ASHR Options History — January 2015

In January 2015, ASHR traded between $34.00 and $38.01. ATM implied volatility averaged 40.3%, placing in the 59.9% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded below realized volatility by 0.2% (HV 20d: 40.5%). Max pain ranged from $36.00 to $36.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.74.

Notable Days

  • 2015-01-30: Highest Volume — 15,670 contracts
  • 2015-01-20: Largest IV spike — 10.8% change
  • 2015-01-20: Highest IV Rank — 67.6%
  • 2015-01-20: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.56$34.00$38.01$37.26$34.00
Max Pain$36.00$36.00$36.00$36.00$36.00
ATM IV40.3%37.1%44.0%41.1%38.8%
Expected Move11.4%10.6%12.6%11.3%11.1%
HV 20d40.5%34.1%54.9%54.9%38.8%
HV 60d41.7%39.7%45.1%40.0%45.1%
IV Rank59.9%53.0%67.6%61.4%56.5%
IV Percentile91.6%85.3%98.0%94.4%87.3%
Term Structure-0.9%-4.1%1.7%-2.8%-1.7%
VWIV40.0%37.2%44.2%39.4%39.1%
Skew 25d1.2%-1.4%3.1%1.2%0.5%
Skew 10d2.4%-2.4%12.0%12.0%-2.3%
Call IV 25d39.9%37.0%45.0%40.7%38.6%
Put IV 25d41.1%38.8%45.3%41.9%39.2%
Bid-Ask Spread %18.2012.4023.8618.7021.17
Gamma HHI0.160.120.210.160.13
Net GEX1.8M1.2M2.2M2.1M1.3M
Net DEX-76.2M-107.7M-32.6M-98.2M-32.6M
Net VEX-264.7K-291.5K-237.1K-237.1K-285.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.301.560.710.61
Total Volume5,992.852,26915,6707,23415,670
Total OI58,372.6542,99168,79858,11455,405

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$37.26$36.0041.1%11.3%54.9%61.4%39.4%1.2%-2.8%2.1M-98.2M-237.1K0.7118.70N/AN/A4,2183,01640,96217,152
2015-01-05$37.46$36.0043.5%11.7%48.7%66.6%41.2%1.0%-0.9%2.1M-101.5M-248.7K0.3022.02N/AN/A6,2031,88642,59718,537
2015-01-06$37.58$36.0043.5%11.4%48.5%66.5%41.7%2.1%-1.9%2.2M-103.4M-253.7K0.5922.07N/AN/A2,8701,68143,49719,504
2015-01-07$38.01$36.0041.8%11.9%48.1%63.0%42.5%3.1%-3.2%2.1M-107.7M-257.0K0.3915.91N/AN/A2,31990444,55320,749
2015-01-08$37.03$36.0041.4%11.7%38.0%62.2%40.4%0.8%-1.3%2.0M-91.0M-257.4K0.5215.60N/AN/A4,2812,21944,02521,365
2015-01-09$36.98$36.0039.4%11.4%37.8%57.9%40.1%0.5%-0.1%2.0M-88.4M-255.1K0.8017.66N/AN/A2,8702,30744,71822,155
2015-01-12$36.37$36.0040.9%11.7%37.8%61.1%40.5%-1.4%-1.0%1.9M-83.7M-254.3K0.7720.97N/AN/A2,8802,21344,53021,567
2015-01-13$36.35$36.0040.9%11.1%36.7%61.1%39.1%1.7%0.4%1.9M-82.8M-250.4K1.4021.28N/AN/A2,7323,83044,54021,650
2015-01-14$36.11$36.0039.0%11.2%36.9%57.0%38.6%1.3%1.7%1.9M-76.6M-261.1K1.5620.17N/AN/A2,3463,64944,85023,089
2015-01-15$37.27$36.0038.9%11.1%36.1%56.7%39.1%1.5%-0.8%2.0M-95.6M-253.2K1.2118.08N/AN/A2,6693,23445,07923,431
2015-01-16$36.27$36.0039.7%11.4%36.1%58.5%40.0%0.2%-0.9%1.5M-78.3M-255.8K0.7412.40N/AN/A4,3713,24045,05623,742
2015-01-20$34.90$36.0044.0%12.6%38.2%67.6%44.2%0.3%-4.1%1.2M-44.9M-253.8K0.3313.46N/AN/A6,9112,27232,54210,449
2015-01-21$36.95$36.0042.8%12.3%43.3%65.0%42.3%1.9%-2.7%1.7M-67.7M-280.5K0.6413.31N/AN/A2,6091,68136,40611,172
2015-01-22$37.00$36.0040.5%11.6%43.0%60.2%40.9%3.1%-0.4%1.7M-68.5M-278.2K0.7813.10N/AN/A1,8731,46636,39811,579
2015-01-23$36.85$36.0039.5%11.3%40.6%58.0%39.7%-0.2%0.4%1.7M-68.4M-276.7K0.4014.45N/AN/A2,07983436,58211,801
2015-01-26$37.16$36.0038.0%10.9%40.4%54.9%38.1%1.8%1.1%1.7M-71.2M-274.2K0.6420.92N/AN/A2,0501,31836,97112,537
2015-01-27$36.56$36.0037.5%10.8%34.1%53.8%37.5%1.1%1.1%1.7M-62.8M-283.9K0.9120.53N/AN/A1,1881,08137,56113,712
2015-01-28$35.40$36.0038.7%11.1%36.0%56.3%38.6%0.8%-0.7%1.6M-50.0M-286.5K1.0023.86N/AN/A3,6833,67038,04114,486
2015-01-29$35.77$36.0037.1%10.6%36.2%53.0%37.2%1.8%-0.1%1.5M-51.1M-291.5K0.5618.33N/AN/A3,5461,98838,63015,833
2015-01-30$34.00$36.0038.8%11.1%38.8%56.5%39.1%0.5%-1.7%1.3M-32.6M-285.1K0.6121.17N/AN/A9,7555,91539,31716,088