FSP Options History — June 2010

In June 2010, FSP traded between $11.39 and $13.51. ATM implied volatility averaged 45.2%, placing in the 58.5% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded below realized volatility by 3.4% (HV 20d: 48.7%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 1.35.

Notable Days

  • 2010-06-02: Highest Volume — 84 contracts
  • 2010-06-10: Largest IV drop — 17.2% change
  • 2010-06-09: Highest IV Rank — 76.8%
  • 2010-06-01: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.37$11.39$13.51$11.85$11.81
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV45.2%38.3%54.8%53.3%44.2%
Expected Move12.6%11.0%15.3%15.3%12.7%
HV 20d48.7%43.0%52.0%46.4%43.0%
HV 60d39.6%35.7%41.3%35.7%41.1%
IV Rank58.5%44.3%76.8%72.6%58.2%
IV Percentile63.9%40.9%92.5%87.7%65.9%
Term Structure-0.7%-6.7%4.7%-6.7%-0.9%
VWIV43.4%38.1%50.9%50.9%39.3%
Skew 25d5.4%-4.9%18.8%-0.4%-4.0%
Skew 10d9.6%-4.2%28.6%2.4%-2.8%
Call IV 25d39.4%28.4%49.7%49.7%44.4%
Put IV 25d44.8%34.7%56.0%49.3%40.4%
Bid-Ask Spread %34.0119.6170.0343.7833.86
Gamma HHI0.580.460.790.490.73
Net GEX44.8K16.4K86.2K49.5K16.4K
Net DEX-732.0K-2.0M-42.5K-422.8K-194.7K
Net VEX-4.5K-5.8K-3.0K-5.5K-3.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.350.0010.000.000.00
Total Volume16.63608400
Total OI4,012.5451,9605,2085,0682,043

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-06-01$11.85$12.5053.3%15.3%46.4%72.6%0.0%-0.4%-6.7%49.5K-422.8K-5.5K0.0043.78N/AN/A004,316752
2010-06-02$12.32$12.5050.9%14.6%48.3%68.2%50.9%4.4%-5.9%59.3K-663.4K-5.7K0.0056.48N/AN/A8404,316752
2010-06-03$12.22$12.5051.1%14.7%46.9%68.9%0.0%3.9%-5.5%59.2K-657.4K-5.8K10.0039.80N/AN/A1104,354752
2010-06-04$11.39$12.5051.4%12.8%49.0%69.5%44.5%7.4%-0.7%35.5K-57.3K-4.4K0.2128.51N/AN/A1434,354762
2010-06-07$11.49$12.5051.1%13.3%48.5%68.8%0.0%9.6%-2.6%36.6K-42.5K-4.2K1.0027.18N/AN/A22224,365765
2010-06-08$11.83$12.5052.8%12.5%46.8%72.5%0.0%13.1%-1.7%43.2K-161.4K-4.4K0.0036.71N/AN/A504,343787
2010-06-09$12.20$12.5054.8%13.3%48.6%76.8%0.0%16.8%-2.7%55.8K-539.4K-5.2K0.0034.70N/AN/A6004,338787
2010-06-10$12.61$12.5045.3%13.0%50.3%56.2%0.0%6.2%-2.5%67.2K-895.3K-5.5K0.0019.61N/AN/A004,398787
2010-06-11$12.93$12.5042.9%12.3%51.1%55.2%0.0%-1.2%-0.3%77.6K-1.3M-5.8K0.0030.73N/AN/A304,398787
2010-06-14$13.10$12.5044.1%12.6%50.6%58.0%44.1%8.4%-0.0%68.7K-1.6M-5.1K0.0031.29N/AN/A404,398787
2010-06-15$13.51$12.5042.3%12.1%51.6%53.8%0.0%7.0%2.2%68.3K-2.0M-4.9K0.0037.24N/AN/A0114,400787
2010-06-16$13.25$12.5039.9%11.4%51.9%48.1%0.0%0.4%4.7%86.2K-1.7M-5.2K1.0034.78N/AN/A10104,400788
2010-06-17$13.16$12.5040.2%11.5%52.0%48.7%38.1%1.2%3.4%52.6K-2.0M-4.7K0.0033.32N/AN/A1404,410798
2010-06-18$13.00$12.5039.3%11.3%49.1%46.7%39.3%9.8%0.7%63.6K-1.7M-4.4K0.0019.85N/AN/A044,404797
2010-06-21$12.69$12.5038.3%11.0%49.5%44.3%0.0%3.5%0.9%26.6K-455.9K-4.0K2.0049.40N/AN/A10201,698262
2010-06-22$12.32$12.5039.2%11.2%49.2%46.4%0.0%17.7%2.7%22.9K-357.7K-3.8K0.0021.01N/AN/A4001,708282
2010-06-23$12.20$12.5041.7%12.0%49.3%52.3%0.0%2.8%-0.3%21.7K-337.5K-3.6K6.0024.47N/AN/A2121,748282
2010-06-24$11.93$12.5042.2%12.1%49.5%53.5%0.0%-4.9%0.6%18.5K-247.0K-3.3K0.0024.24N/AN/A101,748294
2010-06-25$12.27$12.5040.6%11.7%46.6%49.8%0.0%18.8%0.9%19.9K-273.7K-3.4K0.0023.12N/AN/A001,749294
2010-06-28$12.15$12.5041.7%12.0%46.7%52.2%0.0%2.7%-0.0%19.4K-266.7K-3.3K0.0070.03N/AN/A001,749294
2010-06-29$11.81$12.5047.3%13.6%45.4%65.5%0.0%-3.7%-1.9%16.6K-202.4K-3.0K0.0028.09N/AN/A401,749294
2010-06-30$11.81$12.5044.2%12.7%43.0%58.2%0.0%-4.0%-0.9%16.4K-194.7K-3.0K0.0033.86N/AN/A001,749294