FSP Options History — May 2009

In May 2009, FSP traded between $11.89 and $13.75. ATM implied volatility averaged 67.5%, placing in the 25.3% IV rank vs the trailing year. The 30-day expected move averaged 19.2%. IV traded below realized volatility by 20.3% (HV 20d: 87.7%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.42.

Notable Days

2009-05-05: Highest Volume — 767 contracts
2009-05-13: Largest IV drop — 27.0% change
2009-05-12: Highest IV Rank — 30.9%
2009-05-04: Largest Expected Move — 20.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.65	$11.89	$13.75	$13.00	$12.60
Max Pain	$12.63	$12.50	$15.00	$15.00	$12.50
ATM IV	67.5%	55.6%	76.2%	71.1%	63.0%
Expected Move	19.2%	17.8%	20.5%	20.4%	18.1%
HV 20d	87.7%	68.7%	103.9%	102.0%	74.2%
HV 60d	108.6%	104.4%	112.0%	111.6%	104.4%
IV Rank	25.3%	17.6%	30.9%	27.6%	22.4%
IV Percentile	35.2%	25.8%	42.3%	36.2%	32.8%
Term Structure	-0.8%	-6.0%	3.9%	1.8%	-1.1%
VWIV	68.0%	62.2%	76.8%	71.4%	65.0%
Skew 25d	12.4%	-17.9%	22.9%	22.6%	10.0%
Skew 10d	22.4%	-13.3%	44.0%	36.1%	13.2%
Call IV 25d	56.9%	43.3%	68.8%	54.0%	43.3%
Put IV 25d	69.3%	47.7%	78.3%	76.6%	53.3%
Bid-Ask Spread %	46.93	30.14	62.90	36.32	37.49
Gamma HHI	0.59	0.47	0.82	0.76	0.55
Net GEX	106.1K	52.0K	192.5K	136.7K	105.9K
Net DEX	-2.3M	-4.2M	-832.3K	-3.2M	-1.8M
Net VEX	-15.6K	-20.7K	-12.7K	-19.9K	-13.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.42	0.00	14.34	0.00	0.00
Total Volume	157.1	3	767	24	100
Total OI	10,695.95	8,504	12,378	11,991	9,390

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
2009-05-01	$13.00	$15.00	71.1%	20.4%	102.0%	27.6%	71.4%	22.6%	1.8%	136.7K	-3.2M	-19.9K	0.00	36.32	N/A	N/A	24	0	10,469	1,522
2009-05-04	$13.75	$12.50	73.8%	20.5%	101.7%	29.4%	71.9%	19.5%	-0.6%	192.5K	-4.2M	-20.7K	0.18	48.33	N/A	N/A	11	2	10,373	1,522
2009-05-05	$13.10	$12.50	75.2%	19.4%	103.2%	30.3%	64.7%	18.9%	2.4%	121.6K	-3.0M	-18.3K	14.34	57.77	N/A	N/A	50	717	10,384	1,522
2009-05-06	$13.45	$12.50	72.1%	19.7%	101.0%	28.3%	0.0%	20.1%	-0.9%	150.9K	-3.4M	-18.9K	0.00	59.36	N/A	N/A	0	5	10,334	1,608
2009-05-07	$12.48	$12.50	67.0%	20.1%	103.9%	25.0%	0.0%	12.8%	-2.8%	90.2K	-2.0M	-16.2K	0.71	45.10	N/A	N/A	17	12	10,334	1,613
2009-05-08	$13.28	$12.50	64.6%	18.9%	99.1%	23.4%	64.0%	16.4%	3.9%	117.5K	-3.2M	-16.9K	0.00	62.36	N/A	N/A	6	0	10,335	1,625
2009-05-11	$12.35	$12.50	74.3%	19.4%	102.1%	29.7%	76.8%	8.7%	0.6%	75.7K	-1.7M	-14.9K	5.24	42.37	N/A	N/A	25	131	10,341	1,625
2009-05-12	$12.45	$12.50	76.2%	19.4%	93.5%	30.9%	67.6%	8.6%	1.8%	72.0K	-2.0M	-15.5K	2.00	56.69	N/A	N/A	10	20	10,333	1,756
2009-05-13	$11.89	$12.50	55.6%	20.0%	89.4%	17.6%	69.7%	9.5%	-1.7%	52.0K	-867.5K	-13.2K	0.01	62.90	N/A	N/A	412	6	10,341	1,776
2009-05-14	$12.43	$12.50	69.5%	19.9%	90.4%	26.6%	69.6%	12.6%	-0.9%	55.2K	-1.7M	-15.2K	0.02	41.84	N/A	N/A	82	2	10,597	1,781
2009-05-15	$11.95	$12.50	68.4%	19.6%	91.1%	25.9%	0.0%	10.4%	2.0%	58.4K	-832.3K	-12.7K	0.06	48.96	N/A	N/A	201	12	10,599	1,759
2009-05-18	$12.90	$12.50	65.9%	18.9%	88.4%	24.3%	65.4%	9.9%	-1.4%	118.6K	-2.8M	-16.1K	0.20	30.14	N/A	N/A	481	95	7,653	851
2009-05-19	$12.56	$12.50	64.2%	18.4%	77.5%	23.2%	0.0%	8.5%	-2.5%	112.5K	-2.3M	-15.0K	0.00	34.75	N/A	N/A	300	0	7,811	946
2009-05-20	$12.38	$12.50	63.9%	18.3%	73.7%	23.0%	0.0%	6.7%	-2.9%	112.4K	-2.2M	-15.0K	0.00	41.16	N/A	N/A	3	0	8,111	946
2009-05-21	$12.38	$12.50	62.2%	17.8%	71.5%	21.9%	62.2%	22.9%	-0.1%	106.2K	-2.0M	-14.1K	0.00	43.45	N/A	N/A	8	0	8,111	946
2009-05-22	$12.19	$12.50	62.6%	17.9%	68.7%	22.1%	0.0%	22.3%	-1.3%	104.7K	-1.9M	-14.0K	0.00	48.72	N/A	N/A	0	10	8,119	946
2009-05-26	$13.00	$12.50	67.5%	19.3%	73.2%	25.3%	0.0%	17.6%	-3.4%	134.2K	-2.7M	-15.4K	0.00	39.78	N/A	N/A	10	0	8,119	956
2009-05-27	$12.31	$12.50	67.5%	19.3%	75.1%	25.3%	67.4%	-17.9%	-6.0%	101.2K	-1.8M	-13.0K	0.00	45.88	N/A	N/A	0	365	8,119	956
2009-05-28	$12.46	$12.50	65.0%	18.6%	75.2%	23.7%	65.0%	8.8%	-3.4%	103.8K	-1.8M	-14.1K	0.00	55.23	N/A	N/A	0	25	8,119	1,271
2009-05-29	$12.60	$12.50	63.0%	18.1%	74.2%	22.4%	0.0%	10.0%	-1.1%	105.9K	-1.8M	-13.7K	0.00	37.49	N/A	N/A	100	0	8,119	1,271