ASHR Options History — September 2014

In September 2014, ASHR traded between $24.82 and $26.04. ATM implied volatility averaged 18.0%, placing in the 38.7% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 1.9% (HV 20d: 16.1%). Max pain ranged from $23.00 to $24.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.98.

Notable Days

  • 2014-09-12: Highest Volume — 1,177 contracts
  • 2014-09-04: Largest IV spike — 15.9% change
  • 2014-09-17: Highest IV Rank — 52.4%
  • 2014-09-25: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.55$24.82$26.04$25.17$25.77
Max Pain$23.29$23.00$24.00$23.00$24.00
ATM IV18.0%14.1%20.1%15.4%19.7%
Expected Move6.0%5.6%6.5%5.7%6.3%
HV 20d16.1%13.8%19.4%15.7%18.6%
HV 60d16.2%15.3%17.7%15.7%17.7%
IV Rank38.7%12.8%52.4%21.5%49.7%
IV Percentile29.7%1.0%57.2%4.2%54.8%
Term Structure0.9%-1.0%3.0%1.3%1.2%
VWIV21.1%20.3%22.7%20.3%22.3%
Skew 25d1.1%-2.9%6.0%1.4%2.5%
Skew 10d1.0%-6.9%9.7%1.3%3.7%
Call IV 25d17.2%13.3%19.6%13.3%16.4%
Put IV 25d18.2%12.8%22.7%14.7%18.9%
Bid-Ask Spread %22.6714.5628.0915.0325.30
Gamma HHI0.210.180.250.250.22
Net GEX530.5K416.1K641.8K641.8K555.0K
Net DEX-27.8M-36.7M-18.9M-31.1M-29.2M
Net VEX-63.6K-72.5K-53.8K-57.6K-60.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.026.501.902.05
Total Volume576.952471,177693614
Total OI27,607.23825,56029,02226,37229,022

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$25.17$23.0015.4%5.7%15.7%21.5%20.3%1.4%1.3%641.8K-31.1M-57.6K1.9015.03N/AN/A23945418,0748,298
2014-09-03$25.65$23.0014.1%5.6%16.4%12.8%20.6%0.3%3.0%600.4K-32.4M-60.1K0.3314.56N/AN/A79326017,4538,648
2014-09-04$25.72$23.0016.4%5.8%16.3%27.6%20.4%-2.9%2.3%567.7K-32.8M-58.5K0.5120.52N/AN/A69034917,5098,682
2014-09-05$26.04$23.0015.7%5.8%15.8%23.0%20.4%2.5%1.0%562.3K-36.7M-54.0K0.1926.57N/AN/A3817318,0928,919
2014-09-08$25.98$23.0017.2%5.8%15.5%33.0%20.5%-1.0%0.4%536.8K-32.6M-53.8K0.1124.86N/AN/A4394916,6048,956
2014-09-09$25.85$23.0017.7%5.9%15.1%36.6%0.0%-1.8%-0.1%569.2K-31.8M-56.6K4.6821.29N/AN/A17481516,9058,973
2014-09-10$25.72$23.0017.2%5.8%15.3%33.3%20.8%-2.4%0.4%543.8K-29.8M-60.9K0.0327.26N/AN/A102317,0069,778
2014-09-11$25.71$23.0018.0%5.7%15.3%38.7%21.0%-1.7%1.0%554.1K-30.0M-57.3K0.9628.09N/AN/A242316,9949,778
2014-09-12$25.74$23.0018.5%5.9%14.5%41.4%20.4%-0.1%1.2%554.7K-29.7M-60.5K6.5022.55N/AN/A1571,02017,0049,781
2014-09-15$25.60$23.0018.4%5.9%14.5%41.0%0.0%0.4%0.5%509.5K-27.2M-62.8K1.1926.11N/AN/A42350417,07210,799
2014-09-16$25.42$23.0019.9%6.1%14.4%50.5%21.3%5.8%-0.3%481.5K-23.8M-72.5K0.2325.63N/AN/A46010417,26011,297
2014-09-17$25.28$23.0020.1%6.0%14.5%52.4%21.1%3.0%-1.0%478.6K-23.4M-71.1K0.3827.29N/AN/A341317,48811,309
2014-09-18$25.38$23.0018.8%5.9%14.2%43.3%21.2%3.5%1.7%476.2K-24.6M-68.7K0.0227.12N/AN/A57117,48011,309
2014-09-19$25.37$23.0019.2%5.7%13.8%46.4%20.3%2.8%0.1%487.2K-24.2M-70.2K0.3815.58N/AN/A28310717,44311,308
2014-09-22$24.82$23.0019.1%5.9%16.0%45.9%20.9%0.8%0.5%568.8K-18.9M-69.5K0.2514.60N/AN/A77219217,21610,792
2014-09-23$25.04$24.0018.1%6.1%16.1%39.1%21.1%2.2%0.4%568.9K-20.6M-72.4K0.1520.35N/AN/A6489717,48410,956
2014-09-24$25.77$24.0017.3%6.0%18.8%33.6%22.1%6.0%2.3%416.1K-28.2M-65.0K0.0722.56N/AN/A3442417,28911,022
2014-09-25$25.47$24.0019.0%6.5%19.4%44.7%22.6%-0.1%0.3%471.6K-25.3M-68.5K0.4020.81N/AN/A26510617,43911,024
2014-09-26$25.61$24.0019.4%6.3%19.0%47.4%22.7%1.8%0.9%435.8K-26.6M-69.1K0.1825.07N/AN/A67011917,41710,980
2014-09-29$25.35$24.0019.8%6.3%19.2%50.0%21.9%-0.9%1.0%560.5K-24.5M-66.6K0.0924.86N/AN/A2142017,84411,048
2014-09-30$25.77$24.0019.7%6.3%18.6%49.7%22.3%2.5%1.2%555.0K-29.2M-60.8K2.0525.30N/AN/A20141317,95911,063