FSP Options History — August 2010

In August 2010, FSP traded between $11.20 and $12.48. ATM implied volatility averaged 33.3%, placing in the 32.6% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded below realized volatility by 4.7% (HV 20d: 38.1%). 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 16 of 22 days. Put/call ratio averaged 0.21.

Notable Days

  • 2010-08-19: Highest Volume — 25 contracts
  • 2010-08-24: Largest IV spike — 47.6% change
  • 2010-08-13: Highest IV Rank — 61.9%
  • 2010-08-13: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.81$11.20$12.48$12.48$11.73
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV33.3%22.0%45.8%42.9%38.5%
Expected Move9.7%6.3%13.1%12.3%11.0%
HV 20d38.1%30.5%46.5%46.5%34.7%
HV 60d42.8%39.3%44.5%44.2%39.3%
IV Rank32.6%5.8%61.9%55.0%44.7%
IV Percentile29.4%0.8%74.2%65.1%47.2%
Term Structure3.7%-4.5%19.2%-4.5%-1.5%
VWIV39.2%32.4%54.5%42.9%54.5%
Skew 25d7.7%-6.9%52.5%3.8%0.6%
Skew 10d13.9%-5.4%72.2%5.9%-0.1%
Call IV 25d31.9%21.2%39.1%37.0%39.1%
Put IV 25d39.6%26.8%85.4%40.8%39.7%
Bid-Ask Spread %57.1314.5192.7022.0747.02
Gamma HHI0.530.420.670.480.63
Net GEX22.3K11.0K35.2K34.8K19.4K
Net DEX-216.9K-486.9K-30.9K-486.9K-150.1K
Net VEX-1.9K-3.1K-1.3K-3.1K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.210.001.250.201.25
Total Volume3.955025120
Total OI2,398.9552,3532,4352,3952,362

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-08-02$12.48$12.5042.9%12.3%46.5%55.0%42.9%3.8%-4.5%34.8K-486.9K-3.1K0.2022.07N/AN/A1022,107288
2010-08-03$12.23$12.5040.9%11.7%44.4%50.4%0.0%0.0%-2.0%33.0K-434.0K-2.9K0.0024.38N/AN/A002,117290
2010-08-04$12.48$12.5033.4%9.6%40.0%32.8%33.4%22.9%3.0%35.2K-450.2K-2.9K0.0028.78N/AN/A1202,117290
2010-08-05$12.38$12.5035.8%10.3%40.1%38.3%0.0%6.4%-1.8%33.6K-416.8K-2.7K0.0029.89N/AN/A1002,127290
2010-08-06$12.22$12.5032.3%10.5%40.3%30.1%0.0%3.4%2.2%30.4K-353.6K-2.6K0.0082.36N/AN/A002,137290
2010-08-09$12.28$12.5034.2%9.6%40.3%34.5%0.0%4.8%3.3%31.0K-348.4K-2.4K0.0080.01N/AN/A002,137290
2010-08-10$11.91$12.5033.0%11.0%39.4%31.7%0.0%0.4%-0.9%26.6K-278.1K-2.3K0.0081.00N/AN/A002,137290
2010-08-11$11.33$12.5031.5%8.7%42.9%28.2%0.0%-6.9%3.1%15.2K-108.3K-1.8K0.0087.86N/AN/A042,137280
2010-08-12$11.25$12.5041.3%11.8%42.7%51.2%0.0%3.3%3.0%14.6K-98.9K-1.7K0.0081.99N/AN/A002,137284
2010-08-13$11.20$12.5045.8%13.1%40.8%61.9%0.0%18.7%-0.5%14.2K-96.3K-1.7K0.0086.53N/AN/A102,137284
2010-08-16$11.29$12.5028.3%8.1%40.6%20.6%0.0%14.8%10.6%14.6K-96.4K-1.6K0.0086.94N/AN/A002,138284
2010-08-17$11.55$12.5030.2%8.7%40.1%25.1%0.0%-6.5%3.9%16.3K-114.0K-1.6K0.0087.60N/AN/A002,138284
2010-08-18$11.64$12.5025.7%7.4%37.0%14.5%0.0%1.1%13.5%17.8K-100.9K-1.5K0.0083.00N/AN/A002,138284
2010-08-19$11.26$12.5028.4%8.2%33.4%21.0%0.0%-2.2%9.0%11.0K-30.9K-1.3K0.0092.70N/AN/A2502,138284
2010-08-20$11.33$12.5027.0%7.7%32.9%17.5%0.0%4.9%17.1%11.4K-56.0K-1.3K0.0072.19N/AN/A002,163272
2010-08-23$11.41$12.5022.0%6.3%30.5%5.8%0.0%5.6%19.2%12.8K-55.1K-1.3K0.0014.51N/AN/A002,112241
2010-08-24$11.63$12.5032.5%9.3%31.6%30.5%0.0%-2.2%0.5%19.2K-165.9K-1.6K0.0051.53N/AN/A002,112241
2010-08-25$12.12$12.5032.0%9.2%34.7%29.3%32.9%52.5%0.7%24.7K-228.0K-1.7K0.0030.54N/AN/A402,112241
2010-08-26$12.13$12.5034.8%10.0%34.5%36.1%0.0%-1.0%1.7%25.7K-266.2K-1.7K0.0032.16N/AN/A002,112241
2010-08-27$12.18$12.5032.2%9.2%34.5%29.9%32.4%48.5%0.2%25.9K-242.4K-1.6K1.2521.56N/AN/A8102,112241
2010-08-30$11.79$12.5031.1%8.9%35.3%27.2%54.5%-3.8%1.7%22.8K-194.7K-1.5K0.0032.19N/AN/A012,120241
2010-08-31$11.73$12.5038.5%11.0%34.7%44.7%0.0%0.6%-1.5%19.4K-150.1K-1.4K0.0047.02N/AN/A002,120242