FSP Options History — June 2009

In June 2009, FSP traded between $12.67 and $13.52. ATM implied volatility averaged 58.1%, placing in the 19.2% IV rank vs the trailing year. The 30-day expected move averaged 16.5%. IV traded above realized volatility by 6.5% (HV 20d: 51.6%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.32.

Notable Days

  • 2009-06-18: Highest Volume — 934 contracts
  • 2009-06-11: Largest IV drop — 13.7% change
  • 2009-06-01: Highest IV Rank — 24.3%
  • 2009-06-01: Largest Expected Move — 18.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.13$12.67$13.52$13.07$13.25
Max Pain$14.55$12.50$15.00$12.50$15.00
ATM IV58.1%45.0%66.0%66.0%45.0%
Expected Move16.5%12.9%18.9%18.9%12.9%
HV 20d51.6%36.6%75.0%75.0%36.6%
HV 60d88.9%73.8%103.6%103.6%73.8%
IV Rank19.2%10.7%24.3%24.3%10.7%
IV Percentile26.7%7.5%35.8%35.2%7.5%
Term Structure2.1%-3.8%9.0%-3.2%9.0%
VWIV60.2%53.4%66.0%66.0%56.5%
Skew 25d15.5%7.7%29.2%20.5%14.0%
Skew 10d26.1%4.4%57.7%15.4%26.3%
Call IV 25d46.4%33.8%52.8%41.6%42.0%
Put IV 25d61.9%53.9%74.1%62.1%56.0%
Bid-Ask Spread %56.4241.0578.6955.4961.59
Gamma HHI0.560.390.640.600.64
Net GEX112.5K64.3K177.6K134.7K82.6K
Net DEX-2.1M-3.2M-1.2M-2.6M-1.4M
Net VEX-12.7K-15.8K-10.8K-14.8K-10.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.004.880.010.22
Total Volume138.9090934607273
Total OI8,5775,39410,4039,4035,610

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-06-01$13.07$12.5066.0%18.9%75.0%24.3%66.0%20.5%-3.2%134.7K-2.6M-14.8K0.0155.49N/AN/A60078,1321,271
2009-06-02$12.95$12.5065.5%18.8%72.0%24.0%65.5%18.1%-3.8%135.5K-2.5M-15.0K0.4156.50N/AN/A1778,5321,271
2009-06-03$13.01$12.5062.4%17.9%70.0%22.0%0.0%16.3%-1.8%125.0K-2.2M-14.3K0.0057.97N/AN/A01008,5491,267
2009-06-04$13.51$12.5063.0%18.1%70.7%22.4%63.0%29.2%-3.3%169.7K-3.2M-15.8K0.0041.05N/AN/A7008,5491,347
2009-06-05$13.40$15.0058.4%16.3%65.1%19.4%0.0%16.5%4.6%160.5K-2.8M-14.8K0.0049.90N/AN/A17008,5991,347
2009-06-08$13.52$15.0063.9%16.7%61.3%23.0%53.4%24.7%3.4%177.6K-3.2M-15.2K0.0052.86N/AN/A3008,6791,347
2009-06-09$13.39$15.0061.2%17.0%55.1%21.2%0.0%14.1%3.5%161.5K-2.9M-14.4K0.0054.52N/AN/A3108,6891,347
2009-06-10$13.15$15.0065.4%17.6%55.6%24.0%0.0%23.9%-0.2%140.2K-2.4M-13.5K0.0057.62N/AN/A3508,7181,347
2009-06-11$12.89$15.0056.5%16.2%53.3%18.2%0.0%7.7%3.3%123.3K-2.1M-12.8K0.0047.73N/AN/A13508,7531,347
2009-06-12$13.30$15.0058.6%16.8%52.2%19.5%0.0%9.5%0.1%123.5K-2.4M-12.7K0.0050.85N/AN/A008,7721,347
2009-06-15$12.89$15.0058.0%16.6%51.4%19.1%0.0%10.6%0.6%113.8K-2.0M-12.0K0.0050.88N/AN/A4008,7691,347
2009-06-16$12.85$15.0058.3%16.7%43.6%19.3%0.0%11.5%1.7%104.9K-2.0M-11.3K0.0052.62N/AN/A2208,8091,347
2009-06-17$12.82$15.0057.6%16.5%42.5%18.9%0.0%11.8%1.9%104.0K-2.0M-11.1K0.0063.84N/AN/A10008,8091,347
2009-06-18$13.20$15.0059.7%17.1%43.2%20.2%0.0%14.7%0.8%107.1K-2.3M-11.7K0.2565.26N/AN/A7501848,9091,347
2009-06-19$13.45$15.0057.7%16.5%43.5%19.0%56.9%14.1%1.1%79.1K-2.6M-12.7K4.8867.08N/AN/A422058,8841,519
2009-06-22$12.67$15.0054.4%15.6%48.7%16.8%0.0%8.0%7.2%64.3K-1.3M-11.2K0.0044.54N/AN/A1304,806588
2009-06-23$12.70$15.0056.5%16.2%42.8%18.2%56.5%11.9%4.8%64.3K-1.2M-10.8K0.0056.38N/AN/A1304,815588
2009-06-24$12.95$15.0056.4%16.2%38.4%18.1%0.0%13.0%4.5%67.5K-1.3M-11.0K0.0059.22N/AN/A004,828588
2009-06-25$13.18$15.0052.8%15.1%38.6%15.8%0.0%19.6%5.9%74.3K-1.3M-10.9K0.0078.69N/AN/A18104,828588
2009-06-26$13.37$15.0051.7%14.8%38.7%15.1%0.0%18.4%-0.2%80.4K-1.4M-11.2K0.0055.30N/AN/A004,991588
2009-06-29$13.26$15.0050.3%14.4%36.8%14.2%0.0%13.7%6.5%81.5K-1.4M-11.1K0.0061.35N/AN/A3104,991588
2009-06-30$13.25$15.0045.0%12.9%36.6%10.7%0.0%14.0%9.0%82.6K-1.4M-10.8K0.2261.59N/AN/A223505,022588