%26.7%43.2%34.2%30.5%
Skew 25d7.4%1.7%20.7%18.6%2.7%
Skew 10d18.5%4.0%39.1%38.7%34.4%
Call IV 25d30.4%22.1%36.4%22.1%33.6%
Put IV 25d37.8%31.9%56.5%40.7%36.3%
Bid-Ask Spread %93.5685.12122.2085.1298.92
Gamma HHI0.590.450.700.550.70
Net GEX-55.7K-361.8K152.4K-257.3K111.3K
Net DEX-509.7K-2.9M2.8M999.4K-853.9K
Net VEX-9.1K-17.8K-3.5K-17.8K-4.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.761.3010.334.501.37
Total Volume635.4762581,065578310
Total OI4,623.4292,4316,5506,5502,506

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$36.22$35.0034.4%9.9%50.6%17.5%34.2%18.6%-0.6%-257.3K999.4K-17.8K4.5085.12N/AN/A1054732,5094,041
2016-05-03$35.87$35.0034.3%9.8%50.4%17.3%34.1%20.7%-1.4%-270.3K1.5M-16.6K4.8486.15N/AN/A984742,5093,866
2016-05-04$35.23$35.0034.3%9.8%50.9%17.3%34.2%19.7%-2.1%-332.7K2.8M-16.1K4.6888.61N/AN/A984592,5073,867
2016-05-05$35.46$35.0032.9%9.4%50.7%15.4%33.2%5.2%2.5%-346.4K2.2M-15.3K4.6897.48N/AN/A984592,5073,857
2016-05-06$35.67$35.0032.6%9.3%50.5%15.0%32.1%6.7%2.7%-361.8K2.0M-14.7K1.6392.95N/AN/A981602,5073,857
2016-05-09$36.13$35.0035.4%9.5%50.7%18.8%32.7%9.1%2.9%-310.1K750.5K-13.5K6.8493.36N/AN/A986702,5073,857
2016-05-10$37.33$35.0032.5%9.6%51.9%14.9%33.9%2.6%2.2%-70.1K-1.6M-11.7K10.3388.72N/AN/A949712,5073,631
2016-05-11$36.25$35.0032.5%9.3%51.3%14.9%30.8%3.7%4.0%-121.6K-545.7K-10.4K5.1292.18N/AN/A944812,5062,931
2016-05-12$36.13$35.0033.3%9.5%51.2%16.0%31.8%4.4%2.3%-88.9K-750.5K-9.4K4.2592.94N/AN/A1134802,5062,621
2016-05-13$35.95$35.0032.1%9.2%51.2%14.3%31.8%4.7%3.4%-55.5K-886.3K-8.4K7.7891.46N/AN/A1138792,5272,398
2016-05-16$36.95$35.0033.6%9.6%52.2%16.3%32.1%1.7%1.6%141.0K-2.4M-7.0K7.7894.54N/AN/A1138792,5271,894
2016-05-17$37.09$35.0033.3%9.5%52.2%15.9%32.8%2.5%3.6%152.4K-2.5M-6.6K7.7892.99N/AN/A1138792,5271,894
2016-05-18$36.25$35.0032.9%9.4%52.7%15.5%33.1%2.2%3.1%47.4K-1.9M-5.6K7.7092.06N/AN/A1138702,5271,895
2016-05-19$36.66$35.0034.9%10.0%47.5%18.1%33.6%7.6%1.3%69.0K-2.3M-5.5K6.9686.67N/AN/A1258702,5271,895
2016-05-20$37.16$35.0037.3%10.7%47.0%21.3%34.2%3.0%-3.9%76.1K-2.9M-5.2K6.9688.71N/AN/A1258702,5051,895
2016-05-23$36.81$35.0028.3%8.1%46.8%9.3%27.5%4.2%12.5%79.3K-692.7K-4.7K1.3892.13N/AN/A1301791,1711,260
2016-05-24$37.78$35.0028.5%8.2%47.1%9.5%31.2%6.0%-1.3%99.8K-998.9K-5.4K1.3097.07N/AN/A1381791,2321,291
2016-05-25$37.55$35.0025.7%7.4%37.5%5.7%28.7%5.2%-1.4%100.4K-911.2K-5.0K1.3091.66N/AN/A1381791,2201,291
2016-05-26$37.39$35.0030.0%8.6%26.8%11.5%26.7%4.5%13.0%99.6K-773.4K-4.5K1.3798.94N/AN/A1311791,2201,291
2016-05-27$37.68$35.0038.4%11.0%25.8%22.8%43.2%20.1%-6.6%68.2K-774.6K-3.5K1.37122.20N/AN/A1311791,2151,291
2016-05-31$37.74$35.0028.7%8.2%25.8%9.5%30.5%2.7%-6.8%111.3K-853.9K-4.1K1.3798.92N/AN/A1311791,2151,291