FSP Options History — December 2009

In December 2009, FSP traded between $11.70 and $15.14. ATM implied volatility averaged 34.7%, placing in the 11.5% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 0.1% (HV 20d: 34.6%). 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 20 of 22 days. Put/call ratio averaged 0.14.

Notable Days

  • 2009-12-22: Highest Volume — 1,682 contracts
  • 2009-12-18: Largest IV drop — 18.9% change
  • 2009-12-07: Highest IV Rank — 19.5%
  • 2009-12-03: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.56$11.70$15.14$11.70$14.61
Max Pain$12.73$12.50$15.00$15.00$12.50
ATM IV34.7%25.6%43.7%39.8%26.0%
Expected Move9.7%7.3%12.2%11.4%7.5%
HV 20d34.6%28.9%39.1%36.6%31.4%
HV 60d42.7%39.2%46.4%45.4%39.7%
IV Rank11.5%3.2%19.5%14.9%3.7%
IV Percentile5.4%0.8%15.9%6.3%1.6%
Term Structure2.9%-3.6%5.4%1.9%4.1%
VWIV33.9%26.5%42.7%39.8%26.8%
Skew 25d23.1%-6.0%79.8%-6.0%9.7%
Skew 10d38.6%-9.6%127.5%-8.9%12.3%
Call IV 25d32.8%20.6%44.0%39.8%24.5%
Put IV 25d55.9%33.7%117.8%33.7%34.2%
Bid-Ask Spread %40.1215.4972.5525.9837.09
Gamma HHI0.740.530.940.550.91
Net GEX62.0K6.8K152.2K6.8K145.2K
Net DEX-1.2M-3.6M405.4K405.4K-3.0M
Net VEX-7.4K-15.0K-2.8K-2.8K-14.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.140.001.390.160.25
Total Volume215.95501,6828010
Total OI5,582.9092,4076,3675,7265,505

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-12-01$11.70$15.0039.8%11.4%36.6%14.9%39.8%-6.0%1.9%6.8K405.4K-2.8K0.1625.98N/AN/A69114,747979
2009-12-02$12.07$15.0041.2%11.8%37.3%16.4%41.2%-2.2%-1.9%12.4K292.9K-3.3K0.0820.27N/AN/A6354,800990
2009-12-03$12.31$12.5042.7%12.2%37.3%17.7%42.7%6.8%-3.6%20.1K186.5K-3.6K0.0640.82N/AN/A10064,850990
2009-12-04$12.82$12.5039.9%10.6%39.1%15.2%37.0%44.9%5.4%28.5K-35.7K-4.3K0.0457.03N/AN/A11754,940990
2009-12-07$12.63$12.5043.7%10.6%38.7%19.5%0.0%59.1%4.6%27.4K7.3K-4.2K0.0049.27N/AN/A065,053990
2009-12-08$12.59$12.5041.5%10.7%36.4%17.5%0.0%59.6%3.1%24.7K40.3K-4.1K0.0069.16N/AN/A1105,053990
2009-12-09$12.52$12.5040.8%10.7%36.5%16.9%0.0%11.8%4.1%23.1K16.1K-4.1K0.0415.49N/AN/A12655,058990
2009-12-10$12.49$12.5037.8%10.8%36.0%14.1%0.0%79.8%2.7%21.0K60.6K-4.0K0.0016.79N/AN/A005,014988
2009-12-11$12.53$12.5036.5%10.5%34.6%12.9%0.0%-5.1%4.2%21.2K54.9K-3.9K0.0020.25N/AN/A005,014988
2009-12-14$13.12$12.5039.1%11.2%37.4%15.3%39.1%9.0%2.7%25.1K-233.0K-4.2K0.0072.55N/AN/A24905,014988
2009-12-15$13.18$12.5039.0%11.2%37.2%15.2%0.0%9.1%2.3%26.6K-288.8K-4.4K0.0020.79N/AN/A25005,079988
2009-12-16$13.47$12.5037.7%10.8%34.7%16.2%0.0%12.8%4.5%36.4K-518.6K-5.0K0.0032.27N/AN/A005,329968
2009-12-17$13.51$12.5036.5%10.5%34.0%14.9%0.0%5.1%4.9%34.7K-577.4K-5.0K0.0031.30N/AN/A8005,329958
2009-12-18$14.20$12.5029.6%8.5%33.5%7.5%29.4%14.2%5.3%40.9K-989.5K-5.8K1.3939.12N/AN/A23325,409958
2009-12-21$14.51$12.5028.2%8.1%33.6%6.1%28.3%15.8%2.5%42.6K-1.1M-5.9K0.0152.41N/AN/A1,470101,905502
2009-12-22$14.73$12.5028.5%8.2%33.2%6.3%28.5%17.1%0.9%86.0K-2.2M-10.8K0.0147.85N/AN/A1,661213,309512
2009-12-23$14.97$12.5025.9%7.4%32.9%3.6%26.5%16.8%2.9%144.7K-3.5M-15.0K0.0967.97N/AN/A9894,764515
2009-12-24$15.10$12.5025.6%7.3%32.9%3.2%0.0%31.7%4.1%148.4K-3.6M-14.9K0.0021.77N/AN/A3804,732521
2009-12-28$15.11$12.5028.8%8.3%28.9%6.7%0.0%35.9%0.7%148.9K-3.6M-14.7K0.0520.23N/AN/A9354,768521
2009-12-29$15.14$12.5026.8%7.7%29.1%4.5%26.8%38.2%4.6%146.4K-3.6M-14.7K0.2871.25N/AN/A120334,819525
2009-12-30$15.02$12.5027.9%8.0%29.1%5.7%0.0%43.4%3.2%152.2K-3.5M-15.0K0.2552.93N/AN/A2054,926556
2009-12-31$14.61$12.5026.0%7.5%31.4%3.7%0.0%9.7%4.1%145.2K-3.0M-14.4K0.0037.09N/AN/A0104,946559