FSP Options History — September 2010

In September 2010, FSP traded between $11.67 and $12.86. ATM implied volatility averaged 31.8%, placing in the 28.9% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded below realized volatility by 1.0% (HV 20d: 32.8%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.47.

Notable Days

  • 2010-09-21: Highest Volume — 410 contracts
  • 2010-09-09: Largest IV spike — 32.0% change
  • 2010-09-17: Highest IV Rank — 37.9%
  • 2010-09-17: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.17$11.67$12.86$12.01$12.42
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV31.8%24.8%35.6%34.6%29.5%
Expected Move9.3%8.2%10.2%9.9%8.4%
HV 20d32.8%27.4%36.9%35.0%35.1%
HV 60d37.9%36.3%39.4%39.1%36.3%
IV Rank28.9%12.5%37.9%35.6%23.4%
IV Percentile27.1%2.4%41.7%35.3%17.9%
Term Structure4.1%-1.2%13.8%-0.1%5.7%
VWIV31.5%24.1%36.0%34.4%24.1%
Skew 25d22.8%-6.6%66.6%66.6%54.6%
Skew 10d35.2%-9.7%96.4%86.9%81.3%
Call IV 25d34.0%25.2%38.1%35.8%32.5%
Put IV 25d56.7%26.8%102.5%102.4%87.1%
Bid-Ask Spread %62.2317.34103.8832.3624.46
Gamma HHI0.650.450.830.710.55
Net GEX22.4K9.6K41.9K24.3K20.3K
Net DEX-203.4K-347.4K-43.9K-188.6K-318.7K
Net VEX-1.4K-2.0K-1.0K-1.4K-1.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.003.000.200.20
Total Volume30.095041000
Total OI1,775.9525762,3782,3621,098

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$12.01$12.5034.6%9.9%35.0%35.6%0.0%66.6%-0.1%24.3K-188.6K-1.4K0.0032.36N/AN/A002,120242
2010-09-02$11.93$12.5034.7%9.9%35.0%35.8%0.0%-0.1%-1.2%23.1K-172.5K-1.4K0.0027.84N/AN/A002,120242
2010-09-03$11.95$0.0032.1%9.0%34.7%29.6%0.0%-2.9%5.0%24.6K-167.7K-1.4K0.2020.07N/AN/A512,120242
2010-09-07$11.73$0.0024.8%9.6%35.2%12.5%0.0%-4.9%3.7%17.9K-71.0K-1.1K0.0018.48N/AN/A002,115242
2010-09-08$11.75$0.0026.5%9.0%33.6%16.3%0.0%-4.4%5.0%18.6K-67.1K-1.1K0.0017.34N/AN/A002,115242
2010-09-09$11.67$0.0034.9%10.0%28.3%36.3%0.0%-6.6%2.3%14.9K-43.9K-1.0K0.0020.55N/AN/A022,115241
2010-09-10$11.75$0.0032.1%9.2%28.1%29.6%0.0%-4.5%6.3%18.2K-61.5K-1.1K0.0020.62N/AN/A002,115243
2010-09-13$12.12$0.0034.3%9.8%29.8%34.9%34.4%-0.2%2.7%30.6K-199.5K-1.2K0.0020.45N/AN/A1002,115243
2010-09-14$12.11$12.5033.6%9.6%29.8%33.0%0.0%0.0%3.6%35.6K-156.7K-1.2K0.0077.03N/AN/A002,125243
2010-09-15$12.15$12.5034.8%10.0%28.9%35.9%0.0%51.2%2.4%37.6K-169.6K-1.1K0.0075.30N/AN/A002,125243
2010-09-16$11.94$12.5034.2%9.8%29.7%34.6%0.0%1.0%2.0%25.6K-94.2K-1.0K3.0075.10N/AN/A5152,125243
2010-09-17$12.18$12.5035.6%10.2%27.4%37.9%36.0%52.6%1.3%41.9K-165.9K-1.1K0.0078.09N/AN/A1402,130248
2010-09-20$12.86$12.5028.6%8.2%32.8%21.5%24.1%43.5%13.8%9.6K-201.5K-1.1K0.3583.42N/AN/A11741463113
2010-09-21$12.60$12.5030.0%8.6%34.1%24.7%0.0%-6.0%5.0%11.5K-237.2K-1.4K0.03102.53N/AN/A40010563138
2010-09-22$12.44$12.5030.9%8.9%34.2%26.9%0.0%3.9%5.0%19.6K-345.0K-2.0K0.00101.94N/AN/A00958148
2010-09-23$12.05$12.5030.8%8.8%33.3%26.5%0.0%3.0%4.2%17.1K-280.1K-1.9K0.00103.09N/AN/A60938148
2010-09-24$12.56$12.5033.4%9.6%36.5%32.6%0.0%50.5%3.8%19.4K-341.8K-2.0K0.00100.37N/AN/A00944148
2010-09-27$12.38$12.5031.6%9.1%36.9%28.5%0.0%60.4%4.4%19.4K-319.0K-1.9K0.00102.03N/AN/A00944148
2010-09-28$12.61$12.5032.0%9.2%35.2%29.5%0.0%54.5%5.5%20.5K-347.4K-1.8K0.20101.87N/AN/A51944148
2010-09-29$12.38$12.5028.7%8.2%35.9%21.5%0.0%65.8%5.9%20.0K-322.0K-1.9K0.00103.88N/AN/A00949149
2010-09-30$12.42$12.5029.5%8.4%35.1%23.4%0.0%54.6%5.7%20.3K-318.7K-1.8K0.0024.46N/AN/A00949149