FSP Options History — April 2009

In April 2009, FSP traded between $11.99 and $14.43. ATM implied volatility averaged 76.4%, placing in the 31.1% IV rank vs the trailing year. The 30-day expected move averaged 22.5%. IV traded below realized volatility by 44.8% (HV 20d: 121.2%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.52.

Notable Days

  • 2009-04-24: Highest Volume — 2,532 contracts
  • 2009-04-22: Largest IV spike — 21.7% change
  • 2009-04-14: Highest IV Rank — 39.5%
  • 2009-04-08: Largest Expected Move — 25.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.42$11.99$14.43$11.99$13.35
Max Pain$14.05$12.50$15.00$12.50$15.00
ATM IV76.4%61.2%89.5%76.8%68.5%
Expected Move22.5%17.5%25.7%22.0%19.6%
HV 20d121.2%101.4%133.3%133.3%102.2%
HV 60d111.2%107.5%115.1%107.7%112.1%
IV Rank31.1%21.2%39.5%31.3%25.9%
IV Percentile41.9%34.1%56.0%39.1%34.9%
Term Structure-1.6%-10.2%14.3%9.6%2.5%
VWIV77.2%48.1%86.5%76.6%48.1%
Skew 25d17.3%10.1%20.7%16.6%10.1%
Skew 10d28.2%6.8%36.8%28.6%6.8%
Call IV 25d65.2%58.1%71.1%71.1%64.6%
Put IV 25d82.5%74.6%88.1%87.7%74.7%
Bid-Ask Spread %39.8820.7473.9773.9754.04
Gamma HHI0.660.470.900.490.76
Net GEX106.9K43.2K185.4K43.2K139.8K
Net DEX-3.4M-5.4M-1.3M-1.3M-3.3M
Net VEX-12.9K-23.3K-6.6K-6.6K-19.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.002.102.000.05
Total Volume601.286152,53215393
Total OI7,563.2864,39411,7494,39411,743

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-04-01$11.99$12.5076.8%22.0%133.3%31.3%0.0%0.0%9.6%43.2K-1.3M-6.6K2.0073.97N/AN/A5103,471923
2009-04-02$12.47$12.5076.6%22.0%131.2%31.2%76.6%0.0%14.3%52.3K-1.7M-6.8K0.0072.66N/AN/A2503,476933
2009-04-03$13.24$12.5073.8%24.2%132.1%29.4%73.9%0.0%-3.9%65.6K-2.3M-6.8K0.0020.74N/AN/A77213,486933
2009-04-06$13.15$12.5077.6%25.1%131.7%31.9%86.5%0.0%-5.9%82.3K-2.5M-8.1K0.1423.72N/AN/A3554,233933
2009-04-07$12.37$12.5078.2%25.3%126.8%32.2%0.0%0.0%-5.3%69.2K-2.0M-7.8K0.7622.37N/AN/A50384,263928
2009-04-08$12.85$12.5073.4%25.7%126.2%29.1%0.0%0.0%-5.6%83.4K-2.5M-8.0K2.1021.02N/AN/A10214,313962
2009-04-09$14.27$12.5072.3%20.7%130.4%28.4%72.0%0.0%-0.0%97.4K-3.7M-8.3K0.0225.11N/AN/A2,478404,323982
2009-04-13$14.14$12.5084.2%24.1%130.2%36.1%84.6%0.0%-9.8%136.0K-4.8M-12.7K0.7530.69N/AN/A2752066,4931,007
2009-04-14$12.58$15.0089.5%25.7%133.3%39.5%83.4%0.0%-5.9%119.1K-2.9M-11.4K0.0024.96N/AN/A14506,6601,213
2009-04-15$13.66$15.0087.9%25.2%131.1%38.5%78.3%0.0%-10.2%80.2K-4.2M-11.8K0.1324.42N/AN/A158206,5861,213
2009-04-16$14.07$15.0071.7%20.6%129.0%28.0%70.7%0.0%-0.7%121.8K-4.6M-12.1K0.0032.56N/AN/A1,19126,5501,196
2009-04-17$13.90$15.0071.3%20.4%125.0%27.8%83.5%0.0%0.6%112.0K-4.9M-13.1K2.0533.14N/AN/A3557297,4231,194
2009-04-20$12.54$15.0083.8%24.0%127.8%35.9%84.9%16.6%-1.9%74.0K-1.8M-11.6K2.0053.35N/AN/A21426,1061,255
2009-04-21$14.10$15.0071.0%20.4%116.6%27.6%71.6%18.4%4.0%104.7K-3.3M-14.0K0.0527.17N/AN/A820406,1271,287
2009-04-22$13.14$15.0086.4%24.8%109.4%37.6%0.0%20.7%-5.9%101.7K-2.9M-14.3K0.1131.99N/AN/A590656,7071,327
2009-04-23$13.75$15.0084.6%24.3%108.7%36.4%83.5%20.1%-5.6%119.4K-3.6M-16.4K0.5029.40N/AN/A60307,2771,392
2009-04-24$14.43$15.0073.0%20.9%109.8%28.9%76.8%17.4%-1.8%131.3K-4.4M-17.1K0.0442.55N/AN/A2,437957,2371,402
2009-04-27$14.13$15.0069.3%19.9%104.4%26.5%83.3%17.7%1.0%171.4K-5.4M-20.5K0.1568.64N/AN/A300459,1741,484
2009-04-28$13.80$15.0073.2%21.0%105.0%29.0%48.1%18.3%-5.3%155.8K-4.8M-21.1K0.0052.99N/AN/A1,01209,3641,504
2009-04-29$13.90$15.0061.2%17.5%101.4%21.2%0.0%16.5%1.6%185.4K-5.1M-23.3K0.0072.02N/AN/A106010,2451,504
2009-04-30$13.35$15.0068.5%19.6%102.2%25.9%0.0%10.1%2.5%139.8K-3.3M-19.4K0.0554.04N/AN/A3751810,2391,504