ASGN Options History — September 2016

In September 2016, ASGN traded between $36.15 and $38.49. ATM implied volatility averaged 36.7%, placing in the 20.1% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 16.9% (HV 20d: 19.7%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.08.

Notable Days

  • 2016-09-09: Highest Volume — 266 contracts
  • 2016-09-29: Largest IV spike — 76.4% change
  • 2016-09-13: Highest IV Rank — 56.4%
  • 2016-09-29: Largest Expected Move — 14.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.09$36.15$38.49$37.49$36.39
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV36.7%22.7%63.6%40.0%28.8%
Expected Move9.5%6.5%14.3%11.5%8.3%
HV 20d19.7%13.3%28.1%19.3%28.1%
HV 60d31.8%28.1%34.8%34.3%28.9%
IV Rank20.1%1.3%56.4%24.5%9.6%
IV Percentile50.0%2.0%98.0%71.4%18.7%
Term Structure3.2%-15.7%20.0%2.2%12.2%
VWIV31.8%27.5%47.4%35.7%31.3%
Skew 25d4.8%-1.5%19.2%3.9%2.3%
Skew 10d7.5%-29.2%45.0%1.5%31.4%
Call IV 25d28.7%22.6%38.1%28.1%33.9%
Put IV 25d33.5%27.6%41.9%32.1%36.2%
Bid-Ask Spread %99.1588.01115.23111.3293.50
Gamma HHI0.480.220.940.590.30
Net GEX154.8K-393414.0K334.9K-280
Net DEX-3.6M-8.1M82.5K-6.9M76.4K
Net VEX-2.7K-5.2K-1.5K-5.2K-1.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.371.561.180.45
Total Volume199.286132266205171
Total OI1,8022573,1813,117374

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$37.49$35.0040.0%11.5%19.3%24.5%35.7%3.9%2.2%334.9K-6.9M-5.2K1.18111.32N/AN/A941112,864253
2016-09-02$38.22$35.0022.7%6.5%14.5%1.3%37.0%9.4%2.9%330.3K-7.6M-5.2K1.2097.14N/AN/A961152,864253
2016-09-06$37.97$35.0028.8%8.2%13.3%9.5%28.3%7.2%4.8%298.2K-7.5M-4.1K1.5089.26N/AN/A1021532,869258
2016-09-07$38.49$35.0032.0%8.0%13.6%13.8%27.5%8.6%5.7%128.9K-8.1M-2.5K1.5091.63N/AN/A1021532,859296
2016-09-08$38.04$35.0034.0%8.2%14.6%16.5%30.2%6.8%4.4%297.0K-7.5M-4.2K1.4488.01N/AN/A1071542,859296
2016-09-09$37.32$35.0046.5%10.0%16.3%33.3%30.0%7.0%-2.6%341.9K-6.6M-4.5K1.3893.26N/AN/A1121542,864304
2016-09-12$37.60$35.0057.1%9.1%16.4%47.6%31.5%3.9%3.8%314.3K-7.0M-3.5K1.3990.79N/AN/A1081502,874306
2016-09-13$36.57$35.0063.6%9.5%19.3%56.4%32.1%1.0%3.4%383.3K-6.1M-3.3K1.3993.48N/AN/A1081502,874307
2016-09-14$36.23$35.0031.8%9.1%19.6%13.5%30.2%2.5%6.2%414.0K-6.0M-2.8K1.5696.66N/AN/A961502,874301
2016-09-15$36.70$35.0031.3%9.0%20.1%12.9%30.7%-0.3%3.8%384.4K-6.2M-2.5K1.4597.85N/AN/A1001452,875298
2016-09-16$36.35$35.0032.0%9.2%18.5%13.8%30.2%2.5%2.7%-393-7.2M-1.5K1.4596.10N/AN/A1001452,875298
2016-09-19$36.36$35.0033.3%9.5%18.3%15.6%31.6%3.5%-2.4%-9665.2K-1.5K1.0398.31N/AN/A6567132125
2016-09-20$36.15$35.0032.2%9.2%18.3%14.1%30.7%2.5%5.7%66856.1K-1.6K1.0398.86N/AN/A6567153132
2016-09-21$36.80$35.0033.0%9.5%19.0%15.2%31.5%5.9%9.3%2.0K20.7K-1.6K0.85115.23N/AN/A7967153132
2016-09-22$37.89$35.0034.9%10.0%21.9%17.7%31.5%4.3%6.7%3.9K-32.9K-1.7K1.02113.32N/AN/A6667163132
2016-09-23$37.31$35.0025.8%7.4%22.5%5.5%27.7%-1.5%20.0%4.7K-18.2K-1.7K1.0299.43N/AN/A6667172132
2016-09-26$36.48$35.0043.0%12.3%23.7%28.7%32.3%19.2%-6.8%4.5K18.5K-1.6K0.61110.74N/AN/A10765172132
2016-09-27$36.85$35.0041.1%11.8%24.1%26.1%33.6%9.8%-7.0%4.3K21.3K-1.7K0.37105.54N/AN/A10037185147
2016-09-28$37.54$35.0028.2%8.1%25.1%8.8%27.5%2.5%8.0%3.1K7.3K-1.8K0.5398.77N/AN/A10053185147
2016-09-29$36.21$35.0049.8%14.3%28.0%37.8%47.4%0.6%-15.7%8082.5K-1.8K0.45103.06N/AN/A11853185168
2016-09-30$36.39$35.0028.8%8.3%28.1%9.6%31.3%2.3%12.2%-28076.4K-1.9K0.4593.50N/AN/A11853206168