FSP Options History — January 2009

In January 2009, FSP traded between $10.97 and $14.63. ATM implied volatility averaged 99.7%, placing in the 46.1% IV rank vs the trailing year. The 30-day expected move averaged 28.8%. IV traded below realized volatility by 14.7% (HV 20d: 114.4%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.66.

Notable Days

2009-01-28: Highest Volume — 885 contracts
2009-01-09: Largest IV spike — 36.1% change
2009-01-20: Highest IV Rank — 56.9%
2009-01-20: Largest Expected Move — 33.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.57	$10.97	$14.63	$14.15	$11.42
Max Pain	$12.38	$10.00	$12.50	$10.00	$12.50
ATM IV	99.7%	73.9%	116.2%	81.9%	100.2%
Expected Move	28.8%	23.5%	33.3%	23.5%	28.7%
HV 20d	114.4%	81.1%	162.1%	162.1%	81.1%
HV 60d	176.0%	169.3%	184.5%	184.5%	169.8%
IV Rank	46.1%	29.5%	56.9%	34.6%	46.5%
IV Percentile	67.2%	54.1%	76.1%	56.5%	64.7%
Term Structure	-2.0%	-12.9%	5.8%	-1.3%	-6.5%
VWIV	103.7%	83.0%	118.0%	103.4%	101.9%
Bid-Ask Spread %	39.72	22.18	57.74	53.63	39.35
Gamma HHI	0.56	0.44	0.87	0.62	0.64
Net GEX	28.0K	2.2K	151.0K	36.1K	10.3K
Net DEX	-1.0M	-2.5M	-82.1K	-2.2M	-301.8K
Net VEX	-6.0K	-7.1K	-4.5K	-6.2K	-5.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.66	0.00	5.83	3.05	0.50
Total Volume	139.4	0	885	664	0
Total OI	3,608.65	2,713	4,507	3,069	3,508

Daily Data (20 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
2009-01-02	$14.15	$10.00	81.9%	23.5%	162.1%	34.6%	103.4%	0.0%	-1.3%	36.1K	-2.2M	-6.2K	3.05	53.63	N/A	N/A	164	500	2,609	460
2009-01-05	$13.97	$12.50	94.2%	25.0%	158.9%	42.6%	0.0%	0.0%	-2.8%	27.2K	-2.1M	-6.7K	0.49	28.41	N/A	N/A	155	76	2,767	960
2009-01-06	$14.63	$12.50	84.1%	24.1%	153.5%	36.1%	84.8%	0.0%	1.9%	27.8K	-2.5M	-7.0K	1.49	31.02	N/A	N/A	55	82	2,914	1,036
2009-01-07	$13.98	$12.50	84.2%	23.7%	148.3%	36.1%	0.0%	0.0%	2.7%	29.2K	-2.1M	-7.1K	0.00	28.23	N/A	N/A	0	20	2,967	1,075
2009-01-08	$13.83	$12.50	73.9%	26.4%	140.9%	29.5%	113.6%	0.0%	0.1%	30.1K	-2.2M	-6.8K	0.00	30.16	N/A	N/A	30	0	2,967	1,091
2009-01-09	$13.10	$12.50	100.6%	31.5%	138.6%	46.8%	109.3%	0.0%	-6.0%	36.0K	-1.6M	-7.0K	0.00	22.18	N/A	N/A	0	30	2,997	1,215
2009-01-12	$12.68	$12.50	107.2%	31.1%	122.9%	51.0%	108.7%	0.0%	-7.3%	35.9K	-1.2M	-6.9K	0.00	32.09	N/A	N/A	0	58	2,997	1,465
2009-01-13	$12.90	$12.50	114.4%	31.3%	114.4%	55.7%	106.0%	0.0%	-12.9%	37.6K	-1.4M	-6.9K	5.00	30.81	N/A	N/A	2	10	2,997	1,500
2009-01-14	$12.32	$12.50	101.6%	29.7%	108.3%	47.4%	103.3%	0.0%	-1.7%	37.5K	-808.1K	-6.5K	0.23	33.59	N/A	N/A	118	27	2,999	1,500
2009-01-15	$12.50	$12.50	104.8%	30.0%	94.9%	49.5%	0.0%	0.0%	-2.4%	63.0K	-971.4K	-6.5K	0.00	36.76	N/A	N/A	0	0	3,030	1,477
2009-01-16	$12.45	$12.50	101.4%	29.1%	94.6%	47.3%	0.0%	0.0%	-0.2%	151.0K	-825.2K	-6.2K	0.85	36.85	N/A	N/A	40	34	3,030	1,477
2009-01-20	$11.05	$12.50	116.2%	33.3%	97.9%	56.9%	101.4%	0.0%	5.8%	3.0K	-156.5K	-4.8K	3.33	54.82	N/A	N/A	3	10	1,777	1,021
2009-01-21	$11.70	$12.50	103.2%	29.6%	95.7%	48.4%	0.0%	0.0%	0.6%	4.5K	-350.4K	-5.3K	0.00	50.66	N/A	N/A	0	0	1,778	1,021
2009-01-22	$10.97	$12.50	115.3%	33.0%	97.7%	56.2%	118.0%	0.0%	3.2%	2.3K	-105.1K	-4.8K	0.50	57.74	N/A	N/A	120	60	1,778	1,021
2009-01-23	$11.23	$12.50	114.3%	32.8%	98.2%	55.6%	110.0%	0.0%	3.4%	2.3K	-82.1K	-4.5K	5.83	55.34	N/A	N/A	30	175	1,698	1,015
2009-01-26	$11.48	$12.50	96.9%	27.8%	98.5%	44.3%	104.8%	0.0%	-3.5%	2.2K	-168.7K	-4.8K	0.00	56.08	N/A	N/A	89	0	1,718	1,089
2009-01-27	$12.05	$12.50	96.9%	27.8%	99.3%	44.3%	0.0%	0.0%	3.1%	3.6K	-332.5K	-5.2K	0.00	41.25	N/A	N/A	0	0	1,769	1,089
2009-01-28	$13.02	$12.50	100.6%	28.8%	100.3%	46.8%	83.0%	0.0%	-6.4%	7.6K	-675.5K	-5.7K	0.28	32.73	N/A	N/A	690	195	1,769	1,089
2009-01-29	$12.01	$12.50	101.6%	29.1%	81.3%	47.4%	101.9%	0.0%	-9.1%	13.6K	-502.7K	-5.8K	0.50	42.74	N/A	N/A	10	5	2,390	1,113
2009-01-30	$11.42	$12.50	100.2%	28.7%	81.1%	46.5%	0.0%	0.0%	-6.5%	10.3K	-301.8K	-5.4K	0.00	39.35	N/A	N/A	0	0	2,390	1,118