ASHR Options History — December 2016

In December 2016, ASHR traded between $23.47 and $26.12. ATM implied volatility averaged 21.2%, placing in the 5.9% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 4.1% (HV 20d: 17.1%). Max pain ranged from $25.00 to $26.90. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.19.

Notable Days

  • 2016-12-30: Highest Volume — 18,098 contracts
  • 2016-12-27: Largest IV spike — 12.9% change
  • 2016-12-28: Highest IV Rank — 15.2%
  • 2016-12-02: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.48$23.47$26.12$26.12$23.47
Max Pain$26.41$25.00$26.90$26.50$26.90
ATM IV21.2%18.8%23.9%22.9%21.3%
Expected Move6.0%5.4%7.2%7.0%5.9%
HV 20d17.1%13.6%19.8%13.6%15.5%
HV 60d13.8%12.5%14.7%13.0%14.3%
IV Rank5.9%1.8%15.2%4.7%10.1%
IV Percentile26.5%7.9%42.1%34.9%30.2%
Term Structure0.5%-1.9%2.6%-0.3%0.2%
VWIV22.7%19.5%25.9%23.6%21.8%
Skew 25d1.8%-1.0%4.4%2.7%4.4%
Skew 10d2.5%-4.2%9.2%3.2%3.8%
Call IV 25d20.8%18.7%23.5%23.5%20.6%
Put IV 25d22.6%19.8%26.2%26.2%25.1%
Bid-Ask Spread %31.4214.7460.9136.7323.15
Gamma HHI0.150.100.250.180.10
Net GEX554.2K-994.5K1.8M1.8M-177.8K
Net DEX16.2M-22.3M37.7M-22.3M30.8M
Net VEX-331.4K-371.9K-275.1K-371.3K-336.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.313.030.820.31
Total Volume10,931.0488,07218,09810,37518,098
Total OI116,049.238111,301120,758111,301120,038

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$26.12$26.5022.9%7.0%13.6%4.7%23.6%2.7%-0.3%1.8M-22.3M-371.3K0.8236.73N/AN/A5,7134,66264,31346,988
2016-12-02$25.94$26.5023.9%7.2%13.9%5.5%23.0%3.6%-1.9%1.8M-18.0M-371.9K0.8133.37N/AN/A6,0444,92264,52147,056
2016-12-05$25.60$25.0022.2%6.5%14.7%4.1%24.9%2.0%0.9%1.8M-8.3M-349.1K1.2230.36N/AN/A3,7574,59464,31847,084
2016-12-06$25.35$25.0022.8%6.2%15.2%4.6%25.3%1.8%0.7%1.7M-1.5M-339.7K1.1628.34N/AN/A3,7934,38764,58547,286
2016-12-07$25.57$25.0021.8%6.1%15.3%3.7%25.1%2.4%1.5%1.8M-6.4M-345.2K1.2323.98N/AN/A3,6144,45864,78647,387
2016-12-08$25.30$25.0021.1%6.5%15.7%3.2%25.0%3.6%0.9%1.6M-1.8M-340.1K1.3422.45N/AN/A3,6514,88864,84347,502
2016-12-09$25.43$25.0020.1%6.0%15.5%2.3%25.4%3.1%1.6%1.6M-3.9M-338.7K2.3924.22N/AN/A4,0609,69964,72447,649
2016-12-12$24.59$26.9020.5%6.4%19.0%2.7%25.9%1.2%2.2%848.3K18.3M-319.0K2.5933.55N/AN/A3,98310,32364,43750,678
2016-12-13$24.65$26.9020.6%5.8%19.0%2.8%25.5%2.9%1.1%856.4K18.5M-332.5K3.0324.07N/AN/A3,54010,73364,94051,756
2016-12-14$24.29$26.9020.5%5.6%19.6%2.6%20.0%3.0%-1.5%246.0K23.7M-330.1K1.2626.28N/AN/A3,6914,64465,14353,478
2016-12-15$24.07$26.9019.5%5.6%19.8%1.8%20.1%0.1%0.8%-246.7K30.5M-288.0K1.2019.36N/AN/A3,9054,70165,05853,965
2016-12-16$23.97$26.9019.4%5.7%19.6%1.9%20.8%4.0%0.5%-994.5K32.9M-302.1K0.9316.15N/AN/A5,3284,96665,06754,414
2016-12-19$23.97$26.9018.8%5.4%19.5%3.4%19.5%0.9%1.9%-144.6K29.6M-275.1K0.7742.21N/AN/A5,1863,99161,09351,702
2016-12-20$23.79$26.9019.9%5.7%19.3%6.4%21.4%0.7%0.0%-77.4K29.6M-294.3K1.0954.35N/AN/A5,9526,49462,00052,023
2016-12-21$23.86$26.9019.4%5.6%18.5%5.3%21.6%0.9%2.6%-16.3K28.7M-337.7K0.9160.91N/AN/A6,1215,60063,38554,714
2016-12-22$23.78$26.9019.8%5.6%18.5%6.3%19.6%-1.0%2.1%-156.9K30.0M-328.9K0.8336.22N/AN/A5,7264,72663,86055,900
2016-12-23$23.52$26.9020.6%5.9%17.1%8.2%21.0%0.0%0.9%-811.8K37.7M-329.7K0.7833.95N/AN/A7,4695,84964,25856,500
2016-12-27$23.72$26.9023.2%6.0%17.7%15.0%20.8%2.0%-1.2%278.1K28.3M-352.1K0.8339.57N/AN/A5,9404,90464,99954,374
2016-12-28$23.47$26.9023.3%6.0%16.1%15.2%22.8%-0.0%-0.4%43.8K31.9M-340.7K0.8135.87N/AN/A5,6374,56765,18355,123
2016-12-29$23.53$26.9023.0%6.0%16.3%14.4%22.6%-0.2%-1.6%-169.8K32.0M-336.7K0.7014.74N/AN/A5,4283,80865,13254,772
2016-12-30$23.47$26.9021.3%5.9%15.5%10.1%21.8%4.4%0.2%-177.8K30.8M-336.9K0.3123.15N/AN/A13,8344,26465,32054,718