FSP Options History — July 2008

In July 2008, FSP traded between $12.05 and $14.80. ATM implied volatility averaged 51.9%. The 30-day expected move averaged 15.1%. IV traded below realized volatility by 57.8% (HV 20d: 109.6%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 1.20.

Notable Days

  • 2008-07-09: Highest Volume — 510 contracts
  • 2008-07-30: Largest IV drop — 28.5% change
  • 2008-07-07: Largest Expected Move — 17.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.08$12.05$14.80$12.90$12.27
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV51.9%39.9%59.6%50.6%41.2%
Expected Move15.1%11.4%17.3%14.5%11.8%
HV 20d109.6%105.3%116.0%107.2%110.3%
Term Structure0.5%-4.8%12.5%8.7%7.3%
VWIV53.8%51.1%58.3%51.1%52.1%
Bid-Ask Spread %65.6726.6686.3366.0640.92
Gamma HHI0.770.500.920.840.90
Net GEX9.8K-3132.5K022.7K
Net DEX-155.2K-543.6K88.1K0-178.1K
Net VEX-1.3K-2.4K00-2.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.200.0010.200.240.02
Total Volume84.8180510062
Total OI768.04501,45301,453

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-07-01$12.90$0.0050.6%14.5%0.0%0.0%0.0%0.0%8.7%0000.0066.06N/AN/A0000
2008-07-02$12.68$0.0049.7%14.3%0.0%0.0%0.0%0.0%10.0%0000.0065.56N/AN/A0000
2008-07-03$12.72$0.0046.4%13.3%0.0%0.0%0.0%0.0%12.5%0000.0034.75N/AN/A0000
2008-07-07$12.59$0.0049.3%17.3%0.0%0.0%0.0%0.0%-3.9%0000.0055.79N/AN/A0000
2008-07-08$14.50$0.0047.1%16.8%0.0%0.0%0.0%0.0%-2.0%0000.0058.30N/AN/A0000
2008-07-09$12.53$0.0059.6%14.6%0.0%0.0%51.1%0.0%-3.2%0000.2483.83N/AN/A41010000
2008-07-10$13.30$12.5050.3%14.4%0.0%0.0%0.0%0.0%-3.8%9.0K-230.5K-1.0K0.0073.97N/AN/A0100360100
2008-07-11$13.51$12.5050.6%14.5%0.0%0.0%0.0%0.0%-2.7%6.6K-181.2K-1.3K0.5074.04N/AN/A10050360200
2008-07-14$13.14$12.5051.5%14.8%0.0%0.0%0.0%0.0%-2.4%6.4K-85.5K-1.5K0.0083.01N/AN/A100360250
2008-07-15$12.99$12.5050.8%14.6%0.0%0.0%0.0%0.0%-2.3%7.2K-121.9K-1.2K0.0083.75N/AN/A00370250
2008-07-16$14.80$12.5049.4%14.2%0.0%0.0%0.0%0.0%-3.1%-31-341.5K-1.1K0.0026.66N/AN/A0119370250
2008-07-17$14.47$12.5047.3%13.5%0.0%0.0%0.0%0.0%5.0%334-271.2K-1.3K0.2955.70N/AN/A20058370369
2008-07-18$14.27$12.5058.8%16.9%107.2%0.0%0.0%0.0%-4.8%213-543.6K-1.3K10.2052.57N/AN/A10102570424
2008-07-21$12.60$12.5058.3%16.7%116.0%0.0%58.3%0.0%-2.8%2.6K88.1K-2.0K0.2882.55N/AN/A34194580526
2008-07-22$13.10$12.5057.3%16.4%113.4%0.0%0.0%0.0%-2.0%26.3K-420.7K-2.4K0.0082.77N/AN/A00881511
2008-07-23$12.98$12.5057.4%16.4%110.0%0.0%0.0%0.0%-0.5%32.5K-366.7K-2.4K0.0083.08N/AN/A400881472
2008-07-24$12.42$12.5057.2%16.4%108.2%0.0%0.0%0.0%-1.5%29.2K22.7K-2.1K0.0086.33N/AN/A00921472
2008-07-25$12.51$12.5054.4%15.6%105.3%0.0%0.0%0.0%-0.7%15.3K-176.4K-2.4K0.0084.93N/AN/A00921472
2008-07-28$12.05$12.5058.3%16.7%106.1%0.0%0.0%0.0%-3.4%13.7K-58.8K-2.2K0.0064.92N/AN/A00921472
2008-07-29$12.97$12.5055.8%16.0%109.5%0.0%52.1%0.0%3.3%17.5K-403.5K-2.4K0.0062.21N/AN/A350921472
2008-07-30$12.42$12.5039.9%11.4%110.4%0.0%0.0%0.0%2.5%26.0K-146.3K-2.3K0.5243.12N/AN/A2312946472
2008-07-31$12.27$12.5041.2%11.8%110.3%0.0%0.0%0.0%7.3%22.7K-178.1K-2.4K0.0240.92N/AN/A611969484