ASGN Options History — November 2016

In November 2016, ASGN traded between $34.29 and $42.64. ATM implied volatility averaged 30.6%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 6.5% (HV 20d: 37.1%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.41.

Notable Days

  • 2016-11-01: Highest Volume — 863 contracts
  • 2016-11-28: Largest IV spike — 39.7% change
  • 2016-11-07: Highest IV Rank — 16.5%
  • 2016-11-29: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.12$34.29$42.64$34.29$41.40
Max Pain$37.86$35.00$40.00$35.00$40.00
ATM IV30.6%23.4%34.0%31.0%31.0%
Expected Move8.6%6.7%9.4%8.9%8.9%
HV 20d37.1%28.2%42.0%34.8%28.6%
HV 60d29.6%26.4%31.2%26.4%31.1%
IV Rank12.0%2.3%16.5%12.5%12.5%
IV Percentile31.3%3.2%57.1%32.5%29.0%
Term Structure1.5%-2.4%4.6%-1.0%-2.1%
VWIV30.5%26.1%49.1%32.0%32.0%
Skew 25d7.4%0.5%18.0%11.5%0.5%
Skew 10d13.7%4.6%32.7%15.9%14.6%
Call IV 25d26.8%18.9%34.0%31.5%34.0%
Put IV 25d34.2%28.3%44.9%43.1%34.5%
Bid-Ask Spread %94.7581.24105.3596.4695.17
Gamma HHI0.690.480.940.770.61
Net GEX-59.7K-317.4K66.1K-275.6K49.0K
Net DEX232.6K-988.7K2.9M2.9M-743.5K
Net VEX-3.4K-5.5K-2.3K-5.4K-2.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.410.605.595.590.90
Total Volume347.81158863863179
Total OI2,017.3336432,7972,573718

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$34.29$35.0031.0%8.9%34.8%12.5%32.0%11.5%-1.0%-275.6K2.9M-5.4K5.5996.46N/AN/A1317323212,252
2016-11-02$34.51$35.0032.0%9.2%34.6%13.8%49.1%18.0%-2.4%-275.7K2.7M-5.5K1.63101.39N/AN/A1282093232,252
2016-11-03$34.55$35.0031.8%8.8%34.6%13.6%31.4%3.7%2.2%-283.3K2.6M-5.4K1.0287.85N/AN/A1972003202,251
2016-11-04$34.29$35.0033.5%8.9%34.6%15.9%31.5%4.7%1.6%-270.2K2.8M-5.1K1.0481.24N/AN/A1932003902,251
2016-11-07$35.00$35.0034.0%8.4%34.6%16.5%31.3%3.2%4.1%-292.0K2.3M-4.7K1.0484.61N/AN/A1952033912,251
2016-11-08$35.11$35.0033.4%8.5%31.3%15.7%30.6%5.3%4.2%-317.4K2.1M-4.6K1.0688.95N/AN/A1982093902,255
2016-11-09$36.50$35.0032.6%9.3%34.4%14.6%26.7%11.8%1.7%-221.1K785.1K-3.8K1.1598.71N/AN/A1812093912,254
2016-11-10$38.82$35.0028.0%8.0%40.6%8.5%26.1%10.4%3.8%37.7K-340.8K-2.3K1.4594.12N/AN/A1402033912,254
2016-11-11$40.14$35.0031.2%8.9%41.9%12.8%29.2%14.9%2.5%32.2K-582.3K-2.6K1.1698.32N/AN/A2102444012,254
2016-11-14$40.08$40.0031.9%9.1%42.0%13.7%32.3%3.3%1.4%56.5K-658.6K-3.0K1.4895.57N/AN/A1652444872,299
2016-11-15$40.52$40.0029.5%8.5%42.0%10.5%29.9%14.1%3.4%63.3K-739.0K-2.9K1.4899.11N/AN/A1652444902,299
2016-11-16$40.67$40.0029.5%8.5%42.0%10.5%29.5%5.9%3.7%66.1K-784.0K-2.8K1.4194.22N/AN/A1732444902,299
2016-11-17$41.38$40.0028.3%8.1%41.8%8.9%28.2%9.6%4.5%59.0K-988.7K-2.8K2.3691.52N/AN/A1042454982,299
2016-11-18$41.35$40.0028.4%8.2%41.8%9.1%28.2%8.0%4.6%46.2K-958.4K-2.7K2.45100.15N/AN/A1002454872,296
2016-11-21$41.87$40.0028.9%8.3%41.6%9.7%28.8%3.9%1.0%45.4K-880.7K-2.5K1.00102.08N/AN/A7979439204
2016-11-22$42.00$40.0028.9%8.3%41.3%9.7%28.9%5.1%0.4%47.8K-900.7K-2.6K0.9093.18N/AN/A8879461213
2016-11-23$42.29$40.0029.9%8.6%41.2%11.1%28.3%4.8%0.7%46.8K-945.1K-2.5K0.64105.35N/AN/A13285461213
2016-11-25$42.64$40.0023.4%6.7%39.3%2.3%27.4%4.0%-1.6%45.3K-949.5K-2.4K0.6096.20N/AN/A14185456241
2016-11-28$42.27$40.0032.7%9.4%28.3%14.7%28.0%7.1%-0.1%41.4K-900.5K-2.4K0.6289.98N/AN/A13785465241
2016-11-29$41.82$40.0032.7%9.4%28.2%14.8%30.2%4.8%-1.6%44.1K-866.3K-2.5K0.6195.63N/AN/A13985475241
2016-11-30$41.40$40.0031.0%8.9%28.6%12.5%32.0%0.5%-2.1%49.0K-743.5K-2.5K0.9095.17N/AN/A9485477241