FSP Options History — July 2010

In July 2010, FSP traded between $11.05 and $12.69. ATM implied volatility averaged 39.5%, placing in the 47.0% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded below realized volatility by 3.6% (HV 20d: 43.1%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.17.

Notable Days

  • 2010-07-29: Highest Volume — 302 contracts
  • 2010-07-02: Largest IV drop — 28.0% change
  • 2010-07-14: Highest IV Rank — 64.0%
  • 2010-07-06: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.93$11.05$12.69$11.87$12.21
Max Pain$12.26$10.00$12.50$12.50$12.50
ATM IV39.5%30.9%46.7%42.9%39.3%
Expected Move11.6%8.9%14.1%12.3%11.3%
HV 20d43.1%36.4%48.1%43.0%47.5%
HV 60d44.9%41.1%47.5%41.1%45.4%
IV Rank47.0%26.8%64.0%55.1%46.7%
IV Percentile48.2%21.8%72.6%60.3%44.0%
Term Structure-1.0%-6.3%14.6%0.1%-2.1%
VWIV41.9%32.9%48.3%48.3%39.4%
Skew 25d5.3%-3.8%14.0%-1.7%0.5%
Skew 10d9.0%-4.2%19.2%-1.6%1.8%
Call IV 25d37.6%29.8%45.8%42.9%35.9%
Put IV 25d42.9%33.8%51.8%41.3%36.5%
Bid-Ask Spread %43.2821.6894.2331.6721.68
Gamma HHI0.650.450.820.730.45
Net GEX15.6K9.5K28.4K16.3K28.4K
Net DEX-161.5K-358.3K-37.9K-199.2K-358.3K
Net VEX-2.4K-3.1K-1.9K-3.1K-2.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.005.505.500.00
Total Volume27.8570302010
Total OI2,071.1432,0282,3852,0432,385

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$11.87$12.5042.9%12.3%43.0%55.1%0.0%-1.7%0.1%16.3K-199.2K-3.1K0.0031.67N/AN/A001,749294
2010-07-02$11.51$12.5030.9%8.9%36.4%26.8%0.0%3.9%14.6%14.7K-155.1K-2.9K0.0048.99N/AN/A001,749294
2010-07-06$11.05$12.5037.5%14.1%39.1%42.4%48.3%1.6%-6.1%10.5K-37.9K-2.2K5.5025.84N/AN/A2111,749294
2010-07-07$11.72$12.5033.6%11.5%43.4%33.1%0.0%14.0%2.6%12.7K-106.9K-2.6K0.0036.81N/AN/A0251,751305
2010-07-08$11.63$12.5037.9%11.4%41.9%43.4%0.0%10.8%3.2%12.4K-102.9K-2.5K0.0029.52N/AN/A001,751310
2010-07-09$11.76$12.5036.1%12.1%40.1%39.2%0.0%9.5%-0.6%12.7K-106.8K-2.5K0.0031.06N/AN/A001,751310
2010-07-12$11.76$12.5040.4%11.8%38.7%49.2%0.0%10.9%1.0%13.7K-121.9K-2.5K0.0033.26N/AN/A001,751310
2010-07-13$12.23$12.5041.8%11.4%41.3%52.5%0.0%9.1%-1.9%16.2K-193.7K-2.8K0.0036.15N/AN/A001,751310
2010-07-14$12.07$12.5046.7%12.1%39.4%64.0%0.0%6.9%-2.3%15.6K-168.4K-2.6K0.0059.06N/AN/A001,751310
2010-07-15$11.90$12.5042.2%12.1%39.2%53.4%0.0%6.3%-1.5%13.9K-129.6K-2.5K0.0039.84N/AN/A001,751310
2010-07-16$11.47$12.5039.3%11.3%40.7%46.7%46.3%7.8%2.2%11.2K-46.2K-2.1K5.0057.57N/AN/A4201,751310
2010-07-19$11.63$12.5039.4%11.3%41.3%46.8%0.0%7.2%1.2%9.5K-56.0K-1.9K0.0052.15N/AN/A001,740288
2010-07-20$11.97$12.5042.0%12.0%42.4%53.0%0.0%11.7%-6.3%11.9K-99.8K-2.1K0.0062.26N/AN/A001,740288
2010-07-21$11.46$12.5033.8%9.7%43.8%33.5%32.9%8.3%-1.0%10.2K-66.8K-2.0K0.0036.30N/AN/A7201,740288
2010-07-22$12.08$10.0039.6%11.4%48.1%47.4%0.0%-3.0%-2.3%15.8K-225.3K-2.3K0.0094.23N/AN/A001,810288
2010-07-23$12.26$10.0041.2%11.8%47.6%51.2%43.2%-3.8%-4.0%16.6K-240.5K-2.2K0.0027.72N/AN/A7001,810288
2010-07-26$12.65$12.5041.1%11.8%47.9%51.0%41.1%1.6%-5.4%21.3K-227.0K-2.3K0.0065.71N/AN/A1701,740288
2010-07-27$12.69$12.5041.1%11.8%47.7%51.0%0.0%3.1%-2.3%24.6K-287.7K-2.7K0.0047.20N/AN/A4001,745288
2010-07-28$12.41$12.5041.1%11.8%47.2%50.8%0.0%3.9%-3.2%22.4K-264.2K-2.6K0.0046.72N/AN/A1201,785288
2010-07-29$12.28$12.5040.8%11.7%47.5%50.1%0.0%1.2%-6.3%17.8K-196.4K-2.2K0.0025.24N/AN/A30201,795288
2010-07-30$12.21$12.5039.3%11.3%47.5%46.7%39.4%0.5%-2.1%28.4K-358.3K-2.8K0.0021.68N/AN/A1002,097288