FSP Options History — November 2009

In November 2009, FSP traded between $10.49 and $11.36. ATM implied volatility averaged 47.8%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded above realized volatility by 3.8% (HV 20d: 44.1%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.44.

Notable Days

  • 2009-11-12: Highest Volume — 91 contracts
  • 2009-11-30: Largest IV drop — 42.4% change
  • 2009-11-03: Highest IV Rank — 24.6%
  • 2009-11-03: Largest Expected Move — 17.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.96$10.49$11.36$10.49$11.29
Max Pain$14.50$12.50$15.00$12.50$15.00
ATM IV47.8%28.7%61.9%61.3%28.7%
Expected Move14.1%8.2%17.8%17.6%8.2%
HV 20d44.1%36.6%47.4%43.9%36.6%
HV 60d44.2%43.0%45.1%44.2%44.7%
IV Rank16.5%5.3%24.6%24.1%5.3%
IV Percentile24.6%0.8%41.7%41.3%0.8%
Term Structure-0.5%-10.5%15.3%-9.3%9.1%
VWIV39.1%25.3%52.7%52.7%28.4%
Skew 25d8.9%-8.3%23.7%1.8%3.6%
Skew 10d17.6%-1.3%49.9%2.2%8.0%
Call IV 25d39.9%27.8%48.3%47.6%32.0%
Put IV 25d48.8%33.0%54.1%49.4%35.6%
Bid-Ask Spread %36.2715.7585.9247.3052.55
Gamma HHI0.480.440.570.520.45
Net GEX5.0K1.1K11.1K6.1K2.6K
Net DEX558.3K446.7K640.5K611.3K497.1K
Net VEX-2.8K-3.5K-2.4K-2.7K-2.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.002.862.860.10
Total Volume17.950915422
Total OI5,835.15,7065,9465,8145,706

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-11-02$10.49$12.5061.3%17.6%43.9%24.1%52.7%1.8%-9.3%6.1K611.3K-2.7K2.8647.30N/AN/A14404,820994
2009-11-03$10.73$12.5061.9%17.8%45.2%24.6%0.0%2.9%-10.5%6.8K598.0K-3.1K0.0042.43N/AN/A004,8231,029
2009-11-04$10.67$12.5054.7%15.7%45.1%20.1%36.4%6.1%-2.5%6.9K592.1K-3.1K0.0053.38N/AN/A3004,8231,029
2009-11-05$10.71$12.5045.8%13.1%44.1%14.5%0.0%5.0%4.1%4.5K633.2K-2.9K0.0037.15N/AN/A054,7991,029
2009-11-06$10.50$15.0052.6%14.4%43.3%18.7%0.0%16.6%-1.1%3.9K640.5K-2.7K0.0033.79N/AN/A104,7991,029
2009-11-09$10.99$15.0045.0%15.1%47.4%14.0%0.0%8.2%-3.2%8.8K587.1K-3.0K0.0022.43N/AN/A004,7981,029
2009-11-10$10.96$15.0037.5%14.4%46.8%9.3%0.0%5.8%0.9%5.9K604.9K-2.9K0.0022.57N/AN/A004,7981,029
2009-11-11$11.23$15.0043.8%15.4%46.2%13.2%47.7%9.0%-3.4%11.1K517.3K-3.5K0.3319.29N/AN/A60204,7981,029
2009-11-12$10.99$15.0049.1%14.1%45.0%16.5%37.9%3.5%0.0%7.3K518.9K-2.9K0.7826.60N/AN/A51404,8581,019
2009-11-13$11.10$15.0051.5%14.8%43.9%18.0%0.0%6.3%-1.7%7.5K516.1K-3.1K0.0023.42N/AN/A004,8871,059
2009-11-16$11.07$15.0052.3%15.0%43.0%18.5%0.0%7.7%-3.2%4.4K566.3K-2.9K0.0028.60N/AN/A024,8871,059
2009-11-17$10.76$15.0051.5%14.8%43.3%18.0%50.4%2.6%-2.6%2.1K601.6K-2.7K0.2025.45N/AN/A1024,8871,059
2009-11-18$11.10$15.0052.5%15.0%45.3%18.7%25.3%23.7%-2.3%4.2K542.8K-2.8K0.0039.42N/AN/A104,8971,034
2009-11-19$10.78$15.0049.5%14.2%44.9%16.8%29.0%16.8%0.7%1.2K575.9K-2.7K0.1736.90N/AN/A614,8981,034
2009-11-20$10.94$15.0052.6%15.1%44.9%18.7%0.0%22.8%-2.8%2.3K571.0K-2.7K0.0015.75N/AN/A004,8951,034
2009-11-23$11.26$15.0042.7%12.2%46.5%12.6%42.1%6.4%0.5%4.1K500.3K-2.7K0.0030.06N/AN/A5004,737979
2009-11-24$11.28$15.0032.8%9.4%45.5%8.8%0.0%22.1%15.3%3.0K517.6K-2.6K0.0037.53N/AN/A004,727979
2009-11-25$11.36$15.0041.3%11.8%40.3%16.2%40.8%-8.3%0.1%5.6K446.7K-3.0K0.0044.90N/AN/A044,727979
2009-11-27$11.02$15.0049.9%14.3%40.2%23.7%0.0%14.9%0.9%1.1K528.1K-2.4K0.0085.92N/AN/A004,727979
2009-11-30$11.29$15.0028.7%8.2%36.6%5.3%28.4%3.6%9.1%2.6K497.1K-2.5K0.1052.55N/AN/A2024,727979