ASHR Options History — September 2016

In September 2016, ASHR traded between $24.14 and $25.33. ATM implied volatility averaged 19.8%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 5.0% (HV 20d: 14.7%). Max pain ranged from $24.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.98.

Notable Days

  • 2016-09-30: Highest Volume — 11,229 contracts
  • 2016-09-12: Largest IV spike — 9.7% change
  • 2016-09-13: Highest IV Rank — 13.5%
  • 2016-09-13: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.72$24.14$25.33$24.96$24.58
Max Pain$24.10$24.00$25.00$25.00$24.00
ATM IV19.8%17.8%22.8%19.3%18.5%
Expected Move5.7%5.0%6.4%5.8%5.2%
HV 20d14.7%11.4%19.8%18.2%14.4%
HV 60d17.4%16.5%18.4%18.4%16.9%
IV Rank11.2%9.7%13.5%10.8%10.2%
IV Percentile5.8%1.6%13.5%3.6%3.6%
Term Structure0.1%-2.4%2.7%2.2%0.0%
VWIV19.3%14.0%23.5%18.4%16.4%
Skew 25d1.6%-0.1%4.3%0.9%1.4%
Skew 10d5.3%-2.1%12.0%11.8%12.0%
Call IV 25d19.2%16.4%21.9%21.2%18.0%
Put IV 25d20.7%18.4%23.3%22.1%19.4%
Bid-Ask Spread %29.6014.7945.2640.2233.64
Gamma HHI0.160.120.230.170.17
Net GEX921.1K93.0K2.0M1.5M267.0K
Net DEX2.9M-14.2M21.7M-4.5M7.4M
Net VEX-367.5K-410.4K-334.3K-397.2K-334.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.681.471.331.01
Total Volume7,764.0486,11511,2296,99411,229
Total OI128,395.238124,389134,416125,627130,776

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$24.96$25.0019.3%5.8%18.2%10.8%18.4%0.9%2.2%1.5M-4.5M-397.2K1.3340.22N/AN/A3,0033,99165,50660,121
2016-09-02$25.11$25.0019.1%6.0%18.3%10.7%18.4%1.7%1.8%2.0M-9.8M-410.4K1.0022.18N/AN/A3,4373,44765,90860,688
2016-09-06$25.29$24.0018.9%6.4%18.3%10.5%22.3%0.1%1.2%1.7M-14.2M-392.8K1.0514.79N/AN/A3,9254,10865,35460,388
2016-09-07$25.30$24.0020.1%6.2%18.0%11.4%21.9%-0.1%0.1%1.8M-14.1M-388.3K0.8728.47N/AN/A3,6613,20265,68161,446
2016-09-08$25.33$24.0019.2%5.7%17.8%10.8%21.2%2.5%2.7%1.8M-13.8M-387.9K0.9429.99N/AN/A3,8413,62965,72961,536
2016-09-09$24.76$24.0020.0%6.2%19.8%11.4%22.0%0.2%-0.2%1.1M4.0M-391.4K0.8425.58N/AN/A3,5372,96766,04662,083
2016-09-12$24.72$24.0021.9%6.1%18.7%12.8%22.4%4.3%0.8%958.8K4.5M-371.0K1.2018.02N/AN/A2,7863,35366,08962,225
2016-09-13$24.42$24.0022.8%6.4%11.4%13.5%23.5%2.8%-0.8%482.6K14.1M-362.8K1.0032.93N/AN/A4,2944,29966,70663,027
2016-09-14$24.39$24.0021.5%5.9%11.4%12.5%21.9%3.2%-1.7%366.8K14.7M-369.1K1.0020.11N/AN/A4,3534,33468,00964,600
2016-09-15$24.60$24.0021.3%5.5%11.8%12.4%20.4%1.6%-2.4%929.8K7.0M-367.7K0.6830.01N/AN/A4,1962,85468,61364,982
2016-09-16$24.68$24.0019.6%5.5%11.9%11.1%18.8%3.1%-0.9%625.7K5.1M-365.3K0.7417.87N/AN/A3,9992,97169,30365,113
2016-09-19$24.68$24.0021.1%6.0%11.8%12.2%19.5%1.1%-1.8%901.5K1.3M-357.1K0.6945.26N/AN/A3,6142,50163,88360,506
2016-09-20$24.58$24.0019.4%5.6%11.7%10.9%19.2%2.8%1.1%694.1K4.9M-355.0K0.7423.69N/AN/A3,8042,81864,61060,702
2016-09-21$24.83$24.0017.8%5.1%12.5%9.7%16.1%0.5%1.5%1.2M-4.6M-361.3K0.6844.15N/AN/A3,9052,66665,08961,085
2016-09-22$24.88$24.0017.9%5.1%12.4%9.8%17.2%0.0%0.3%1.3M-4.5M-343.9K1.1338.09N/AN/A4,6575,27565,25661,261
2016-09-23$24.60$24.0018.9%5.3%12.9%10.5%18.1%0.8%0.8%469.4K3.4M-355.3K1.0726.37N/AN/A4,9905,31967,32863,352
2016-09-26$24.14$24.0020.0%5.5%14.2%11.4%14.0%0.3%0.2%93.0K21.7M-361.6K1.4733.96N/AN/A3,9245,78266,72161,253
2016-09-27$24.37$24.0019.8%5.0%14.6%11.2%17.2%2.9%-2.0%362.5K13.8M-342.0K0.9329.31N/AN/A3,4663,23866,05962,154
2016-09-28$24.44$24.0018.3%5.3%14.6%10.1%18.3%2.1%-0.5%442.4K14.4M-358.0K0.8223.44N/AN/A3,8873,17666,23362,323
2016-09-29$24.48$24.0019.3%5.5%14.5%10.8%18.2%0.8%-0.1%330.9K10.5M-345.5K1.2843.54N/AN/A3,7674,84066,11762,439
2016-09-30$24.58$24.0018.5%5.2%14.4%10.2%16.4%1.4%0.0%267.0K7.4M-334.3K1.0133.64N/AN/A5,5905,63966,57364,203