FSP Options History — May 2010

In May 2010, FSP traded between $11.74 and $15.01. ATM implied volatility averaged 44.7%, placing in the 50.1% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 3.2% (HV 20d: 41.5%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.98.

Notable Days

  • 2010-05-10: Highest Volume — 1,128 contracts
  • 2010-05-06: Largest IV spike — 90.3% change
  • 2010-05-25: Highest IV Rank — 77.7%
  • 2010-05-25: Largest Expected Move — 16.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.89$11.74$15.01$15.01$12.35
Max Pain$13.25$12.50$15.00$15.00$12.50
ATM IV44.7%23.2%56.8%31.0%50.1%
Expected Move12.8%6.7%16.3%8.9%14.4%
HV 20d41.5%28.6%48.0%28.6%46.1%
HV 60d32.1%27.6%35.7%27.6%35.6%
IV Rank50.1%6.5%77.7%20.2%65.8%
IV Percentile60.5%2.0%91.7%21.4%80.2%
Term Structure-3.8%-7.8%6.5%-1.3%-6.0%
VWIV44.4%32.3%55.1%32.3%50.1%
Skew 25d2.2%-5.7%16.2%5.4%3.6%
Skew 10d5.7%-6.3%40.3%8.6%5.9%
Call IV 25d39.2%22.6%50.7%22.6%45.0%
Put IV 25d41.5%28.0%58.6%28.0%48.6%
Bid-Ask Spread %43.7321.3179.1623.2755.92
Gamma HHI0.700.530.970.960.53
Net GEX90.9K46.9K232.3K232.3K62.3K
Net DEX-1.2M-3.1M-425.0K-3.1M-767.2K
Net VEX-7.1K-10.4K-5.7K-10.4K-6.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.006.581.000.69
Total Volume163.9511,1282044
Total OI5,080.54,2695,8384,3285,024

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$15.01$15.0031.0%8.9%28.6%20.2%0.0%5.4%-1.3%232.3K-3.1M-10.4K1.0023.27N/AN/A10104,25078
2010-05-04$14.40$15.0032.1%9.2%31.8%22.2%32.3%7.8%-1.7%195.6K-2.2M-9.6K0.4034.48N/AN/A524,24088
2010-05-05$13.85$15.0023.2%6.7%34.3%6.5%0.0%3.4%6.5%140.5K-1.3M-7.7K0.0053.53N/AN/A0204,23586
2010-05-06$13.09$15.0044.1%12.7%38.9%43.4%35.5%1.3%-6.9%93.1K-1.1M-6.8K3.5967.96N/AN/A22794,235106
2010-05-07$12.70$15.0048.4%13.2%39.7%50.9%43.9%-5.7%-5.9%67.4K-753.9K-5.7K0.0042.11N/AN/A1,08104,246175
2010-05-10$13.27$15.0038.2%11.5%43.8%33.0%40.5%-1.2%-2.3%86.7K-882.7K-6.3K0.0021.31N/AN/A1,12804,094175
2010-05-11$13.16$12.5039.5%11.5%43.0%35.2%41.2%-2.0%0.2%119.3K-1.8M-7.6K0.4842.30N/AN/A21105,072175
2010-05-12$13.20$12.5040.6%11.7%43.0%37.2%41.2%-2.5%-0.7%117.4K-1.8M-7.5K0.0023.60N/AN/A6005,061185
2010-05-13$13.09$12.5043.5%12.5%42.9%48.0%44.0%16.2%-2.2%105.7K-1.6M-7.3K6.5828.86N/AN/A795205,106185
2010-05-14$12.78$12.5043.0%12.3%43.3%46.9%0.0%6.0%-2.6%74.0K-1.1M-7.6K0.0037.00N/AN/A085,109705
2010-05-17$12.83$12.5044.6%12.8%42.9%51.3%45.3%9.0%-5.0%73.5K-1.1M-7.4K0.0035.17N/AN/A085,109713
2010-05-18$12.66$12.5045.3%13.0%42.4%53.6%0.0%4.5%-4.4%66.8K-1.0M-7.4K1.0033.28N/AN/A445,109718
2010-05-19$12.71$12.5044.1%12.6%42.0%51.2%0.0%4.4%-3.3%66.0K-1.0M-7.1K0.0036.34N/AN/A505,113718
2010-05-20$12.13$12.5055.1%15.8%43.5%74.2%0.0%0.0%-7.8%53.5K-791.8K-7.1K0.0053.80N/AN/A025,118718
2010-05-21$12.40$12.5055.2%15.8%43.8%74.3%55.1%2.5%-7.5%50.6K-860.6K-7.0K0.5052.72N/AN/A425,118720
2010-05-24$11.99$12.5053.9%15.4%44.3%71.6%53.9%-2.1%-5.5%56.1K-698.4K-6.3K0.0079.16N/AN/A0784,239646
2010-05-25$11.97$12.5056.8%16.3%44.0%77.7%0.0%-1.6%-5.7%50.1K-537.5K-6.1K0.0078.88N/AN/A104,239724
2010-05-26$11.74$12.5054.9%15.7%44.0%73.7%0.0%-4.9%-6.3%46.9K-425.0K-5.7K0.4837.49N/AN/A42204,240724
2010-05-27$12.39$12.5049.9%14.3%48.0%65.3%49.9%0.8%-6.9%60.8K-742.2K-6.2K0.0037.50N/AN/A1004,280734
2010-05-28$12.35$12.5050.1%14.4%46.1%65.8%50.1%3.6%-6.0%62.3K-767.2K-6.3K0.6955.92N/AN/A26184,290734