FSP Options History — July 2009

In July 2009, FSP traded between $12.21 and $14.26. ATM implied volatility averaged 42.4%, placing in the 10.0% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 0.7% (HV 20d: 41.7%). 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 13 of 22 days. Put/call ratio averaged 1.12.

Notable Days

  • 2009-07-30: Highest Volume — 1,704 contracts
  • 2009-07-27: Largest IV spike — 61.9% change
  • 2009-07-06: Highest IV Rank — 17.0%
  • 2009-07-08: Largest Expected Move — 16.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.40$12.21$14.26$13.53$14.26
Max Pain$12.73$12.50$15.00$15.00$12.50
ATM IV42.4%22.6%54.6%48.0%31.8%
Expected Move12.8%6.5%16.0%13.8%9.1%
HV 20d41.7%37.3%46.5%37.3%37.7%
HV 60d60.1%50.6%73.9%73.9%50.6%
IV Rank10.0%0.0%17.0%12.7%5.8%
IV Percentile9.2%0.0%23.0%10.3%2.4%
Term Structure2.5%-3.8%19.1%6.1%4.5%
VWIV46.3%34.1%52.6%47.3%34.1%
Skew 25d11.1%2.3%16.1%16.1%11.2%
Skew 10d21.2%5.2%43.9%30.7%14.1%
Call IV 25d41.2%32.0%48.4%39.7%32.0%
Put IV 25d52.3%43.2%59.8%55.8%43.2%
Bid-Ask Spread %55.0628.3372.0469.7251.99
Gamma HHI0.670.570.780.680.74
Net GEX101.1K48.8K218.5K96.7K218.5K
Net DEX-1.6M-3.6M-594.7K-1.5M-3.6M
Net VEX-11.9K-22.8K-7.9K-11.6K-22.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.0015.000.000.48
Total Volume288.59101,7043586
Total OI6,285.3644,9759,6785,8819,678

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-07-01$13.53$15.0048.0%13.8%37.3%12.7%47.3%16.1%6.1%96.7K-1.5M-11.6K0.0069.72N/AN/A3505,245636
2009-07-02$12.95$15.0045.3%13.0%38.1%10.9%44.7%11.3%8.7%80.6K-1.2M-10.5K15.0067.24N/AN/A1155,280636
2009-07-06$13.35$12.5054.6%15.7%39.7%17.0%0.0%16.0%-3.0%92.4K-1.5M-11.0K0.1028.33N/AN/A4045,281651
2009-07-07$12.81$12.5048.4%15.4%42.1%13.0%0.0%7.5%-2.4%72.2K-1.1M-10.1K3.0039.85N/AN/A10305,321651
2009-07-08$12.78$12.5052.3%16.0%42.0%15.5%0.0%11.4%-3.8%69.0K-1.0M-9.6K0.0056.60N/AN/A005,331680
2009-07-09$12.38$12.5046.1%15.1%43.0%11.5%52.6%8.6%0.7%58.7K-829.9K-9.1K0.0460.42N/AN/A340155,331680
2009-07-10$12.21$12.5043.8%15.0%42.7%9.9%0.0%7.9%-0.4%48.8K-594.7K-7.9K0.3357.07N/AN/A30105,081695
2009-07-13$12.80$12.5051.3%15.2%44.7%14.8%0.0%14.0%-0.5%60.8K-862.4K-8.9K0.0062.79N/AN/A005,071705
2009-07-14$12.81$12.5033.4%15.2%43.4%3.2%0.0%12.0%0.2%60.5K-910.1K-9.0K0.2062.90N/AN/A1025,071705
2009-07-15$13.43$12.5048.7%14.9%46.5%13.1%0.0%14.5%0.8%75.5K-1.3M-9.8K0.0559.35N/AN/A4025,071705
2009-07-16$13.45$12.5052.0%14.9%46.5%15.3%0.0%12.8%-0.8%75.0K-1.2M-9.6K0.0069.21N/AN/A6005,091707
2009-07-17$13.36$12.5049.6%14.2%45.5%13.7%49.6%10.5%-0.3%75.4K-1.2M-9.8K0.0035.55N/AN/A4005,093687
2009-07-20$13.58$12.5050.6%14.5%45.3%14.4%0.0%2.3%-3.6%82.5K-1.4M-9.6K0.0042.86N/AN/A21004,418557
2009-07-21$13.49$12.5049.6%14.2%39.5%13.7%0.0%10.7%-1.1%85.8K-1.3M-9.4K0.0034.34N/AN/A004,628557
2009-07-22$13.50$12.5046.7%13.4%39.5%11.8%46.7%12.8%3.0%87.9K-1.3M-9.2K0.0844.45N/AN/A900754,628557
2009-07-23$13.93$12.5029.1%8.3%40.4%0.4%0.0%12.1%4.3%118.3K-2.0M-13.2K0.0047.64N/AN/A52005,453629
2009-07-24$13.95$12.5023.1%6.6%40.1%0.0%0.0%9.0%13.9%136.9K-2.2M-14.2K0.1565.43N/AN/A200305,953629
2009-07-27$14.11$12.5037.4%10.7%40.0%9.0%0.0%11.8%4.2%143.4K-2.5M-14.9K0.5760.78N/AN/A3502006,078659
2009-07-28$14.22$12.5022.6%6.5%39.8%0.0%49.1%11.4%19.1%147.6K-2.6M-15.6K0.0760.29N/AN/A800606,244909
2009-07-29$13.83$12.5033.9%9.7%41.3%7.1%0.0%9.1%0.8%161.3K-2.7M-17.0K1.1272.04N/AN/A2502806,984919
2009-07-30$14.14$12.5034.1%9.8%41.4%7.2%34.1%10.3%5.4%176.6K-3.0M-19.9K0.0862.40N/AN/A1,5841207,1941,199
2009-07-31$14.26$12.5031.8%9.1%37.7%5.8%0.0%11.2%4.5%218.5K-3.6M-22.8K0.4851.99N/AN/A58288,3791,299