FSP Options History — March 2009

In March 2009, FSP traded between $10.09 and $13.28. ATM implied volatility averaged 87.0%, placing in the 37.9% IV rank vs the trailing year. The 30-day expected move averaged 24.6%. IV traded below realized volatility by 27.2% (HV 20d: 114.2%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.64.

Notable Days

  • 2009-03-24: Highest Volume — 1,205 contracts
  • 2009-03-23: Largest IV drop — 26.2% change
  • 2009-03-02: Highest IV Rank — 47.9%
  • 2009-03-02: Largest Expected Move — 29.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.54$10.09$13.28$10.09$12.30
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV87.0%72.0%102.4%102.4%79.1%
Expected Move24.6%20.6%29.3%29.3%22.7%
HV 20d114.2%95.6%135.2%102.7%135.2%
HV 60d108.7%98.7%119.2%119.1%107.6%
IV Rank37.9%28.2%47.9%47.9%32.8%
IV Percentile51.1%39.5%74.1%74.1%41.9%
Term Structure2.5%-10.2%10.9%-10.2%10.9%
VWIV83.1%70.3%101.0%101.0%77.1%
Bid-Ask Spread %54.9227.9182.7266.6072.41
Gamma HHI0.450.360.570.470.49
Net GEX30.9K9.1K58.9K14.9K47.4K
Net DEX-881.9K-1.7M-138.6K-286.6K-1.6M
Net VEX-5.5K-7.5K-4.0K-4.0K-6.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.005.000.000.00
Total Volume146.77301,205404
Total OI4,277.52,9245,0543,8404,398

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-03-02$10.09$12.50102.4%29.3%102.7%47.9%101.0%0.0%-10.2%14.9K-286.6K-4.0K0.0066.60N/AN/A0403,202638
2009-03-03$10.31$12.50101.1%29.0%99.5%47.0%0.0%0.0%-9.6%16.5K-312.1K-4.1K0.0070.88N/AN/A053,202615
2009-03-04$11.12$12.5098.9%28.3%103.0%45.6%0.0%0.0%-8.7%26.7K-675.5K-5.0K0.0072.89N/AN/A04003,202620
2009-03-05$10.41$12.50101.9%29.2%103.6%47.6%0.0%0.0%-9.8%15.5K-276.5K-4.9K0.0082.72N/AN/A003,2021,020
2009-03-06$10.80$12.5099.6%26.4%104.5%46.1%0.0%0.0%2.6%15.0K-284.8K-4.8K0.0045.08N/AN/A503,2021,010
2009-03-09$10.56$12.5097.4%25.8%95.6%44.7%0.0%0.0%4.2%9.1K-138.6K-4.3K0.0046.49N/AN/A203,2021,010
2009-03-10$11.97$12.5086.8%23.0%106.9%37.8%0.0%0.0%5.2%32.2K-863.3K-5.6K0.0027.91N/AN/A003,2041,010
2009-03-11$11.46$12.5086.4%23.1%101.9%37.6%77.1%0.0%2.4%26.9K-630.6K-5.1K0.0055.58N/AN/A8503,2041,010
2009-03-12$11.99$12.5082.2%23.6%102.8%34.8%79.8%0.0%1.7%33.4K-834.4K-5.4K0.0051.88N/AN/A53403,2641,010
2009-03-13$11.76$12.5080.8%23.2%103.0%33.9%90.3%0.0%2.3%37.7K-876.8K-5.6K0.0654.32N/AN/A10063,6701,010
2009-03-16$10.76$12.5095.1%27.3%106.6%43.2%96.5%0.0%4.1%17.4K-381.0K-4.7K0.0338.76N/AN/A3013,7701,016
2009-03-17$11.98$12.5083.2%23.9%112.2%35.5%0.0%0.0%-1.4%42.4K-956.6K-5.6K2.0037.05N/AN/A10203,8001,015
2009-03-18$12.90$12.5077.5%22.2%114.7%31.8%76.7%0.0%6.1%58.9K-1.6M-5.9K0.0936.01N/AN/A170153,8101,025
2009-03-19$11.87$12.5079.0%22.6%118.8%32.7%79.2%0.0%1.5%49.7K-1.2M-5.7K2.5057.11N/AN/A20503,9541,030
2009-03-20$11.01$12.5097.6%28.0%113.5%44.8%87.5%0.0%-2.1%16.4K-503.4K-5.0K0.8747.87N/AN/A30263,9741,080
2009-03-23$13.28$12.5072.0%20.6%127.5%28.2%70.3%0.0%10.5%30.1K-1.5M-5.6K0.0043.33N/AN/A39612,229695
2009-03-24$11.67$12.5079.6%22.8%132.5%33.1%79.0%0.0%6.8%27.1K-1.0M-5.6K0.2759.68N/AN/A9492562,605696
2009-03-25$12.35$12.5077.1%22.1%131.7%31.5%77.1%0.0%9.0%44.7K-1.5M-7.1K0.1258.79N/AN/A4353,429912
2009-03-26$12.48$12.5078.9%22.6%130.8%32.7%0.0%0.0%9.7%45.9K-1.7M-7.5K0.0056.63N/AN/A1003,461917
2009-03-27$11.42$12.5078.7%22.6%133.9%32.6%0.0%0.0%8.9%36.5K-1.1M-6.6K5.0054.50N/AN/A2103,471917
2009-03-30$11.33$12.5079.5%22.8%132.5%33.1%0.0%0.0%10.2%36.2K-1.1M-6.4K0.0071.79N/AN/A403,471923
2009-03-31$12.30$12.5079.1%22.7%135.2%32.8%0.0%0.0%10.9%47.4K-1.6M-6.9K0.0072.41N/AN/A403,475923