FSP Options History — February 2009

In February 2009, FSP traded between $10.60 and $13.05. ATM implied volatility averaged 91.4%, placing in the 40.8% IV rank vs the trailing year. The 30-day expected move averaged 26.4%. IV traded below realized volatility by 5.1% (HV 20d: 96.5%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 4.24.

Notable Days

2009-02-17: Highest Volume — 670 contracts
2009-02-17: Largest IV spike — 14.6% change
2009-02-04: Highest IV Rank — 47.9%
2009-02-04: Largest Expected Move — 29.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.82	$10.60	$13.05	$12.23	$10.60
Max Pain	$13.29	$12.50	$15.00	$12.50	$12.50
ATM IV	91.4%	80.6%	102.5%	101.3%	87.7%
Expected Move	26.4%	23.4%	29.4%	29.0%	25.1%
HV 20d	96.5%	85.3%	108.7%	85.3%	102.8%
HV 60d	156.9%	130.7%	170.4%	170.4%	130.7%
IV Rank	40.8%	33.8%	47.9%	47.2%	38.4%
IV Percentile	56.1%	44.9%	71.9%	67.5%	52.1%
Term Structure	-1.1%	-9.0%	5.9%	-7.3%	3.4%
VWIV	93.7%	77.0%	118.3%	102.5%	81.6%
Bid-Ask Spread %	49.58	28.53	65.80	56.18	60.16
Gamma HHI	0.58	0.40	0.82	0.69	0.49
Net GEX	15.9K	-17.0K	32.4K	14.2K	20.8K
Net DEX	-574.7K	-1.3M	66.4K	-532.3K	-507.2K
Net VEX	-5.3K	-6.6K	-3.8K	-5.7K	-4.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.24	0.00	58.50	4.29	0.00
Total Volume	252.737	10	670	74	10
Total OI	3,779.474	3,091	4,307	3,508	3,980

Daily Data (19 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
2009-02-02	$12.23	$12.50	101.3%	29.0%	85.3%	47.2%	102.5%	0.0%	-7.3%	14.2K	-532.3K	-5.7K	4.29	56.18	N/A	N/A	14	60	2,390	1,118
2009-02-03	$12.62	$12.50	101.1%	29.0%	86.3%	47.1%	101.5%	0.0%	-8.3%	17.7K	-742.6K	-5.9K	0.70	42.94	N/A	N/A	50	35	2,394	1,088
2009-02-04	$11.91	$12.50	102.5%	29.4%	86.0%	47.9%	118.3%	0.0%	-7.6%	13.0K	-468.4K	-5.5K	10.00	38.45	N/A	N/A	1	10	2,424	1,123
2009-02-05	$11.61	$12.50	94.0%	26.9%	85.3%	42.4%	95.6%	0.0%	-4.0%	10.9K	-316.8K	-5.2K	0.17	60.44	N/A	N/A	200	35	2,425	1,133
2009-02-06	$12.96	$15.00	93.8%	26.3%	95.2%	42.3%	0.0%	0.0%	5.9%	21.7K	-876.5K	-5.9K	1.00	30.54	N/A	N/A	10	10	2,585	1,138
2009-02-09	$13.05	$15.00	90.9%	26.3%	93.3%	40.4%	104.7%	0.0%	-0.0%	23.1K	-935.9K	-5.7K	3.25	32.19	N/A	N/A	12	39	2,595	1,148
2009-02-10	$11.80	$15.00	81.7%	25.0%	99.4%	34.5%	77.0%	0.0%	1.9%	11.0K	-343.9K	-5.0K	58.50	50.48	N/A	N/A	10	585	2,607	1,177
2009-02-11	$12.12	$15.00	80.6%	25.0%	99.7%	33.8%	0.0%	0.0%	1.6%	15.2K	-487.0K	-5.0K	0.00	51.05	N/A	N/A	40	0	2,612	1,095
2009-02-12	$12.04	$15.00	87.5%	25.1%	98.4%	38.2%	108.8%	0.0%	2.0%	16.2K	-574.3K	-4.9K	2.00	28.53	N/A	N/A	20	40	2,636	1,095
2009-02-13	$11.51	$15.00	85.4%	24.5%	99.4%	36.9%	84.5%	0.0%	2.3%	7.1K	-146.8K	-4.3K	0.02	30.57	N/A	N/A	420	10	2,636	1,115
2009-02-17	$10.99	$12.50	97.9%	28.1%	100.5%	45.0%	85.3%	0.0%	-0.1%	12.1K	66.4K	-3.8K	0.02	59.96	N/A	N/A	660	10	2,941	1,115
2009-02-18	$11.28	$12.50	89.7%	25.7%	91.7%	39.7%	91.7%	0.0%	-0.2%	13.7K	-344.1K	-4.9K	0.00	48.28	N/A	N/A	50	0	3,182	1,125
2009-02-19	$11.05	$12.50	99.4%	28.5%	89.5%	46.0%	93.8%	0.0%	3.5%	12.9K	-73.2K	-4.3K	0.50	47.85	N/A	N/A	40	20	3,087	1,125
2009-02-20	$12.46	$12.50	90.2%	25.8%	96.4%	40.0%	87.0%	0.0%	-0.7%	-17.0K	-763.0K	-5.1K	0.03	56.34	N/A	N/A	540	15	3,097	1,125
2009-02-23	$11.32	$12.50	91.8%	26.3%	102.7%	41.0%	90.8%	0.0%	-7.3%	19.7K	-843.5K	-5.8K	0.08	61.97	N/A	N/A	610	50	2,450	641
2009-02-24	$12.37	$12.50	91.4%	26.2%	107.2%	40.8%	82.8%	0.0%	-9.0%	29.3K	-1.3M	-6.6K	0.04	57.27	N/A	N/A	643	25	2,726	663
2009-02-25	$11.55	$12.50	81.6%	23.4%	108.7%	34.4%	81.6%	0.0%	-1.5%	32.4K	-948.5K	-6.1K	0.05	65.80	N/A	N/A	110	5	3,319	638
2009-02-26	$11.10	$12.50	88.2%	25.3%	105.3%	38.7%	0.0%	0.0%	3.6%	29.1K	-811.1K	-5.8K	0.00	62.96	N/A	N/A	413	0	3,424	638
2009-02-27	$10.60	$12.50	87.7%	25.1%	102.8%	38.4%	0.0%	0.0%	3.4%	20.8K	-507.2K	-4.8K	0.00	60.16	N/A	N/A	10	0	3,342	638