FSP Options History — December 2008

In December 2008, FSP traded between $8.65 and $14.75. ATM implied volatility averaged 106.8%, placing in the 42.6% IV rank vs the trailing year. The 30-day expected move averaged 31.1%. IV traded below realized volatility by 119.1% (HV 20d: 226.0%). Max pain ranged from $7.50 to $12.50. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.35.

Notable Days

  • 2008-12-05: Highest Volume — 1,079 contracts
  • 2008-12-11: Largest IV spike — 38.3% change
  • 2008-12-29: Highest IV Rank — 46.9%
  • 2008-12-01: Largest Expected Move — 39.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.20$8.65$14.75$8.65$14.75
Max Pain$9.09$7.50$12.50$12.50$10.00
ATM IV106.8%82.4%137.9%137.9%82.4%
Expected Move31.1%23.6%39.5%39.5%23.6%
HV 20d226.0%161.0%240.4%214.8%161.0%
HV 60d177.5%163.0%184.7%163.0%184.6%
IV Rank42.6%35.0%46.9%45.3%35.0%
IV Percentile63.9%56.9%68.8%65.9%56.9%
Term Structure4.9%-6.9%19.9%19.9%-3.0%
VWIV101.1%53.9%129.8%129.8%53.9%
Bid-Ask Spread %63.4846.2885.2575.3857.95
Gamma HHI0.620.300.930.440.60
Net GEX33.7K-3.0K118.9K-3.0K35.5K
Net DEX-1.0M-2.5M309.5K309.5K-2.4M
Net VEX-3.3K-5.4K-1.8K-1.8K-5.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.003.763.760.81
Total Volume204.13601,0790318
Total OI2,719.9091,8654,0921,9792,761

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-12-01$8.65$12.50137.9%39.5%214.8%0.0%0.0%0.0%19.9%-3.0K309.5K-1.8K0.0075.38N/AN/A001,038941
2008-12-02$11.28$12.50120.2%34.5%236.9%0.0%129.8%0.0%-6.9%2.2K-33.7K-2.7K3.7680.39N/AN/A1053951,038941
2008-12-03$11.18$12.50130.8%37.5%236.8%0.0%0.0%0.0%4.8%3.3K-140.7K-2.7K0.0078.05N/AN/A2001,093946
2008-12-04$10.35$12.50136.1%39.0%223.6%0.0%0.0%0.0%-3.2%-284125.7K-2.2K0.0085.25N/AN/A001,113946
2008-12-05$11.80$7.5097.3%29.6%228.0%0.0%104.4%0.0%8.8%5.2K-203.8K-2.7K0.0049.15N/AN/A1,07901,113946
2008-12-08$13.40$7.5094.7%29.1%228.1%0.0%104.7%0.0%10.4%38.0K-1.5M-3.7K0.0054.74N/AN/A21202,128946
2008-12-09$11.85$7.5098.6%29.8%228.9%0.0%104.1%0.0%10.6%23.7K-838.8K-3.8K0.0053.66N/AN/A1002,197946
2008-12-10$13.03$7.5090.3%30.4%230.9%0.0%110.0%0.0%2.8%41.6K-1.4M-3.5K0.0046.28N/AN/A9002,207946
2008-12-11$10.93$7.50124.9%35.8%240.4%0.0%0.0%0.0%6.4%23.9K-445.6K-3.2K0.0067.02N/AN/A202,287946
2008-12-12$12.43$7.50101.3%29.0%236.3%0.0%101.1%0.0%11.9%37.6K-1.2M-3.6K0.0062.25N/AN/A60702,289946
2008-12-15$11.15$7.50130.5%37.4%232.5%0.0%0.0%0.0%11.1%33.3K-615.1K-3.4K0.0064.14N/AN/A3702,846946
2008-12-16$12.90$7.5099.3%28.5%237.6%0.0%98.7%0.0%7.4%71.0K-1.9M-3.7K0.0064.86N/AN/A20402,851946
2008-12-17$13.15$7.50105.1%30.1%237.5%0.0%102.1%0.0%3.5%88.5K-2.3M-3.7K0.0067.12N/AN/A36503,015946
2008-12-18$11.94$7.50102.2%29.3%240.1%0.0%0.0%0.0%4.9%82.8K-1.2M-3.7K0.0067.34N/AN/A053,146946
2008-12-19$12.92$7.50108.1%31.0%239.6%0.0%109.3%0.0%-2.3%118.9K-2.5M-3.7K0.1767.27N/AN/A120203,126951
2008-12-22$12.55$7.50102.2%29.3%235.8%0.0%111.3%0.0%4.1%21.7K-1.0M-3.3K1.5070.22N/AN/A461,554311
2008-12-23$12.60$10.0099.4%28.5%224.0%0.0%91.5%0.0%4.7%23.3K-932.4K-3.3K0.0068.69N/AN/A1101,558316
2008-12-24$12.35$10.0098.4%28.2%224.1%45.3%0.0%0.0%4.3%22.5K-898.3K-3.3K0.0057.84N/AN/A4001,569316
2008-12-26$12.80$10.0098.5%28.2%224.4%45.4%0.0%0.0%4.4%25.7K-1.1M-3.4K0.0055.29N/AN/A301,609316
2008-12-29$11.98$10.00100.8%28.9%225.5%46.9%0.0%0.0%3.0%24.6K-814.1K-3.1K0.0053.75N/AN/A001,612316
2008-12-30$14.30$10.0091.3%26.2%184.3%40.7%93.6%0.0%0.3%22.3K-1.5M-3.3K0.0149.97N/AN/A826121,612316
2008-12-31$14.75$10.0082.4%23.6%161.0%35.0%53.9%0.0%-3.0%35.5K-2.4M-5.4K0.8157.95N/AN/A1761422,433328