FSP Options History — October 2010

In October 2010, FSP traded between $12.48 and $14.00. ATM implied volatility averaged 31.5%, placing in the 28.3% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded below realized volatility by 0.6% (HV 20d: 32.1%). 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 13 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2010-10-20: Highest Volume — 401 contracts
  • 2010-10-13: Largest IV spike — 62.4% change
  • 2010-10-13: Highest IV Rank — 72.9%
  • 2010-10-13: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.30$12.48$14.00$12.48$13.36
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV31.5%21.0%50.4%31.6%32.0%
Expected Move9.6%8.4%10.8%9.1%9.2%
HV 20d32.1%25.8%35.9%34.9%27.4%
HV 60d33.9%31.9%36.8%36.3%32.3%
IV Rank28.3%3.4%72.9%28.5%29.5%
IV Percentile30.7%0.4%90.5%30.2%36.9%
Term Structure0.9%-8.3%12.6%3.2%5.3%
VWIV38.8%33.7%50.3%35.4%50.3%
Skew 25d6.1%-4.5%54.4%54.4%10.6%
Skew 10d15.2%2.2%83.5%83.5%21.3%
Call IV 25d31.5%24.0%41.9%34.2%24.8%
Put IV 25d37.7%30.3%88.6%88.6%35.4%
Bid-Ask Spread %72.4714.6697.4725.9893.33
Gamma HHI0.560.490.630.550.59
Net GEX41.5K20.2K62.9K20.2K57.0K
Net DEX-763.9K-1.1M-322.4K-322.4K-908.1K
Net VEX-2.9K-4.0K-1.8K-1.8K-3.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.040.000.00
Total Volume59.381040100
Total OI1,659.7621,0982,2181,0982,185

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$12.48$12.5031.6%9.1%34.9%28.5%0.0%54.4%3.2%20.2K-322.4K-1.8K0.0025.98N/AN/A00949149
2010-10-04$12.48$12.5029.0%10.1%34.9%22.3%35.4%1.4%-0.8%21.2K-332.6K-1.8K0.0014.66N/AN/A70949149
2010-10-05$12.91$12.5030.0%10.3%35.8%24.8%0.0%6.5%1.4%23.2K-448.8K-2.0K0.0024.81N/AN/A1150956149
2010-10-06$12.96$12.5021.0%9.8%35.7%3.4%0.0%8.4%1.6%27.1K-545.3K-2.2K0.0020.02N/AN/A001,061149
2010-10-07$12.85$12.5029.8%9.9%35.8%24.2%0.0%8.5%-0.2%27.8K-533.3K-2.2K0.0015.66N/AN/A001,061149
2010-10-08$13.01$12.5024.6%10.5%35.9%11.8%0.0%9.0%-2.8%27.9K-551.8K-2.2K0.0020.82N/AN/A001,061149
2010-10-11$12.95$12.5029.7%10.4%34.7%23.9%0.0%7.8%-2.6%28.8K-563.6K-2.1K0.0093.69N/AN/A34501,061149
2010-10-12$13.04$12.5031.1%9.6%34.7%27.2%0.0%6.7%1.2%34.6K-622.5K-2.5K0.0095.74N/AN/A001,387149
2010-10-13$13.38$12.5050.4%10.8%35.6%72.9%0.0%0.5%0.3%35.6K-764.5K-2.7K0.0096.42N/AN/A501,387149
2010-10-14$13.37$12.5037.5%10.8%34.7%42.5%0.0%3.9%0.6%35.7K-751.9K-2.7K0.0096.47N/AN/A001,387149
2010-10-15$13.50$12.5034.4%9.9%34.3%35.0%33.7%-2.7%0.5%36.5K-793.8K-2.6K0.0488.46N/AN/A10041,387149
2010-10-18$14.00$12.5029.7%8.5%31.3%23.9%0.0%2.9%-7.2%45.2K-951.4K-2.9K0.0096.19N/AN/A20701,443153
2010-10-19$13.60$12.5029.3%8.4%32.4%23.1%0.0%-4.5%12.6%45.2K-921.7K-3.5K0.0093.52N/AN/A501,644153
2010-10-20$13.87$12.5031.2%9.0%32.2%27.6%35.6%-1.2%-8.3%48.8K-1.1M-3.5K0.0091.57N/AN/A40101,649153
2010-10-21$13.70$12.5029.5%8.5%29.9%23.6%39.2%-4.5%9.6%59.2K-1.0M-4.0K0.0097.47N/AN/A5002,015153
2010-10-22$13.80$12.5032.1%9.2%26.9%29.6%0.0%-0.4%-3.4%62.9K-1.1M-4.0K0.0095.17N/AN/A002,065153
2010-10-25$13.75$12.5033.3%9.5%26.1%32.4%0.0%1.0%3.5%62.7K-1.1M-3.8K0.0091.27N/AN/A002,065153
2010-10-26$13.70$12.5033.4%9.6%25.8%32.6%0.0%-0.6%-6.3%61.8K-1.1M-3.9K0.0096.11N/AN/A002,065153
2010-10-27$13.30$12.5031.5%9.0%27.4%28.1%50.3%10.4%5.3%54.0K-838.1K-3.4K0.0087.57N/AN/A802,030153
2010-10-28$13.34$12.5031.0%8.9%27.4%27.1%0.0%10.8%6.2%55.3K-873.6K-3.5K0.0087.04N/AN/A002,032153
2010-10-29$13.36$12.5032.0%9.2%27.4%29.5%0.0%10.6%5.3%57.0K-908.1K-3.5K0.0093.33N/AN/A002,032153