ASGN Options History — August 2016

In August 2016, ASGN traded between $34.96 and $38.00. ATM implied volatility averaged 28.2%, placing in the 8.6% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 3.5% (HV 20d: 31.7%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 0.83.

Notable Days

  • 2016-08-01: Highest Volume — 2,526 contracts
  • 2016-08-31: Largest IV spike — 22.6% change
  • 2016-08-01: Highest IV Rank — 15.5%
  • 2016-08-01: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.74$34.96$38.00$36.58$37.74
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV28.2%21.7%33.3%33.3%26.6%
Expected Move8.1%6.2%9.5%9.5%7.6%
HV 20d31.7%20.6%37.4%36.9%20.7%
HV 60d36.0%34.2%36.9%36.4%34.2%
IV Rank8.6%0.0%15.5%15.5%6.6%
IV Percentile18.1%0.0%46.4%46.4%5.6%
Term Structure2.9%-5.9%6.8%-2.6%-2.7%
VWIV29.8%24.6%33.0%30.0%30.4%
Skew 25d4.7%-0.3%14.2%9.4%4.0%
Skew 10d7.6%-7.2%25.5%12.2%11.6%
Call IV 25d28.4%22.8%32.4%24.3%29.9%
Put IV 25d33.1%27.5%37.0%33.7%33.9%
Bid-Ask Spread %91.9582.45106.8298.76105.48
Gamma HHI0.640.500.760.650.56
Net GEX329.4K292.0K366.4K308.8K329.6K
Net DEX-5.8M-7.6M-3.7M-5.4M-7.1M
Net VEX-9.7K-13.1K-5.2K-13.1K-6.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.001.450.081.07
Total Volume402.8712,5262,526195
Total OI3,238.2173,0783,3353,2843,117

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-08-01$36.58$35.0033.3%9.5%36.9%15.5%30.0%9.4%-2.6%308.8K-5.4M-13.1K0.0898.76N/AN/A2,3341922,975309
2016-08-02$35.73$35.0031.3%9.0%37.2%12.7%31.4%2.9%-1.9%315.7K-4.5M-12.9K0.5797.38N/AN/A3361922,976310
2016-08-03$35.65$35.0030.0%8.6%36.9%11.1%30.0%5.5%-0.6%319.7K-4.4M-12.8K0.5994.76N/AN/A3361982,976310
2016-08-04$34.96$35.0029.1%8.4%37.4%9.8%32.4%2.7%5.3%311.7K-3.7M-12.2K0.7488.27N/AN/A2541872,977317
2016-08-05$36.45$35.0031.2%9.1%35.7%12.7%33.0%6.1%5.2%305.1K-5.2M-12.9K0.7386.06N/AN/A2531842,977339
2016-08-08$35.89$35.0031.9%8.3%35.0%13.5%30.0%5.1%5.6%334.1K-4.8M-12.0K0.7382.68N/AN/A2521842,980339
2016-08-09$35.75$35.0029.6%8.4%33.8%10.4%30.6%4.7%5.0%334.0K-4.5M-11.6K0.7383.28N/AN/A2521842,980339
2016-08-10$35.77$35.0028.7%8.2%33.7%9.2%29.7%4.2%5.1%344.5K-4.5M-11.4K0.7383.74N/AN/A2521842,980339
2016-08-11$36.18$35.0028.6%8.2%34.0%9.2%29.5%4.0%5.8%347.0K-5.0M-11.2K0.7383.15N/AN/A2521842,980339
2016-08-12$36.21$35.0029.0%8.3%34.0%9.7%29.7%4.6%4.9%349.4K-5.0M-11.1K0.7382.45N/AN/A2521842,982339
2016-08-15$36.45$35.0028.9%8.3%33.9%9.5%29.6%4.8%5.5%354.2K-5.4M-10.3K0.7486.83N/AN/A2471842,982339
2016-08-16$36.29$35.0028.6%8.2%33.9%9.2%29.4%4.5%6.3%361.1K-5.3M-10.1K0.7586.74N/AN/A2481872,982339
2016-08-17$36.17$35.0029.1%8.4%33.4%9.9%0.0%14.2%5.2%366.4K-5.0M-10.0K0.0091.89N/AN/A052,983336
2016-08-18$37.01$35.0029.8%8.6%33.2%10.8%29.2%0.5%4.6%358.7K-6.0M-9.3K1.1092.88N/AN/A10112,983336
2016-08-19$37.30$35.0030.0%8.6%33.4%11.0%30.2%-0.3%4.1%347.1K-6.4M-9.0K0.6289.87N/AN/A2671662,994341
2016-08-22$37.40$35.0033.3%9.5%33.1%15.5%31.8%3.2%-5.9%332.1K-6.5M-8.2K1.0291.99N/AN/A981002,836242
2016-08-23$37.85$35.0026.0%7.4%33.4%5.6%27.6%0.0%0.6%332.3K-7.1M-7.3K1.1897.74N/AN/A851002,852242
2016-08-24$37.82$35.0023.3%6.7%29.9%2.0%0.0%-0.2%1.6%320.0K-7.2M-7.1K0.0094.28N/AN/A102,851240
2016-08-25$37.93$35.0022.3%6.4%22.8%0.7%26.2%4.0%2.1%316.4K-7.2M-7.1K1.4594.22N/AN/A761102,853242
2016-08-26$38.00$35.0023.3%6.7%22.8%2.0%32.2%9.8%6.8%292.0K-7.6M-6.1K1.35106.82N/AN/A751012,853252
2016-08-29$37.84$35.0022.7%6.5%22.6%1.1%28.1%8.6%2.9%295.2K-7.5M-5.2K1.3594.02N/AN/A751012,858253
2016-08-30$37.97$35.0021.7%6.2%20.6%0.0%24.6%6.0%2.9%300.1K-7.5M-5.3K1.31101.51N/AN/A771012,857253
2016-08-31$37.74$35.0026.6%7.6%20.7%6.6%30.4%4.0%-2.7%329.6K-7.1M-6.1K1.07105.48N/AN/A941012,864253