FSP Options History — August 2008

In August 2008, FSP traded between $12.33 and $13.69. ATM implied volatility averaged 44.5%. The 30-day expected move averaged 14.3%. IV traded below realized volatility by 27.5% (HV 20d: 72.0%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2008-08-15: Highest Volume — 1,120 contracts
  • 2008-08-11: Largest IV spike — 44.1% change
  • 2008-08-08: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.04$12.33$13.69$12.35$12.73
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV44.5%28.4%54.7%38.1%39.9%
Expected Move14.3%10.9%15.6%10.9%11.4%
HV 20d72.0%50.0%110.3%110.3%50.6%
HV 60d80.1%80.1%80.1%80.1%80.1%
Term Structure0.2%-7.2%9.1%9.1%4.8%
VWIV45.8%38.1%53.4%38.1%53.4%
Bid-Ask Spread %76.0741.6394.9541.6393.41
Gamma HHI0.740.520.980.910.56
Net GEX21.8K5.2K33.1K27.8K21.2K
Net DEX-661.6K-1.1M-195.4K-195.4K-475.5K
Net VEX-3.0K-4.1K-1.9K-2.5K-3.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume68.57101,1202000
Total OI1,528.9051,4911,6031,5131,503

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-08-01$12.35$12.5038.1%10.9%110.3%0.0%38.1%0.0%9.1%27.8K-195.4K-2.5K0.0041.63N/AN/A02001,028485
2008-08-04$12.41$12.5040.0%15.3%110.3%0.0%0.0%0.0%-1.3%28.9K-280.6K-2.4K0.0074.86N/AN/A2001,028485
2008-08-05$13.17$12.5029.9%15.3%99.6%0.0%0.0%0.0%-2.1%25.7K-801.6K-2.2K0.0066.44N/AN/A001,048485
2008-08-06$12.87$12.5039.3%15.2%85.0%0.0%53.4%0.0%-0.7%29.7K-579.4K-2.4K0.0067.02N/AN/A1001,048485
2008-08-07$12.33$12.5035.2%15.4%83.4%0.0%0.0%0.0%-7.2%31.2K-320.4K-2.3K0.0075.05N/AN/A001,058485
2008-08-08$13.00$12.5028.4%15.6%85.6%0.0%0.0%0.0%-2.5%33.1K-747.7K-2.2K0.0072.11N/AN/A061,058485
2008-08-11$13.50$12.5041.0%14.8%86.1%0.0%0.0%0.0%1.4%13.4K-979.7K-1.9K0.0067.60N/AN/A5401,058491
2008-08-12$13.08$12.5041.0%14.9%86.8%0.0%0.0%0.0%0.4%29.8K-842.2K-2.2K0.0072.27N/AN/A0101,112491
2008-08-13$13.26$12.5054.7%14.7%72.3%0.0%0.0%0.0%1.0%22.6K-924.7K-2.1K0.0069.84N/AN/A001,112491
2008-08-14$13.59$12.5052.1%14.9%72.8%0.0%0.0%0.0%0.2%11.3K-1.0M-2.0K0.0068.23N/AN/A001,112491
2008-08-15$13.58$12.5050.9%14.6%72.6%0.0%0.0%0.0%0.9%5.2K-1.1M-1.9K0.0066.19N/AN/A1,12001,112491
2008-08-18$13.06$12.5052.3%15.0%58.6%0.0%0.0%0.0%-2.4%18.8K-632.1K-4.1K0.0079.70N/AN/A001,252239
2008-08-19$12.95$12.5050.2%14.4%57.0%0.0%0.0%0.0%-0.8%18.8K-589.7K-3.9K0.0086.52N/AN/A001,252239
2008-08-20$13.24$12.5051.4%14.7%57.5%0.0%0.0%0.0%-1.9%19.3K-652.8K-4.0K0.0079.79N/AN/A001,252239
2008-08-21$13.17$12.5049.5%14.2%55.0%0.0%0.0%0.0%0.9%19.5K-635.1K-4.0K0.0079.43N/AN/A001,252239
2008-08-22$13.69$12.5048.9%14.0%56.5%0.0%0.0%0.0%2.3%21.1K-757.6K-4.0K0.0076.58N/AN/A1001,252239
2008-08-25$12.92$12.5049.4%14.2%58.9%0.0%0.0%0.0%-0.6%19.7K-589.9K-3.8K0.0088.87N/AN/A0101,262239
2008-08-26$13.00$12.5050.3%14.4%52.8%0.0%0.0%0.0%-0.6%19.8K-587.9K-3.8K0.0088.36N/AN/A001,262241
2008-08-27$12.98$12.5049.8%14.3%50.2%0.0%0.0%0.0%0.4%20.0K-575.7K-3.8K0.0088.54N/AN/A001,262241
2008-08-28$13.00$12.5042.7%12.2%50.0%0.0%0.0%0.0%2.7%20.8K-613.4K-3.8K0.0094.95N/AN/A001,262241
2008-08-29$12.73$12.5039.9%11.4%50.6%0.0%0.0%0.0%4.8%21.2K-475.5K-3.5K0.0093.41N/AN/A001,262241