FSP Options History — September 2008 In September 2008, FSP traded between $11.25 and $13.49. ATM implied volatility averaged 49.1%. The 30-day expected move averaged 14.6%. IV traded below realized volatility by 29.4% (HV 20d: 78.5%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.24.
Notable Days 2008-09-16 : Highest Volume — 282 contracts2008-09-15 : Largest IV spike — 81.3% change2008-09-15 : Largest Expected Move — 23.7%Monthly Statistics Metric Avg Min Max Open Close Price $12.80 $11.25 $13.49 $12.89 $13.00 Max Pain $12.88 $12.50 $15.00 $12.50 $12.50 ATM IV 49.1% 29.6% 82.8% 42.6% 58.4% Expected Move 14.6% 12.2% 23.7% 12.2% 16.7% HV 20d 78.5% 43.4% 112.7% 50.8% 112.7% HV 60d 84.9% 76.2% 94.0% 79.2% 94.0% Term Structure -1.9% -88.3% 5.5% 5.1% -2.8% VWIV 44.0% 31.2% 56.8% 43.2% 39.7% Bid-Ask Spread % 88.85 68.23 120.10 68.23 98.66 Gamma HHI 0.58 0.51 0.65 0.55 0.58 Net GEX 18.7K 12.5K 23.9K 21.5K 16.4K Net DEX -455.3K -632.2K -182.1K -537.2K -401.3K Net VEX -3.3K -3.6K -2.7K -3.6K -3.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.24 0.00 10.00 0.00 0.00 Total Volume 39.81 0 282 0 0 Total OI 1,476.905 1,370 1,558 1,503 1,455
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2008-09-02 $12.89 $12.50 42.6% 12.2% 50.8% 0.0% 0.0% 0.0% 5.1% 21.5K -537.2K -3.6K 0.00 68.23 N/A N/A 0 0 1,262 241 2008-09-03 $13.05 $12.50 43.4% 12.5% 46.3% 0.0% 43.2% 0.0% 5.3% 21.8K -589.7K -3.6K 0.00 71.02 N/A N/A 6 0 1,262 241 2008-09-04 $12.50 $12.50 43.1% 12.4% 48.1% 0.0% 0.0% 0.0% 3.5% 21.0K -440.7K -3.4K 0.00 94.83 N/A N/A 0 10 1,267 241 2008-09-05 $12.70 $0.00 41.0% 13.1% 45.8% 0.0% 0.0% 0.0% 2.3% 22.3K -471.7K -3.4K 0.00 84.22 N/A N/A 0 10 1,267 251 2008-09-08 $13.14 $0.00 36.5% 13.5% 43.4% 0.0% 0.0% 0.0% 1.4% 23.1K -632.2K -3.6K 0.00 94.40 N/A N/A 0 0 1,267 261 2008-09-09 $12.36 $0.00 44.1% 13.9% 46.3% 0.0% 0.0% 0.0% 1.3% 21.3K -373.1K -3.2K 0.00 82.37 N/A N/A 0 0 1,267 261 2008-09-10 $13.05 $0.00 29.6% 12.9% 49.5% 0.0% 0.0% 0.0% 3.1% 23.9K -590.9K -3.4K 2.00 85.96 N/A N/A 10 20 1,267 261 2008-09-11 $13.03 $0.00 46.8% 13.4% 49.3% 0.0% 0.0% 0.0% 2.7% 22.9K -584.1K -3.5K 0.00 84.62 N/A N/A 0 0 1,267 281 2008-09-12 $13.10 $0.00 45.7% 13.1% 48.4% 0.0% 0.0% 0.0% 5.5% 23.4K -613.8K -3.5K 0.00 87.04 N/A N/A 0 0 1,267 281 2008-09-15 $11.25 $0.00 82.8% 23.7% 72.1% 0.0% 0.0% 0.0% -88.3% 16.5K -468.6K -3.1K 0.00 86.57 N/A N/A 220 0 1,267 281 2008-09-16 $13.04 $0.00 46.9% 13.5% 90.1% 0.0% 31.2% 0.0% 3.6% 20.1K -610.0K -3.3K 0.00 88.00 N/A N/A 282 0 1,197 281 2008-09-17 $12.00 $15.00 50.4% 14.4% 94.8% 0.0% 0.0% 0.0% 0.8% 18.5K -253.1K -2.7K 0.00 85.51 N/A N/A 10 0 1,154 281 2008-09-18 $13.15 $15.00 56.5% 16.2% 100.3% 0.0% 56.8% 0.0% -3.2% 19.5K -580.4K -3.1K 10.00 85.56 N/A N/A 13 130 1,154 281 2008-09-19 $13.49 $12.50 51.2% 14.7% 100.7% 0.0% 49.0% 0.0% 1.8% 14.5K -624.9K -3.4K 0.37 95.89 N/A N/A 19 7 1,167 391 2008-09-22 $12.26 $12.50 52.3% 15.0% 105.3% 0.0% 39.7% 0.0% 2.1% 12.5K -182.1K -2.9K 0.00 88.51 N/A N/A 24 0 1,029 341 2008-09-23 $13.22 $12.50 52.5% 15.1% 107.1% 0.0% 0.0% 0.0% 3.8% 14.9K -352.4K -3.2K 0.00 87.21 N/A N/A 0 0 1,040 348 2008-09-24 $12.75 $12.50 52.5% 15.1% 107.9% 0.0% 0.0% 0.0% 4.1% 13.6K -303.4K -3.1K 0.00 89.30 N/A N/A 0 0 1,040 348 2008-09-25 $13.27 $12.50 51.7% 14.8% 108.9% 0.0% 0.0% 0.0% 0.6% 14.9K -362.6K -3.2K 0.00 90.29 N/A N/A 25 0 1,040 348 2008-09-26 $13.25 $12.50 50.6% 14.5% 108.9% 0.0% 0.0% 0.0% 5.4% 16.2K -350.6K -3.2K 0.00 97.55 N/A N/A 50 0 1,057 348 2008-09-29 $12.38 $12.50 52.8% 15.1% 111.4% 0.0% 0.0% 0.0% 1.8% 14.7K -237.9K -3.0K 0.00 120.10 N/A N/A 0 0 1,107 348 2008-09-30 $13.00 $12.50 58.4% 16.7% 112.7% 0.0% 0.0% 0.0% -2.8% 16.4K -401.3K -3.2K 0.00 98.66 N/A N/A 0 0 1,107 348
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