FSP Options History — January 2010

In January 2010, FSP traded between $12.31 and $14.82. ATM implied volatility averaged 34.2%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 8.5% (HV 20d: 25.7%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 0.15.

Notable Days

2010-01-25: Highest Volume — 1,364 contracts
2010-01-12: Largest IV spike — 44.6% change
2010-01-13: Highest IV Rank — 39.1%
2010-01-13: Largest Expected Move — 11.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.39	$12.31	$14.82	$14.82	$12.56
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	34.2%	19.5%	57.4%	25.0%	34.5%
Expected Move	9.7%	8.2%	11.0%	8.5%	9.9%
HV 20d	25.7%	16.8%	32.9%	31.3%	19.1%
HV 60d	37.3%	32.0%	40.0%	39.8%	32.0%
IV Rank	15.5%	0.0%	39.1%	2.6%	18.0%
IV Percentile	12.1%	0.0%	56.3%	0.8%	9.5%
Term Structure	3.0%	-2.6%	6.0%	3.6%	4.0%
VWIV	31.1%	20.2%	35.3%	20.2%	34.9%
Skew 25d	5.7%	-9.1%	50.5%	50.5%	8.4%
Skew 10d	7.8%	-14.4%	68.3%	68.3%	10.6%
Call IV 25d	32.2%	22.4%	41.6%	29.0%	27.1%
Put IV 25d	37.9%	32.5%	79.5%	79.5%	35.5%
Bid-Ask Spread %	36.04	24.61	58.68	49.52	27.56
Gamma HHI	0.84	0.72	0.92	0.92	0.73
Net GEX	105.3K	47.8K	154.5K	154.5K	56.2K
Net DEX	-1.4M	-3.2M	-205.3K	-3.2M	-340.6K
Net VEX	-9.5K	-14.5K	-4.5K	-14.4K	-5.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.15	0.00	1.00	0.01	0.00
Total Volume	115.158	0	1,364	142	0
Total OI	5,240.421	4,135	5,650	5,515	4,148

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2010-01-04	$14.82	$15.00	25.0%	8.5%	31.3%	2.6%	0.0%	50.5%	3.6%	154.5K	-3.2M	-14.4K	0.01	49.52	N/A	N/A	140	2	4,946	569
2010-01-05	$14.51	$15.00	21.6%	8.5%	30.7%	0.0%	0.0%	11.5%	4.3%	149.3K	-2.9M	-14.5K	0.02	48.85	N/A	N/A	90	2	5,083	567
2010-01-06	$14.31	$15.00	19.5%	8.7%	30.7%	0.0%	0.0%	13.2%	2.9%	144.2K	-2.6M	-13.7K	1.00	29.06	N/A	N/A	10	10	4,993	565
2010-01-07	$14.22	$15.00	22.5%	8.4%	30.8%	3.0%	0.0%	9.6%	4.2%	143.3K	-2.4M	-13.2K	0.00	33.60	N/A	N/A	0	22	5,003	573
2010-01-08	$14.11	$15.00	27.5%	8.5%	30.9%	8.2%	0.0%	8.8%	5.5%	137.5K	-2.2M	-13.0K	0.00	37.20	N/A	N/A	0	6	5,003	591
2010-01-11	$13.99	$15.00	33.8%	8.2%	31.2%	14.8%	0.0%	8.5%	6.0%	136.1K	-2.0M	-12.2K	0.00	42.56	N/A	N/A	0	0	5,003	585
2010-01-12	$13.66	$15.00	48.9%	10.2%	32.9%	30.4%	0.0%	3.1%	3.6%	125.1K	-1.7M	-11.1K	0.00	52.77	N/A	N/A	12	0	5,003	585
2010-01-13	$13.72	$15.00	57.4%	11.0%	29.0%	39.1%	0.0%	3.3%	-2.6%	128.7K	-1.6M	-10.8K	0.00	27.61	N/A	N/A	0	3	5,003	585
2010-01-14	$13.55	$15.00	36.1%	10.4%	29.5%	17.2%	0.0%	0.9%	2.0%	122.5K	-1.6M	-10.9K	0.06	26.74	N/A	N/A	50	3	5,003	582
2010-01-15	$13.41	$15.00	35.8%	10.3%	28.7%	16.8%	20.2%	3.7%	2.3%	114.5K	-1.3M	-9.9K	0.59	25.86	N/A	N/A	17	10	5,032	579
2010-01-19	$13.25	$15.00	36.6%	10.5%	29.0%	17.6%	0.0%	0.1%	1.2%	108.5K	-1.1M	-9.1K	0.20	28.42	N/A	N/A	20	4	4,938	526
2010-01-20	$13.12	$15.00	36.0%	10.3%	22.0%	17.1%	0.0%	1.0%	2.4%	100.2K	-936.7K	-8.4K	0.00	24.61	N/A	N/A	25	0	4,954	530
2010-01-21	$12.82	$15.00	36.1%	10.3%	20.8%	17.3%	0.0%	-3.2%	-0.1%	88.2K	-711.8K	-7.3K	0.02	26.74	N/A	N/A	350	6	4,929	530
2010-01-22	$12.58	$15.00	34.6%	9.9%	19.7%	15.7%	33.9%	-8.7%	4.4%	72.1K	-517.1K	-6.3K	0.00	30.17	N/A	N/A	0	10	4,741	536
2010-01-25	$12.55	$15.00	36.5%	10.5%	17.7%	17.9%	0.0%	5.0%	2.6%	68.7K	-436.4K	-6.0K	0.00	58.68	N/A	N/A	1,364	0	4,741	536
2010-01-26	$12.31	$15.00	35.3%	10.1%	16.8%	19.0%	35.3%	-9.1%	3.4%	47.8K	-205.3K	-4.5K	0.00	58.29	N/A	N/A	2	0	3,796	536
2010-01-27	$12.47	$15.00	36.6%	10.5%	18.3%	20.6%	0.0%	7.1%	2.1%	50.6K	-255.6K	-4.8K	0.00	28.49	N/A	N/A	16	0	3,603	536
2010-01-28	$12.50	$15.00	34.9%	10.0%	18.4%	18.5%	34.9%	-5.4%	5.3%	52.9K	-305.9K	-5.2K	0.00	27.97	N/A	N/A	14	0	3,599	536
2010-01-29	$12.56	$15.00	34.5%	9.9%	19.1%	18.0%	0.0%	8.4%	4.0%	56.2K	-340.6K	-5.2K	0.00	27.56	N/A	N/A	0	0	3,612	536