FSP Options History — August 2009

In August 2009, FSP traded between $13.71 and $15.10. ATM implied volatility averaged 43.2%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 8.5% (HV 20d: 34.7%). 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 10 of 21 days. Put/call ratio averaged 0.87.

Notable Days

  • 2009-08-04: Highest Volume — 1,534 contracts
  • 2009-08-04: Largest IV spike — 38.2% change
  • 2009-08-19: Highest IV Rank — 19.9%
  • 2009-08-19: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.51$13.71$15.10$14.40$14.21
Max Pain$14.05$12.50$15.00$12.50$15.00
ATM IV43.2%34.6%54.5%34.6%42.6%
Expected Move12.4%9.9%15.6%9.9%12.2%
HV 20d34.7%30.1%39.0%36.5%37.7%
HV 60d40.8%37.3%48.1%48.1%37.5%
IV Rank12.9%7.5%19.9%7.5%12.5%
IV Percentile9.1%4.0%26.2%4.0%9.1%
Term Structure-0.4%-6.8%3.1%3.1%-0.9%
VWIV44.5%37.0%54.0%47.8%42.8%
Skew 25d13.6%-2.1%24.2%13.4%10.4%
Skew 10d26.0%1.0%43.0%38.0%17.5%
Call IV 25d36.1%27.6%45.0%32.6%40.4%
Put IV 25d49.7%34.8%55.8%45.9%50.8%
Bid-Ask Spread %33.1715.0068.4268.4232.51
Gamma HHI0.760.700.860.740.76
Net GEX299.9K196.2K566.2K230.3K271.0K
Net DEX-4.6M-6.4M-2.7M-3.8M-3.5M
Net VEX-23.9K-27.3K-20.1K-22.8K-20.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.007.950.000.00
Total Volume202.04801,53423715
Total OI11,297.3339,73312,4179,73310,912

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-08-03$14.40$12.5034.6%9.9%36.5%7.5%0.0%13.4%3.1%230.3K-3.8M-22.8K0.0068.42N/AN/A23708,4311,302
2009-08-04$14.58$12.5047.8%13.7%32.5%15.7%47.8%15.8%-6.8%232.1K-4.4M-23.8K0.0015.00N/AN/A1,53408,5921,302
2009-08-05$14.90$12.5039.3%11.3%32.7%10.4%0.0%14.4%-2.5%338.2K-5.8M-25.9K0.2533.41N/AN/A40109,6241,302
2009-08-06$14.56$12.5041.9%12.0%31.5%12.0%0.0%18.9%1.7%282.0K-5.1M-25.5K7.9527.61N/AN/A413269,5841,312
2009-08-07$15.10$12.5041.9%12.5%31.9%12.1%43.6%24.2%1.4%314.2K-6.4M-26.4K0.0338.90N/AN/A660209,6241,586
2009-08-10$14.86$12.5042.2%12.2%30.1%12.3%42.6%15.9%2.2%334.2K-6.1M-27.3K0.0035.52N/AN/A36010,2011,606
2009-08-11$14.31$12.5043.8%13.0%34.1%13.2%0.0%17.5%-1.8%284.2K-4.8M-25.8K0.0032.43N/AN/A0010,2061,606
2009-08-12$14.59$12.5043.7%12.4%30.8%13.2%43.3%17.4%1.4%318.1K-5.3M-26.2K0.3440.21N/AN/A2709210,2061,606
2009-08-13$14.58$15.0042.3%12.1%30.9%12.3%0.0%13.7%1.5%338.0K-5.1M-25.8K0.0036.06N/AN/A60010,3761,697
2009-08-14$14.56$15.0042.4%12.1%30.7%12.3%42.3%14.5%0.9%336.7K-5.1M-25.9K0.0037.63N/AN/A300010,4211,696
2009-08-17$13.97$15.0044.8%12.8%34.3%13.8%0.0%11.8%-1.3%268.9K-3.7M-23.6K0.0040.81N/AN/A0010,7211,696
2009-08-18$13.94$15.0046.7%13.4%34.2%15.1%46.8%11.6%-1.8%239.0K-3.4M-22.4K0.0017.15N/AN/A181010,3211,696
2009-08-19$13.71$15.0054.5%15.6%34.8%19.9%54.0%9.7%-3.6%196.2K-2.7M-21.0K0.0017.99N/AN/A10010,2151,686
2009-08-20$14.43$15.0043.7%12.5%37.7%13.2%0.0%15.6%-0.0%344.2K-4.3M-23.0K0.0021.23N/AN/A10010,2141,686
2009-08-21$14.83$15.0043.4%12.4%38.8%13.0%0.0%16.1%0.2%566.2K-5.5M-24.3K0.0038.73N/AN/A0010,2141,686
2009-08-24$14.66$15.0044.3%12.7%39.0%13.6%44.3%12.0%-2.0%269.0K-4.8M-23.2K4.7642.88N/AN/A211009,0571,626
2009-08-25$14.62$15.0042.4%12.1%38.9%12.4%0.0%13.8%0.7%273.6K-4.5M-22.9K0.0025.32N/AN/A009,0531,726
2009-08-26$14.68$15.0042.0%12.0%37.4%12.1%37.0%9.8%1.5%282.2K-4.5M-22.4K0.0023.07N/AN/A1009,0531,726
2009-08-27$14.73$15.0040.9%11.7%36.7%11.5%42.8%11.6%-0.8%294.9K-4.5M-22.0K0.6137.34N/AN/A155959,0581,726
2009-08-28$14.47$15.0041.6%11.9%37.3%11.9%0.0%-2.1%-0.6%285.7K-4.1M-21.7K0.0034.47N/AN/A0209,1691,723
2009-08-31$14.21$15.0042.6%12.2%37.7%12.5%0.0%10.4%-0.9%271.0K-3.5M-20.1K0.0032.51N/AN/A1509,1691,743