FSP Options History — March 2010

In March 2010, FSP traded between $12.57 and $14.50. ATM implied volatility averaged 30.0%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 2.0% (HV 20d: 28.0%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 1.00.

Notable Days

  • 2010-03-31: Highest Volume — 257 contracts
  • 2010-03-08: Largest IV spike — 43.9% change
  • 2010-03-08: Highest IV Rank — 25.2%
  • 2010-03-09: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.76$12.57$14.50$13.00$14.43
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV30.0%24.2%39.7%32.0%24.2%
Expected Move8.7%6.9%10.1%9.2%6.9%
HV 20d28.0%24.5%32.6%31.3%26.3%
HV 60d28.7%26.7%30.2%30.0%27.4%
IV Rank13.6%6.7%25.2%15.0%6.7%
IV Percentile8.7%2.0%27.0%8.7%2.0%
Term Structure3.3%-3.3%14.7%1.7%0.4%
VWIV27.3%17.8%37.8%37.8%26.0%
Skew 25d9.9%-3.7%38.5%15.3%11.4%
Skew 10d20.8%-5.7%78.3%63.9%15.2%
Call IV 25d27.8%23.5%36.1%31.4%24.0%
Put IV 25d37.7%26.5%70.5%46.8%35.4%
Bid-Ask Spread %50.7518.2380.5121.0637.54
Gamma HHI0.770.490.880.550.86
Net GEX47.0K30.3K101.4K49.7K47.4K
Net DEX-467.6K-931.0K86.5K-48.1K-931.0K
Net VEX-3.1K-4.7K-2.4K-2.7K-4.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.005.550.070.03
Total Volume56.39102572257
Total OI3,331.6091,2234,3694,2741,791

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-03-01$13.00$15.0032.0%9.2%31.3%15.0%0.0%15.3%1.7%49.7K-48.1K-2.7K0.0021.06N/AN/A023,618656
2010-03-02$12.73$15.0033.6%9.6%31.3%17.0%37.8%32.4%1.0%42.4K25.4K-2.8K0.0768.77N/AN/A1513,618658
2010-03-03$12.57$15.0034.4%9.9%31.6%18.1%32.6%4.5%-0.5%38.9K86.5K-2.6K0.7019.27N/AN/A1073,603659
2010-03-04$12.72$15.0031.0%8.9%30.5%14.0%31.2%38.5%0.9%37.5K83.1K-2.4K0.0018.23N/AN/A0163,603662
2010-03-05$13.21$15.0027.6%10.1%30.9%9.8%0.0%4.0%0.3%54.2K-137.0K-2.5K0.0024.30N/AN/A083,603656
2010-03-08$13.69$15.0039.7%9.8%32.6%25.2%0.0%21.3%6.3%101.4K-743.3K-4.0K0.2146.70N/AN/A47103,603650
2010-03-09$13.75$15.0031.1%10.1%25.7%14.9%18.1%-0.6%4.9%72.6K-479.5K-3.1K0.0357.44N/AN/A16043,641642
2010-03-10$13.71$15.0029.6%8.4%25.9%12.9%0.0%0.1%13.6%62.5K-461.2K-3.1K0.0052.53N/AN/A033,727642
2010-03-11$13.68$15.0028.3%8.1%26.0%11.3%0.0%-1.9%14.7%46.5K-385.2K-2.8K0.0051.02N/AN/A003,727639
2010-03-12$13.63$15.0031.5%9.0%25.0%15.3%0.0%-3.7%5.4%40.0K-364.3K-2.7K0.0057.41N/AN/A0183,727639
2010-03-15$13.40$15.0031.4%9.0%25.9%15.2%0.0%1.5%6.6%30.3K-318.9K-2.5K0.0072.88N/AN/A063,727621
2010-03-16$13.63$15.0030.2%8.7%24.6%13.6%17.8%7.5%13.3%44.1K-418.5K-2.7K0.8380.51N/AN/A36303,727615
2010-03-17$13.79$15.0028.1%8.0%24.6%10.9%0.0%6.1%-3.3%50.3K-520.1K-2.8K0.0063.01N/AN/A0153,757589
2010-03-18$13.88$15.0032.7%9.4%24.6%16.8%0.0%8.9%-1.3%58.8K-606.0K-2.9K0.0058.68N/AN/A043,757574
2010-03-19$13.82$15.0026.7%7.6%24.5%9.1%0.0%7.6%-3.2%31.6K-522.7K-2.8K5.5057.32N/AN/A2113,757570
2010-03-22$14.50$15.0026.4%7.6%29.1%8.8%26.5%13.5%2.7%38.3K-669.9K-3.0K0.1453.33N/AN/A162221,16657
2010-03-23$14.43$15.0028.0%8.0%29.3%12.2%0.0%13.3%2.0%39.3K-744.4K-3.4K0.0040.42N/AN/A001,27279
2010-03-24$14.32$15.0028.0%8.0%29.6%12.1%28.2%11.8%1.9%38.9K-696.7K-3.4K5.5547.82N/AN/A11611,27279
2010-03-25$14.33$15.0029.4%8.4%29.4%14.1%0.0%9.5%1.3%35.8K-648.4K-3.4K0.0138.90N/AN/A19011,273140
2010-03-26$14.33$15.0027.3%7.8%28.6%11.1%26.0%7.3%2.3%40.9K-742.2K-4.1K0.0074.90N/AN/A1001,463140
2010-03-29$14.36$15.0029.6%8.5%28.6%14.4%0.0%8.4%2.5%39.7K-730.2K-4.0K0.0075.97N/AN/A201,473140
2010-03-30$14.50$15.0028.9%8.3%26.9%13.4%0.0%10.7%2.5%40.8K-781.6K-4.0K0.0049.18N/AN/A17601,475140
2010-03-31$14.43$15.0024.2%6.9%26.3%6.7%0.0%11.4%0.4%47.4K-931.0K-4.7K0.0337.54N/AN/A25071,651140