FSP Options History — February 2010

In February 2010, FSP traded between $11.81 and $13.23. ATM implied volatility averaged 36.2%, placing in the 20.1% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 7.7% (HV 20d: 28.5%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 8.14.

Notable Days

2010-02-10: Highest Volume — 165 contracts
2010-02-24: Largest IV drop — 24.2% change
2010-02-19: Highest IV Rank — 25.7%
2010-02-19: Largest Expected Move — 11.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.66	$11.81	$13.23	$12.84	$12.97
Max Pain	$14.47	$12.50	$15.00	$15.00	$15.00
ATM IV	36.2%	29.3%	40.8%	34.0%	30.0%
Expected Move	10.7%	8.4%	11.7%	9.8%	8.6%
HV 20d	28.5%	19.7%	33.4%	20.7%	31.3%
HV 60d	32.3%	30.8%	33.4%	32.0%	30.8%
IV Rank	20.1%	11.8%	25.7%	17.5%	12.6%
IV Percentile	16.2%	6.7%	27.0%	9.1%	7.9%
Term Structure	1.5%	-3.8%	10.3%	5.5%	1.5%
VWIV	32.3%	24.9%	39.0%	36.0%	31.5%
Skew 25d	6.1%	-8.9%	36.7%	10.9%	16.2%
Skew 10d	16.1%	-14.2%	63.8%	12.1%	61.0%
Call IV 25d	36.0%	26.2%	47.2%	26.2%	29.0%
Put IV 25d	42.1%	32.2%	70.4%	37.2%	45.2%
Bid-Ask Spread %	40.62	21.69	68.42	28.86	25.83
Gamma HHI	0.68	0.59	0.75	0.74	0.59
Net GEX	55.5K	34.2K	77.5K	62.6K	50.5K
Net DEX	-196.3K	-514.7K	93.8K	-438.4K	-55.0K
Net VEX	-4.2K	-5.5K	-3.0K	-5.5K	-3.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	8.14	0.00	35.00	0.00	35.00
Total Volume	19	0	165	1	14
Total OI	4,232.474	4,137	4,325	4,148	4,288

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
2010-02-01	$12.84	$15.00	34.0%	9.8%	20.7%	17.5%	0.0%	10.9%	5.5%	62.6K	-438.4K	-5.5K	0.00	28.86	N/A	N/A	1	0	3,612	536
2010-02-02	$12.91	$15.00	35.1%	10.1%	19.7%	18.8%	0.0%	10.4%	4.6%	66.7K	-514.7K	-5.5K	0.00	29.99	N/A	N/A	0	0	3,612	536
2010-02-03	$12.58	$15.00	35.4%	10.2%	20.3%	19.2%	0.0%	6.6%	3.5%	57.8K	-343.5K	-4.9K	0.00	31.43	N/A	N/A	0	0	3,612	536
2010-02-04	$12.20	$15.00	36.0%	10.3%	21.8%	19.9%	36.0%	1.5%	3.6%	45.1K	-131.8K	-4.1K	0.00	32.63	N/A	N/A	1	0	3,612	536
2010-02-05	$12.40	$12.50	32.5%	11.1%	23.5%	15.7%	0.0%	-8.9%	-1.0%	46.9K	-129.0K	-4.0K	0.00	59.04	N/A	N/A	0	0	3,611	536
2010-02-08	$11.81	$12.50	37.5%	11.6%	27.8%	21.7%	0.0%	-5.1%	-3.8%	35.0K	20.3K	-3.4K	0.00	54.34	N/A	N/A	1	0	3,611	536
2010-02-09	$11.97	$12.50	36.6%	11.1%	28.9%	20.6%	0.0%	-3.1%	-0.2%	34.2K	36.0K	-3.3K	0.00	56.12	N/A	N/A	0	0	3,611	536
2010-02-10	$11.97	$12.50	33.1%	11.6%	28.4%	16.3%	26.3%	-3.9%	-1.6%	34.2K	14.5K	-3.2K	0.00	68.42	N/A	N/A	0	165	3,611	526
2010-02-11	$12.30	$15.00	38.5%	11.0%	30.6%	22.8%	24.9%	36.7%	0.6%	40.3K	93.8K	-3.5K	0.00	39.21	N/A	N/A	0	47	3,611	661
2010-02-12	$12.50	$15.00	40.4%	11.6%	31.4%	25.2%	34.2%	-8.9%	-1.8%	47.7K	7.9K	-4.0K	22.00	27.83	N/A	N/A	1	22	3,611	680
2010-02-16	$12.87	$15.00	40.0%	11.5%	33.4%	24.7%	39.0%	17.1%	0.5%	59.6K	-152.4K	-4.3K	0.00	24.87	N/A	N/A	25	0	3,612	698
2010-02-17	$12.81	$15.00	39.4%	11.3%	33.2%	24.0%	25.3%	-3.2%	2.1%	62.9K	-247.4K	-4.7K	0.00	63.01	N/A	N/A	0	5	3,637	688
2010-02-18	$12.90	$15.00	40.8%	11.7%	33.2%	25.6%	0.0%	6.6%	-1.8%	63.9K	-286.2K	-4.5K	0.00	41.12	N/A	N/A	1	0	3,637	683
2010-02-19	$13.06	$15.00	40.8%	11.7%	32.4%	25.7%	29.7%	14.1%	-1.6%	70.3K	-360.7K	-4.7K	0.00	31.52	N/A	N/A	0	5	3,638	683
2010-02-22	$13.00	$15.00	39.5%	11.3%	31.7%	24.1%	31.1%	-7.1%	-1.3%	66.9K	-299.0K	-4.4K	0.00	51.22	N/A	N/A	0	12	3,607	670
2010-02-23	$13.08	$15.00	39.3%	11.3%	31.7%	23.9%	38.2%	25.6%	-0.2%	68.9K	-308.0K	-4.2K	0.00	21.69	N/A	N/A	0	15	3,607	668
2010-02-24	$13.23	$15.00	29.8%	8.5%	30.8%	12.4%	35.7%	-4.6%	10.3%	77.5K	-426.9K	-4.4K	35.00	48.09	N/A	N/A	1	35	3,607	664
2010-02-25	$13.16	$15.00	29.3%	8.4%	30.7%	11.8%	35.3%	14.1%	9.3%	63.3K	-209.1K	-3.7K	0.00	36.64	N/A	N/A	0	10	3,618	679
2010-02-26	$12.97	$15.00	30.0%	8.6%	31.3%	12.6%	31.5%	16.2%	1.5%	50.5K	-55.0K	-3.0K	0.00	25.83	N/A	N/A	0	14	3,618	670