FSP Options History — October 2008

In October 2008, FSP traded between $8.40 and $13.25. ATM implied volatility averaged 101.2%. The 30-day expected move averaged 29.3%. IV traded below realized volatility by 22.3% (HV 20d: 123.5%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 2.69.

Notable Days

  • 2008-10-17: Highest Volume — 488 contracts
  • 2008-10-21: Largest IV spike — 30.1% change
  • 2008-10-27: Largest Expected Move — 50.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.50$8.40$13.25$13.00$11.83
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV101.2%51.7%177.0%56.3%139.4%
Expected Move29.3%16.1%50.7%16.1%40.0%
HV 20d123.5%110.1%153.4%112.6%153.4%
HV 60d94.3%83.3%110.8%89.3%110.8%
Term Structure-3.1%-11.9%8.5%-0.4%-7.2%
VWIV98.1%60.0%146.4%60.0%122.9%
Bid-Ask Spread %73.6459.9699.9999.9959.96
Gamma HHI0.480.320.710.610.32
Net GEX8.9K1.3K20.1K16.6K3.9K
Net DEX-144.7K-379.4K172.0K-330.7K-310.4K
Net VEX-2.9K-3.7K-2.2K-3.0K-3.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.690.0018.521.000.00
Total Volume80.08704887292
Total OI1,731.7391,4532,1441,4552,029

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-10-01$13.00$12.5056.3%16.1%112.6%0.0%0.0%0.0%-0.4%16.6K-330.7K-3.0K0.0099.99N/AN/A071,107348
2008-10-02$12.80$12.5057.7%16.5%111.7%0.0%60.0%0.0%2.5%17.5K-226.9K-2.8K0.0095.58N/AN/A011,107346
2008-10-03$12.69$12.5059.4%17.0%111.6%0.0%75.2%0.0%4.2%16.5K-211.0K-2.7K1.0086.31N/AN/A20201,107347
2008-10-06$13.25$12.5051.7%16.9%112.0%0.0%0.0%0.0%-5.0%20.1K-304.2K-2.8K0.0087.89N/AN/A001,127367
2008-10-07$12.52$12.5060.5%17.6%111.7%0.0%0.0%0.0%-7.3%15.5K-199.6K-2.7K0.0076.87N/AN/A001,127367
2008-10-08$12.75$12.5060.4%17.4%110.1%0.0%0.0%0.0%-5.1%16.7K-206.7K-2.7K0.0080.70N/AN/A5001,127367
2008-10-09$11.20$12.5067.7%21.2%119.2%0.0%63.0%0.0%-7.2%10.8K12.7K-2.2K0.0085.24N/AN/A0401,177367
2008-10-10$13.15$12.5083.8%23.8%133.3%0.0%0.0%0.0%0.1%12.9K-334.7K-3.1K6.1867.50N/AN/A11681,177407
2008-10-13$13.20$12.5081.8%23.1%120.5%0.0%0.0%0.0%-3.9%12.8K-379.4K-3.3K0.0060.60N/AN/A01001,168472
2008-10-14$12.32$12.5086.4%22.9%111.4%0.0%80.5%0.0%-1.1%11.3K-311.8K-2.9K0.0072.08N/AN/A01811,168372
2008-10-15$10.50$12.5086.9%29.7%121.6%0.0%0.0%0.0%-4.0%7.4K-167.3K-2.2K0.0076.80N/AN/A0781,168293
2008-10-16$11.90$12.5090.3%25.9%125.7%0.0%0.0%0.0%-7.4%9.6K-304.7K-2.7K0.0067.62N/AN/A001,168371
2008-10-17$11.80$12.5097.0%27.8%125.2%0.0%138.3%0.0%-11.9%8.4K-287.9K-2.6K18.5267.07N/AN/A254631,168371
2008-10-20$11.36$12.50101.2%29.0%121.4%0.0%0.0%0.0%-10.6%3.7K-68.1K-3.4K0.0061.76N/AN/A101,105813
2008-10-21$10.94$12.50131.6%37.7%118.2%0.0%0.0%0.0%-8.0%3.5K-23.6K-3.2K2.5068.66N/AN/A20501,106813
2008-10-22$10.34$12.50128.5%36.8%119.0%0.0%0.0%0.0%-6.9%2.8K13.9K-3.2K0.0067.52N/AN/A001,126843
2008-10-23$9.81$12.50134.3%38.5%118.3%0.0%0.0%0.0%0.8%2.4K48.1K-3.0K0.0072.94N/AN/A001,126843
2008-10-24$9.16$12.50146.8%42.1%119.7%0.0%146.4%0.0%-2.0%1.8K129.2K-2.6K1.3366.47N/AN/A45601,126843
2008-10-27$8.40$12.50177.0%50.7%120.9%0.0%0.0%0.0%-11.6%1.3K172.0K-2.5K0.0078.92N/AN/A201,171903
2008-10-28$10.45$12.50140.7%40.3%146.0%0.0%0.0%0.0%8.5%2.5K82.5K-3.1K0.0066.48N/AN/A001,171903
2008-10-29$10.05$12.50141.2%40.5%146.2%0.0%122.9%0.0%4.1%2.8K46.3K-3.1K0.0066.47N/AN/A9001,171903
2008-10-30$11.02$12.50147.4%42.3%150.9%0.0%0.0%0.0%8.4%4.2K-166.9K-3.6K0.0060.32N/AN/A21801,241903
2008-10-31$11.83$12.50139.4%40.0%153.4%0.0%0.0%0.0%-7.2%3.9K-310.4K-3.7K0.0059.96N/AN/A29201,126903