FSP Options History — October 2009

In October 2009, FSP traded between $10.78 and $13.26. ATM implied volatility averaged 47.2%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded above realized volatility by 0.9% (HV 20d: 46.3%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 1.33.

Notable Days

  • 2009-10-29: Highest Volume — 105 contracts
  • 2009-10-30: Largest IV spike — 19.0% change
  • 2009-10-30: Highest IV Rank — 20.7%
  • 2009-10-30: Largest Expected Move — 16.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.34$10.78$13.26$12.43$10.78
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV47.2%37.5%55.7%44.0%55.7%
Expected Move14.1%12.6%16.0%12.6%16.0%
HV 20d46.3%37.0%53.4%52.8%44.0%
HV 60d41.9%40.0%44.8%42.7%44.8%
IV Rank15.4%9.3%20.7%13.4%20.7%
IV Percentile19.5%4.0%36.1%12.7%36.1%
Term Structure-1.6%-4.1%5.5%5.5%-3.4%
VWIV48.9%44.0%61.4%44.0%61.4%
Skew 25d11.2%1.5%22.3%7.9%1.5%
Skew 10d19.7%6.5%33.7%10.5%6.5%
Call IV 25d40.0%30.2%47.2%42.2%47.2%
Put IV 25d51.2%48.7%56.2%50.1%48.7%
Bid-Ask Spread %51.8722.0675.1522.0670.35
Gamma HHI0.590.510.680.550.61
Net GEX40.9K11.5K62.2K41.4K11.5K
Net DEX-186.1K-814.0K503.5K-230.3K503.5K
Net VEX-7.5K-9.9K-3.6K-8.6K-3.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.330.0010.000.234.00
Total Volume28.36401053733
Total OI5,735.7735,5435,8315,6915,791

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-10-01$12.43$12.5044.0%12.6%52.8%13.4%44.0%7.9%5.5%41.4K-230.3K-8.6K0.2322.06N/AN/A3074,734957
2009-10-02$12.51$12.5046.9%13.4%52.9%15.1%46.9%9.5%1.8%44.1K-273.4K-8.5K3.9024.04N/AN/A20784,764953
2009-10-05$12.65$12.5049.1%14.3%53.1%16.5%0.0%10.9%-2.5%45.8K-294.5K-8.9K10.0053.49N/AN/A1104,7841,025
2009-10-06$12.69$12.5048.0%14.5%52.9%15.9%0.0%9.2%-3.1%47.2K-341.3K-9.2K0.0048.80N/AN/A004,7851,025
2009-10-07$12.69$12.5048.8%14.2%51.4%16.3%49.6%9.0%-2.2%46.5K-332.6K-8.8K0.0051.91N/AN/A104,7851,025
2009-10-08$12.94$12.5049.2%14.4%52.0%16.6%0.0%8.3%-3.6%52.6K-525.5K-9.5K0.0049.19N/AN/A004,7861,025
2009-10-09$13.14$12.5047.0%14.5%52.1%15.2%0.0%10.3%-4.1%56.6K-590.8K-9.5K0.0040.66N/AN/A004,7861,025
2009-10-12$13.24$12.5038.1%14.0%51.4%9.7%0.0%9.4%-1.5%60.9K-746.1K-9.9K0.0060.58N/AN/A1004,7861,025
2009-10-13$12.86$12.5037.5%14.1%51.5%9.3%49.1%5.4%-2.9%51.7K-530.5K-9.3K0.0057.24N/AN/A0104,7961,025
2009-10-14$13.26$12.5041.4%14.7%52.1%11.8%0.0%11.5%-3.2%62.2K-814.0K-9.9K0.0063.06N/AN/A004,7961,035
2009-10-15$12.75$12.5048.4%13.9%53.4%16.1%48.4%8.2%-2.1%45.8K-458.8K-8.5K0.3148.42N/AN/A52164,7961,035
2009-10-16$12.27$12.5047.5%13.6%39.6%15.6%0.0%10.3%-3.4%35.4K-24.3K-7.5K0.0048.64N/AN/A0234,7681,048
2009-10-19$12.50$12.5048.0%13.8%40.4%15.9%48.1%22.3%0.8%42.9K-196.8K-7.4K0.0333.87N/AN/A6724,620923
2009-10-20$12.21$12.5049.3%14.1%40.8%16.7%49.3%17.5%-2.9%39.7K-122.4K-7.2K0.0070.13N/AN/A1704,687925
2009-10-21$12.13$12.5047.7%13.7%39.1%15.7%47.7%20.2%-1.7%37.7K-32.6K-6.5K0.0059.90N/AN/A1004,704925
2009-10-22$12.41$12.5047.2%13.5%40.0%15.4%47.2%7.9%-0.3%40.5K-74.2K-6.8K0.0052.20N/AN/A2004,714925
2009-10-23$12.08$12.5048.9%14.0%40.9%16.4%0.0%16.2%-3.9%36.2K24.7K-6.2K0.0073.46N/AN/A204,723925
2009-10-26$12.00$12.5046.4%13.3%37.0%14.9%46.5%15.9%-0.4%33.4K83.0K-6.0K0.0051.96N/AN/A1704,723925
2009-10-27$11.66$12.5049.6%14.2%37.9%16.9%52.5%10.4%-2.3%26.6K194.4K-5.2K0.0646.14N/AN/A6544,740925
2009-10-28$11.00$12.5053.2%15.3%42.0%19.1%44.9%8.5%-0.7%18.5K365.6K-4.1K1.4075.15N/AN/A10144,790927
2009-10-29$11.35$12.5046.8%13.4%41.0%15.1%61.4%15.1%1.1%22.2K322.1K-4.5K4.0039.95N/AN/A21844,800926
2009-10-30$10.78$12.5055.7%16.0%44.0%20.7%0.0%1.5%-3.4%11.5K503.5K-3.6K0.0070.35N/AN/A0334,820971