FSP Options History — September 2009

In September 2009, FSP traded between $12.72 and $14.82. ATM implied volatility averaged 46.2%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 4.4% (HV 20d: 41.8%). 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 14 of 21 days. Put/call ratio averaged 0.40.

Notable Days

  • 2009-09-18: Highest Volume — 285 contracts
  • 2009-09-09: Largest IV drop — 23.4% change
  • 2009-09-03: Highest IV Rank — 19.6%
  • 2009-09-03: Largest Expected Move — 15.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.62$12.72$14.82$13.63$13.10
Max Pain$12.86$12.50$15.00$15.00$12.50
ATM IV46.2%36.8%54.0%50.8%47.0%
Expected Move13.3%11.2%15.5%14.6%13.5%
HV 20d41.8%33.9%51.8%40.0%49.8%
HV 60d39.5%35.6%42.7%38.4%41.3%
IV Rank14.8%8.9%19.6%17.6%15.3%
IV Percentile14.3%3.6%25.4%20.6%15.9%
Term Structure0.3%-3.9%2.6%-3.2%2.1%
VWIV48.6%35.2%74.1%74.1%48.9%
Skew 25d13.9%7.8%29.2%17.9%8.4%
Skew 10d31.5%5.4%80.7%65.4%22.1%
Call IV 25d36.0%24.6%42.3%32.9%41.2%
Put IV 25d49.8%40.7%58.7%50.7%49.7%
Bid-Ask Spread %31.9416.4364.8736.4418.12
Gamma HHI0.680.490.920.710.56
Net GEX216.6K51.6K807.4K193.7K59.9K
Net DEX-1.7M-4.2M-485.0K-1.8M-749.1K
Net VEX-13.6K-17.0K-9.6K-16.8K-10.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.002.130.000.13
Total Volume50.71402856217
Total OI8,917.5715,42211,04710,9275,680

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-09-01$13.63$15.0050.8%14.6%40.0%17.6%0.0%17.9%-3.2%193.7K-1.8M-16.8K0.0036.44N/AN/A6209,1841,743
2009-09-02$13.44$15.0051.4%14.7%39.0%18.0%74.1%17.3%-2.9%172.8K-1.5M-15.9K0.0038.52N/AN/A209,2441,743
2009-09-03$13.45$15.0054.0%15.5%38.5%19.6%0.0%19.9%-3.9%139.3K-1.1M-14.4K0.3116.43N/AN/A1659,2441,743
2009-09-04$13.53$12.5052.7%14.2%35.7%18.8%0.0%16.1%-1.0%157.1K-1.4M-15.1K0.0025.20N/AN/A009,2311,748
2009-09-08$13.68$12.5048.1%13.9%35.9%15.9%0.0%29.2%0.9%201.9K-1.7M-15.4K1.3325.72N/AN/A30409,2311,748
2009-09-09$14.09$12.5036.8%11.2%35.5%8.9%0.0%19.0%2.1%276.1K-2.8M-17.0K0.0057.70N/AN/A089,2301,708
2009-09-10$14.19$12.5040.0%11.5%34.8%10.9%0.0%16.4%0.9%303.7K-2.6M-16.3K0.0029.67N/AN/A009,2301,716
2009-09-11$13.90$12.5041.0%11.8%35.5%11.5%0.0%13.2%0.3%246.4K-2.0M-15.0K0.0028.69N/AN/A009,2301,716
2009-09-14$14.23$12.5040.5%11.6%36.7%11.2%0.0%19.8%1.4%327.8K-2.0M-14.9K0.0029.83N/AN/A009,2301,716
2009-09-15$14.47$12.5042.6%12.2%33.9%12.5%0.0%10.2%-0.6%442.5K-3.4M-16.2K0.0035.03N/AN/A1109,2301,716
2009-09-16$14.82$12.5040.2%11.5%34.8%11.0%35.2%10.5%0.8%755.2K-4.0M-16.5K0.0064.87N/AN/A10409,2201,716
2009-09-17$14.76$12.5040.7%11.7%34.1%11.3%40.7%7.8%0.7%807.4K-4.2M-16.5K0.0037.95N/AN/A16009,3211,716
2009-09-18$13.23$12.5046.8%13.4%48.9%15.1%46.9%11.6%-0.3%54.4K-627.2K-10.7K2.1326.83N/AN/A911949,3311,716
2009-09-21$13.21$12.5049.1%14.1%47.5%16.6%48.7%11.4%0.8%62.2K-828.7K-11.1K0.2928.44N/AN/A104304,573849
2009-09-22$13.33$12.5047.1%13.5%47.7%15.3%47.0%10.8%2.3%63.8K-914.9K-11.3K0.5020.31N/AN/A30154,644878
2009-09-23$12.86$12.5047.7%13.7%48.9%15.7%47.7%8.6%2.6%54.8K-646.6K-10.4K0.5922.96N/AN/A17104,671893
2009-09-24$12.72$12.5048.4%13.9%48.8%16.1%48.5%10.5%0.7%52.2K-529.7K-9.6K0.2738.14N/AN/A1544,688891
2009-09-25$12.78$12.5047.8%13.7%48.8%15.8%0.0%9.1%-0.2%51.6K-485.0K-9.7K0.0022.53N/AN/A0504,702895
2009-09-28$13.35$12.5050.3%14.4%51.8%17.3%0.0%11.9%1.2%63.7K-774.3K-10.8K0.0039.18N/AN/A0124,702945
2009-09-29$13.32$12.5047.9%13.7%51.6%15.8%48.0%11.3%1.1%63.0K-810.2K-10.6K0.0028.21N/AN/A3804,702955
2009-09-30$13.10$12.5047.0%13.5%49.8%15.3%48.9%8.4%2.1%59.9K-749.1K-10.6K0.1318.12N/AN/A1524,725955