ASHR Options History — November 2015

In November 2015, ASHR traded between $35.06 and $38.48. ATM implied volatility averaged 33.1%, placing in the 25.4% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded below realized volatility by 4.2% (HV 20d: 37.3%). Max pain ranged from $37.00 to $42.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 1.11.

Notable Days

  • 2015-11-19: Highest Volume — 48,420 contracts
  • 2015-11-30: Largest IV spike — 534.4% change
  • 2015-11-02: Highest IV Rank — 37.1%
  • 2015-11-13: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.13$35.06$38.48$35.17$35.92
Max Pain$40.80$37.00$42.00$37.00$42.00
ATM IV33.1%5.1%43.8%43.8%32.1%
Expected Move9.3%1.5%12.4%12.0%6.3%
HV 20d37.3%30.9%42.0%37.5%42.0%
HV 60d50.4%41.6%57.8%57.8%44.7%
IV Rank25.4%0.0%37.1%37.1%33.9%
IV Percentile32.4%0.0%62.3%62.3%18.7%
Term Structure1.4%-13.6%15.7%-0.6%-13.6%
VWIV33.9%6.3%47.9%42.6%19.6%
Skew 25d5.8%1.5%11.8%5.9%11.8%
Skew 10d15.9%-13.3%27.4%9.3%20.1%
Call IV 25d37.3%32.2%41.1%41.1%35.4%
Put IV 25d43.1%37.3%47.3%47.0%47.3%
Bid-Ask Spread %43.6531.9271.1151.6449.60
Gamma HHI0.100.060.300.060.10
Net GEX-45.5K-3.0M2.7M-2.6M-1.5M
Net DEX240.6M179.8M328.9M315.0M304.2M
Net VEX-1.1M-1.3M-609.7K-1.3M-659.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.603.580.901.36
Total Volume28,269.85,83248,42029,52917,178
Total OI459,220.15398,470483,396470,490398,470

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$35.17$37.0043.8%12.0%37.5%37.1%42.6%5.9%-0.6%-2.6M315.0M-1.3M0.9051.64N/AN/A15,55313,976224,744245,746
2015-11-03$35.06$37.0042.7%11.4%37.5%35.4%41.7%5.7%0.5%-3.0M328.9M-1.2M0.8956.30N/AN/A14,53912,950227,399248,775
2015-11-04$36.38$37.0040.5%11.0%38.9%31.8%41.7%6.5%1.8%-726.5K253.3M-1.3M0.8648.96N/AN/A16,07413,751229,159250,697
2015-11-05$37.19$41.0039.6%11.7%38.9%30.4%40.2%4.8%-0.8%-337.7K216.4M-1.3M0.9132.81N/AN/A23,71121,689229,926252,577
2015-11-06$38.01$41.0039.0%11.3%39.1%29.4%41.9%5.6%-0.5%-479.3K199.2M-1.3M0.9535.16N/AN/A6,8796,526222,857246,335
2015-11-09$37.87$41.0039.9%11.5%37.8%30.8%40.6%4.4%1.4%-165.4K207.0M-1.3M1.1032.49N/AN/A2,7743,058223,406244,205
2015-11-10$38.10$41.0040.0%11.7%37.7%30.9%40.5%5.2%1.0%-212.7K196.9M-1.2M0.6232.61N/AN/A22,92214,298224,260245,667
2015-11-11$38.48$41.0039.1%11.6%37.0%29.6%47.9%5.0%1.5%1.0M179.8M-1.3M0.6371.11N/AN/A22,46214,261227,104247,500
2015-11-12$37.53$41.0040.6%11.7%35.5%32.0%44.0%4.0%-0.2%337.4K230.8M-1.2M1.1243.73N/AN/A11,18912,534226,506250,054
2015-11-13$36.17$41.0041.7%12.4%37.9%33.6%45.1%1.5%1.1%-849.0K302.5M-1.2M1.0739.57N/AN/A14,52415,546226,723250,490
2015-11-16$37.95$41.0040.6%11.8%41.0%31.9%40.1%5.8%0.6%805.5K208.2M-1.1M1.1435.85N/AN/A6,0236,854223,836249,194
2015-11-17$37.67$41.0039.0%11.2%41.0%29.4%39.0%5.9%1.2%1.1M236.9M-1.1M1.0937.92N/AN/A14,65615,967224,742250,420
2015-11-18$37.49$42.0039.6%11.4%37.5%30.4%41.6%6.1%0.9%2.0M254.2M-1.0M0.9640.67N/AN/A23,48022,519228,303255,093
2015-11-19$37.91$42.0037.8%10.7%35.3%27.6%39.2%5.8%2.4%1.6M208.5M-1.1M0.7331.92N/AN/A27,93620,484223,115251,869
2015-11-20$37.87$42.0037.6%10.6%34.0%27.4%36.1%5.7%1.8%2.7M198.6M-1.0M0.6037.96N/AN/A20,76612,464222,883251,749
2015-11-23$37.40$42.005.9%2.7%32.4%0.0%11.8%6.5%15.7%-606.6K200.4M-894.2K1.1748.44N/AN/A6,8107,974197,468211,255
2015-11-24$37.51$42.006.7%1.5%32.3%1.0%6.3%5.7%1.4%328.2K261.1M-609.7K3.5848.74N/AN/A2,83210,144196,023216,037
2015-11-25$37.80$42.0010.1%1.5%30.9%5.4%7.0%5.1%11.2%1.3M217.7M-729.0K1.5245.44N/AN/A13,62820,773198,399221,997
2015-11-27$35.10$42.005.1%1.5%41.2%0.0%11.4%8.0%0.4%-1.5M291.8M-688.9K0.9551.97N/AN/A18,29717,395198,229221,191
2015-11-30$35.92$42.0032.1%6.3%42.0%33.9%19.6%11.8%-13.6%-1.5M304.2M-659.6K1.3649.60N/AN/A7,2829,896194,452204,018