FSP Options History — November 2010

In November 2010, FSP traded between $12.28 and $13.15. ATM implied volatility averaged 32.7%, placing in the 34.1% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 7.6% (HV 20d: 25.1%). 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 0.92.

Notable Days

  • 2010-11-16: Highest Volume — 50 contracts
  • 2010-11-03: Largest IV drop — 23.4% change
  • 2010-11-30: Highest IV Rank — 45.0%
  • 2010-11-30: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.71$12.28$13.15$13.00$12.83
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV32.7%27.1%36.5%33.8%36.5%
Expected Move9.3%7.8%10.5%9.7%10.5%
HV 20d25.1%21.1%29.5%29.5%22.0%
HV 60d30.2%28.5%32.7%32.7%28.9%
IV Rank34.1%17.8%45.0%33.6%45.0%
IV Percentile41.7%8.3%64.3%45.6%64.3%
Term Structure0.8%-2.5%5.9%0.8%-1.8%
VWIV33.6%31.9%36.3%36.3%31.9%
Skew 25d8.8%-2.2%33.3%-2.2%7.7%
Skew 10d22.5%0.6%68.5%2.3%8.3%
Call IV 25d31.2%22.9%52.5%32.6%26.6%
Put IV 25d40.0%27.0%70.0%30.5%34.3%
Bid-Ask Spread %97.9191.68102.7395.9395.28
Gamma HHI0.530.490.610.530.53
Net GEX39.4K31.3K48.9K47.1K39.7K
Net DEX-510.4K-733.5K-302.6K-708.0K-540.4K
Net VEX-2.2K-3.0K-1.7K-3.0K-1.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.005.005.000.00
Total Volume4.57105060
Total OI2,118.7141,8932,2502,1851,903

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-11-01$13.00$12.5033.8%9.7%29.5%33.6%0.0%-2.2%0.8%47.1K-708.0K-3.0K5.0095.93N/AN/A152,032153
2010-11-02$12.95$12.5035.4%10.1%27.0%37.4%0.0%9.6%-2.2%45.7K-667.1K-2.9K0.0096.29N/AN/A1002,032158
2010-11-03$12.87$12.5027.1%7.8%27.1%17.8%0.0%7.7%5.9%43.4K-586.9K-2.6K0.0096.97N/AN/A002,042158
2010-11-04$13.15$12.5029.6%8.5%27.9%26.6%0.0%0.4%2.7%48.9K-733.5K-2.8K0.0094.86N/AN/A002,042158
2010-11-05$12.91$12.5034.5%8.6%28.4%39.7%0.0%10.5%2.3%44.8K-615.7K-2.6K0.00102.17N/AN/A002,042158
2010-11-08$12.90$12.5031.6%8.6%28.4%31.7%0.0%13.9%3.0%42.8K-586.0K-2.4K0.00100.79N/AN/A002,042158
2010-11-09$12.65$12.5032.1%9.3%29.1%33.1%0.0%33.3%0.1%38.6K-518.6K-2.4K0.0097.39N/AN/A002,042158
2010-11-10$12.84$12.5033.1%9.4%27.9%35.9%0.0%29.2%-0.4%42.1K-569.9K-2.4K0.0098.21N/AN/A002,042158
2010-11-11$12.80$12.5031.7%9.1%27.9%32.2%0.0%19.3%1.6%41.4K-567.3K-2.4K0.0097.11N/AN/A002,042158
2010-11-12$12.71$12.5031.1%8.9%27.6%30.4%0.0%1.2%1.7%41.4K-569.5K-2.3K0.00101.00N/AN/A002,042158
2010-11-15$12.65$12.5032.9%9.4%23.4%35.4%0.0%3.3%-0.4%39.8K-540.7K-2.2K0.00100.15N/AN/A002,042158
2010-11-16$12.35$12.5036.3%10.4%22.8%44.2%36.3%11.6%-2.5%33.0K-395.6K-2.0K0.0091.68N/AN/A0502,042158
2010-11-17$12.38$12.5031.5%9.0%21.1%31.5%0.0%3.1%2.3%31.7K-338.8K-1.9K0.00101.73N/AN/A002,042208
2010-11-18$12.52$12.5032.2%9.2%21.7%33.6%0.0%3.1%1.2%33.8K-397.5K-2.0K0.0096.87N/AN/A002,042208
2010-11-19$12.47$12.5031.0%8.9%21.3%30.3%0.0%4.0%2.7%33.0K-373.5K-1.9K0.50101.28N/AN/A212,042208
2010-11-22$12.47$12.5032.7%9.4%21.4%34.7%32.7%0.4%-0.5%34.1K-366.3K-1.8K0.00101.78N/AN/A601,690203
2010-11-23$12.28$12.5033.7%9.7%21.7%37.4%0.0%1.6%-1.2%31.3K-302.6K-1.7K0.0095.09N/AN/A001,690203
2010-11-24$12.68$12.5033.3%9.5%23.5%36.3%0.0%15.3%-1.1%37.2K-430.8K-1.8K0.0096.68N/AN/A1101,690203
2010-11-26$12.66$12.5032.9%9.4%23.4%35.2%0.0%4.8%0.2%37.4K-433.8K-1.8K0.0092.21N/AN/A001,690203
2010-11-29$12.79$12.5032.8%9.4%23.9%35.0%31.9%7.1%2.8%40.8K-475.8K-1.7K0.00102.73N/AN/A1001,690203
2010-11-30$12.83$12.5036.5%10.5%22.0%45.0%0.0%7.7%-1.8%39.7K-540.4K-1.8K0.0095.28N/AN/A001,700203