ASHR Options History — September 2015

In September 2015, ASHR traded between $30.36 and $33.57. ATM implied volatility averaged 57.4%, placing in the 59.4% IV rank vs the trailing year. The 30-day expected move averaged 16.0%. IV traded below realized volatility by 14.9% (HV 20d: 72.3%). Max pain ranged from $40.00 to $44.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.11.

Notable Days

  • 2015-09-25: Highest Volume — 86,999 contracts
  • 2015-09-16: Largest IV drop — 9.6% change
  • 2015-09-01: Highest IV Rank — 85.0%
  • 2015-09-01: Largest Expected Move — 22.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.19$30.36$33.57$31.02$32.32
Max Pain$42.14$40.00$44.00$40.00$42.00
ATM IV57.4%47.5%74.1%74.1%47.5%
Expected Move16.0%12.2%22.7%22.7%12.2%
HV 20d72.3%54.1%82.0%74.0%54.1%
HV 60d80.4%76.1%82.9%79.0%76.1%
IV Rank59.4%44.4%85.0%85.0%44.4%
IV Percentile87.9%75.4%97.6%97.6%75.4%
Term Structure-0.3%-9.6%11.7%-4.1%0.2%
VWIV55.1%41.8%78.7%78.7%41.8%
Skew 25d9.6%6.3%15.6%12.4%7.5%
Skew 10d17.0%9.5%27.1%20.9%18.7%
Call IV 25d53.1%45.0%69.3%66.2%45.0%
Put IV 25d62.8%52.5%81.9%78.7%52.5%
Bid-Ask Spread %50.5531.4764.8364.8343.92
Gamma HHI0.070.060.090.070.07
Net GEX-944.5K-3.8M1.7M-526.8K-1.3M
Net DEX585.8M483.0M705.0M679.3M517.2M
Net VEX-1.4M-1.6M-1.2M-1.5M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.682.041.351.24
Total Volume55,949.76237,46786,99973,89448,790
Total OI657,374.571551,236733,879669,772608,112

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$31.02$40.0074.1%22.7%74.0%85.0%78.7%12.4%-4.1%-526.8K679.3M-1.5M1.3564.83N/AN/A31,43642,458333,896335,876
2015-09-02$31.28$40.0074.0%21.4%74.5%84.8%78.5%15.6%1.4%-247.9K677.7M-1.6M1.2858.35N/AN/A34,83944,732342,167347,899
2015-09-03$31.45$44.0072.3%19.3%74.7%82.0%70.3%14.6%-1.7%914.1K660.6M-1.5M0.9860.17N/AN/A29,99229,480349,782349,116
2015-09-04$30.36$43.0072.0%20.5%74.4%81.5%71.4%12.4%-4.4%-640.5K705.0M-1.5M0.8759.39N/AN/A31,57627,344353,322353,900
2015-09-08$33.57$43.0066.4%17.2%81.2%72.8%61.8%14.1%-9.6%240.9K540.9M-1.6M1.9055.54N/AN/A12,90524,562344,897332,205
2015-09-09$32.59$43.0061.2%17.1%80.9%65.1%57.8%13.4%-2.6%-318.4K577.3M-1.6M1.2853.03N/AN/A27,78435,504350,143344,034
2015-09-10$33.34$43.0058.7%16.9%81.5%61.4%49.8%9.7%-1.9%-391.1K571.7M-1.6M1.0648.23N/AN/A26,29127,973354,719353,084
2015-09-11$33.32$43.0057.8%16.3%80.8%60.0%48.8%7.5%0.3%-573.3K587.8M-1.5M0.9254.00N/AN/A28,94426,756358,570358,905
2015-09-14$31.80$43.0059.1%16.9%81.7%62.0%59.8%9.7%2.3%43.9K617.6M-1.4M1.0547.77N/AN/A26,33427,574352,290336,433
2015-09-15$31.29$43.0055.2%15.6%81.7%56.1%53.9%7.0%0.6%101.4K649.2M-1.3M1.0848.41N/AN/A20,52422,176356,895340,878
2015-09-16$33.16$41.0049.9%14.3%81.9%48.3%46.9%6.3%2.8%1.2M564.0M-1.3M0.7844.37N/AN/A26,79220,837368,042353,531
2015-09-17$32.38$41.0053.4%15.2%82.0%53.5%51.1%8.2%-0.2%1.7M614.9M-1.3M0.8854.63N/AN/A30,95427,354373,787356,188
2015-09-18$31.70$42.0054.1%14.8%81.8%54.6%53.3%9.5%11.7%-2.8M687.6M-1.3M0.9048.48N/AN/A29,68526,743372,053361,826
2015-09-21$32.98$42.0051.4%14.2%81.7%50.6%48.6%7.5%-0.5%-2.4M483.0M-1.3M0.6846.77N/AN/A26,84118,241268,120283,116
2015-09-22$32.49$42.0050.8%14.0%60.7%49.6%53.6%7.8%-0.7%-1.9M502.8M-1.2M1.0551.19N/AN/A20,42221,396272,245285,767
2015-09-23$32.52$42.0050.4%14.0%60.7%49.1%49.2%7.3%-0.8%-2.1M511.3M-1.3M0.9731.47N/AN/A26,43425,593277,132296,111
2015-09-24$32.66$42.0050.1%13.7%60.7%48.6%43.5%6.7%-0.6%-2.0M517.5M-1.3M0.8050.36N/AN/A34,30027,386280,568300,989
2015-09-25$31.89$42.0048.1%13.0%56.4%45.3%44.5%9.4%0.2%-1.9M559.1M-1.3M2.0444.03N/AN/A28,65358,346288,972307,512
2015-09-28$31.86$42.0049.5%13.8%56.2%47.4%47.4%8.1%0.4%-3.8M545.1M-1.3M0.9747.66N/AN/A23,13222,395277,266321,290
2015-09-29$32.05$42.0048.6%13.3%55.8%46.0%47.3%7.6%1.0%-3.1M531.4M-1.3M1.2248.90N/AN/A23,23428,233280,840322,388
2015-09-30$32.32$42.0047.5%12.2%54.1%44.4%41.8%7.5%0.2%-1.3M517.2M-1.2M1.2443.92N/AN/A21,80926,981282,552325,560