ASGN Options History — December 2016

In December 2016, ASGN traded between $40.76 and $45.53. ATM implied volatility averaged 28.9%, placing in the 9.7% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 4.0% (HV 20d: 24.9%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.60.

Notable Days

  • 2016-12-30: Highest Volume — 459 contracts
  • 2016-12-07: Largest IV drop — 30.5% change
  • 2016-12-06: Highest IV Rank — 22.4%
  • 2016-12-01: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.89$40.76$45.53$41.07$44.07
Max Pain$44.52$40.00$45.00$40.00$45.00
ATM IV28.9%24.4%38.3%31.7%25.3%
Expected Move7.6%7.0%9.1%9.1%7.3%
HV 20d24.9%22.0%31.0%29.3%22.8%
HV 60d30.9%29.5%31.9%31.1%29.8%
IV Rank9.7%3.6%22.4%13.4%4.9%
IV Percentile22.0%3.2%65.1%33.7%5.2%
Term Structure4.8%-2.9%9.2%-2.9%5.8%
VWIV26.1%21.5%33.6%33.6%25.1%
Skew 25d6.0%0.7%10.7%1.6%7.3%
Skew 10d12.0%3.7%20.5%12.1%10.6%
Call IV 25d26.3%20.6%39.0%36.9%25.0%
Put IV 25d32.3%29.5%39.7%38.5%32.3%
Bid-Ask Spread %93.6082.83104.32102.5198.63
Gamma HHI0.670.430.830.690.66
Net GEX45.0K32.5K68.9K49.0K39.2K
Net DEX-852.2K-1.7M-357.2K-620.9K-393.1K
Net VEX-2.7K-3.3K-1.9K-2.5K-2.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.272.100.831.91
Total Volume264.143162459172459
Total OI693.143468954723751

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$41.07$40.0031.7%9.1%29.3%13.4%33.6%1.6%-2.9%49.0K-620.9K-2.5K0.83102.51N/AN/A9478472251
2016-12-02$40.76$40.0030.2%8.7%29.8%11.5%31.9%0.7%-2.2%52.4K-554.8K-2.5K0.8798.74N/AN/A9784472258
2016-12-05$41.59$45.0035.1%8.4%29.4%18.1%26.9%5.3%3.9%48.5K-736.5K-2.5K0.9395.14N/AN/A9084472264
2016-12-06$43.00$45.0038.3%7.4%30.4%22.4%25.6%5.9%4.4%34.7K-1.1M-1.9K0.7989.41N/AN/A10684472264
2016-12-07$44.28$45.0026.7%7.5%31.0%6.7%26.6%10.7%4.5%32.5K-1.3M-2.3K0.4387.43N/AN/A22194491264
2016-12-08$45.53$45.0030.0%7.8%29.9%11.2%27.4%5.7%4.9%50.5K-1.7M-3.1K0.3785.78N/AN/A27199620281
2016-12-09$45.47$45.0034.7%7.8%23.5%17.5%27.1%4.5%5.0%55.0K-1.7M-3.3K0.3586.57N/AN/A26293673281
2016-12-12$45.14$45.0035.0%7.7%22.0%17.9%27.5%3.1%5.2%64.6K-1.6M-3.1K0.3582.83N/AN/A26293652285
2016-12-13$44.71$45.0036.8%7.8%22.5%20.3%27.3%3.6%4.8%66.8K-1.3M-3.0K0.3689.98N/AN/A25993593268
2016-12-14$44.17$45.0027.3%7.8%23.3%7.5%26.2%9.6%4.6%53.1K-1.2M-3.0K0.36101.62N/AN/A25993592268
2016-12-15$44.31$45.0027.0%7.7%23.3%7.1%26.0%9.0%5.1%68.9K-1.2M-3.0K0.3795.95N/AN/A24088592268
2016-12-16$44.29$45.0026.8%7.7%22.8%6.9%27.3%3.3%5.4%33.0K-1.1M-2.8K0.3887.48N/AN/A24090593270
2016-12-19$44.28$45.0025.8%7.4%22.8%5.5%29.3%3.0%9.2%35.5K-468.2K-2.8K0.3297.90N/AN/A12339340128
2016-12-20$44.30$45.0025.4%7.3%22.6%5.0%21.5%10.0%5.5%36.0K-440.6K-2.8K0.3291.05N/AN/A12339353133
2016-12-21$44.13$45.0025.1%7.2%22.7%4.6%22.0%7.8%5.9%35.7K-424.3K-2.7K0.3194.21N/AN/A12739353133
2016-12-22$43.70$45.0024.4%7.0%23.0%3.6%23.0%7.0%6.8%34.1K-357.2K-2.7K0.3186.27N/AN/A12739357133
2016-12-23$43.90$45.0025.0%7.2%22.9%4.4%22.9%6.0%6.1%35.6K-388.1K-2.7K0.3192.29N/AN/A12739357133
2016-12-27$44.65$45.0025.7%7.4%23.2%5.3%23.0%7.3%5.7%40.5K-466.4K-2.6K0.31104.32N/AN/A12739357133
2016-12-28$44.09$45.0026.0%7.5%23.4%5.8%24.4%6.3%5.3%38.2K-414.4K-2.6K0.2799.54N/AN/A14339357133
2016-12-29$44.33$45.0024.9%7.1%22.9%4.3%24.0%7.7%6.9%40.9K-420.4K-2.5K2.1097.96N/AN/A143301356133
2016-12-30$44.07$45.0025.3%7.3%22.8%4.9%25.1%7.3%5.8%39.2K-393.1K-2.5K1.9198.63N/AN/A158301356395