FSP Options History — April 2010

In April 2010, FSP traded between $14.53 and $15.54. ATM implied volatility averaged 29.4%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 8.5% (HV 20d: 20.9%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.18.

Notable Days

  • 2010-04-28: Highest Volume — 1,043 contracts
  • 2010-04-14: Largest IV spike — 13.1% change
  • 2010-04-27: Highest IV Rank — 20.0%
  • 2010-04-14: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.96$14.53$15.54$14.53$14.74
Max Pain$12.74$12.50$15.00$15.00$15.00
ATM IV29.4%26.3%31.1%27.7%30.1%
Expected Move8.8%7.9%9.6%7.9%8.6%
HV 20d20.9%15.6%28.3%26.3%28.3%
HV 60d26.7%25.8%28.3%27.1%28.3%
IV Rank15.2%9.7%20.0%11.6%18.7%
IV Percentile14.0%4.0%19.8%6.3%17.9%
Term Structure-0.8%-2.4%2.7%2.7%-0.3%
VWIV30.3%29.5%30.9%30.9%30.2%
Skew 25d11.6%-0.4%27.8%10.6%11.3%
Skew 10d21.9%-1.7%51.5%14.1%18.1%
Call IV 25d25.1%22.0%30.8%24.5%24.2%
Put IV 25d36.7%28.5%56.8%35.1%35.5%
Bid-Ask Spread %41.9819.1177.9531.2336.09
Gamma HHI0.880.840.960.840.96
Net GEX97.3K52.8K232.4K52.8K214.8K
Net DEX-1.8M-3.7M-1.1M-1.1M-2.8M
Net VEX-7.2K-10.7K-5.5K-5.5K-10.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.180.002.000.000.00
Total Volume12401,04303
Total OI2,687.6672,0424,3312,0424,331

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-04-01$14.53$15.0027.7%7.9%26.3%11.6%0.0%10.6%2.7%52.8K-1.1M-5.5K0.0031.23N/AN/A001,901141
2010-04-05$14.73$12.5028.6%9.2%23.7%13.0%0.0%12.4%-1.6%55.6K-1.1M-5.5K0.0038.52N/AN/A001,901141
2010-04-06$14.94$12.5028.5%8.8%21.2%12.8%0.0%12.0%-1.6%58.0K-1.2M-5.6K0.0028.15N/AN/A39001,901141
2010-04-07$14.76$12.5029.0%9.4%22.0%13.5%0.0%11.1%-1.7%69.1K-1.4M-6.6K0.0032.25N/AN/A4702,280141
2010-04-08$14.86$12.5028.7%9.1%21.9%13.1%0.0%11.2%-2.2%71.9K-1.5M-6.6K0.0032.03N/AN/A002,280141
2010-04-09$14.84$12.5027.4%9.0%21.8%11.2%0.0%12.3%-2.1%71.0K-1.5M-6.8K0.0035.88N/AN/A5002,327141
2010-04-12$14.73$12.5026.3%9.0%22.1%9.7%0.0%9.3%-2.1%73.2K-1.4M-6.6K0.0033.52N/AN/A002,377141
2010-04-13$14.98$12.5026.4%8.8%21.1%9.8%0.0%11.5%-0.7%68.6K-1.6M-6.8K0.0052.75N/AN/A1102,377141
2010-04-14$15.00$12.5029.8%9.6%20.7%14.7%0.0%13.7%-2.4%68.6K-1.6M-6.7K0.0019.11N/AN/A002,377141
2010-04-15$14.78$12.5030.8%8.8%21.6%16.5%30.9%10.9%-0.5%64.8K-1.5M-6.5K2.0024.33N/AN/A10202,377141
2010-04-16$14.57$12.5029.4%8.4%22.5%14.8%0.0%9.8%-0.1%75.5K-1.3M-6.5K0.0077.66N/AN/A902,387161
2010-04-19$14.76$12.5031.1%8.9%22.6%17.3%0.0%8.5%-1.1%91.1K-1.4M-6.3K0.0074.55N/AN/A002,37466
2010-04-20$14.93$12.5030.0%8.6%15.7%15.6%0.0%8.9%-0.8%97.4K-1.5M-6.4K0.0057.05N/AN/A012,37466
2010-04-21$15.10$12.5030.4%8.7%15.9%16.3%0.0%4.6%-1.0%99.6K-1.7M-6.5K0.0053.52N/AN/A002,37467
2010-04-22$15.24$12.5031.1%8.9%15.6%17.2%0.0%5.3%-1.9%102.8K-1.8M-6.5K0.0074.35N/AN/A10002,37467
2010-04-23$15.54$12.5030.5%8.8%16.6%16.9%30.5%27.8%-1.2%108.3K-2.1M-7.0K0.0125.34N/AN/A53362,47467
2010-04-26$15.53$12.5030.2%8.6%16.6%18.8%0.0%-0.4%1.0%115.1K-2.6M-8.8K0.0029.46N/AN/A19102,94968
2010-04-27$15.08$12.5030.9%8.8%20.4%20.0%0.0%13.5%-0.7%123.8K-2.3M-9.0K0.0026.58N/AN/A15003,12768
2010-04-28$15.02$12.5030.7%8.8%20.4%19.7%29.5%13.5%1.5%129.7K-2.3M-9.2K0.0077.95N/AN/A1,04303,18068
2010-04-29$15.44$12.5030.2%8.7%22.1%18.9%30.7%25.1%0.3%232.4K-3.7M-10.7K0.3321.28N/AN/A30104,22368
2010-04-30$14.74$15.0030.1%8.6%28.3%18.7%30.2%11.3%-0.3%214.8K-2.8M-10.6K0.0036.09N/AN/A304,25378