FSP Options History — December 2010

In December 2010, FSP traded between $12.97 and $14.31. ATM implied volatility averaged 29.8%, placing in the 27.1% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 9.7% (HV 20d: 20.1%). 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 15 of 22 days. Put/call ratio averaged 0.15.

Notable Days

  • 2010-12-20: Highest Volume — 80 contracts
  • 2010-12-15: Largest IV drop — 43.0% change
  • 2010-12-14: Highest IV Rank — 84.7%
  • 2010-12-07: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.53$12.97$14.31$13.03$14.25
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV29.8%22.0%51.6%31.7%24.5%
Expected Move8.4%6.3%9.4%9.1%7.0%
HV 20d20.1%17.3%22.7%22.7%17.5%
HV 60d25.9%22.5%28.7%28.7%22.6%
IV Rank27.1%6.5%84.7%32.2%13.1%
IV Percentile25.2%1.6%96.4%38.5%3.6%
Term Structure1.3%-8.4%11.2%1.0%1.4%
VWIV31.8%29.6%34.1%34.1%29.6%
Skew 25d4.5%-7.5%14.7%14.7%4.0%
Skew 10d13.6%-11.3%32.6%27.2%8.7%
Call IV 25d28.9%23.4%37.5%26.4%28.5%
Put IV 25d33.4%22.7%41.5%41.1%32.5%
Bid-Ask Spread %97.1660.35107.92103.5060.35
Gamma HHI0.660.500.810.540.81
Net GEX28.4K12.7K50.3K40.4K21.0K
Net DEX-557.9K-851.3K-217.4K-621.4K-377.8K
Net VEX-1.4K-1.7K-1.1K-1.7K-1.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.150.001.501.500.00
Total Volume8.409080011
Total OI1,368.3184981,9261,903615

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-12-01$13.03$12.5031.7%9.1%22.7%32.2%0.0%14.7%1.0%40.4K-621.4K-1.7K0.00103.50N/AN/A001,700203
2010-12-02$13.04$12.5031.8%9.1%22.5%32.5%0.0%3.9%2.3%48.3K-615.9K-1.6K0.00107.92N/AN/A001,700203
2010-12-03$13.10$12.5032.9%9.4%21.2%35.3%0.0%14.7%3.3%50.3K-654.7K-1.5K0.0095.02N/AN/A001,700203
2010-12-06$13.21$0.0024.5%9.4%20.3%13.0%0.0%4.0%3.1%30.6K-759.1K-1.2K1.5093.93N/AN/A231,700203
2010-12-07$13.43$0.0024.6%9.4%21.0%13.4%0.0%2.7%3.8%22.0K-844.3K-1.2K0.4092.43N/AN/A521,702206
2010-12-08$13.18$0.0031.3%9.0%20.9%31.0%0.0%7.9%1.2%35.2K-742.6K-1.4K0.00105.83N/AN/A1101,704208
2010-12-09$12.97$0.0028.9%8.4%21.2%24.7%0.0%4.7%3.1%42.2K-665.6K-1.4K0.00102.68N/AN/A001,710208
2010-12-10$13.10$0.0030.7%9.1%21.4%29.5%0.0%13.9%1.4%35.6K-715.2K-1.2K0.00100.66N/AN/A001,710208
2010-12-13$13.04$0.0042.1%8.8%21.3%59.5%0.0%6.3%3.4%38.7K-704.3K-1.2K0.00102.56N/AN/A1401,710208
2010-12-14$13.16$0.0051.6%8.8%21.4%84.7%0.0%6.4%2.0%32.7K-750.6K-1.2K0.00102.36N/AN/A001,710208
2010-12-15$13.05$0.0029.4%8.4%19.5%26.1%0.0%4.5%3.5%38.5K-708.8K-1.2K0.00105.31N/AN/A801,710208
2010-12-16$13.17$0.0032.8%9.4%19.6%35.0%0.0%10.3%-0.6%29.4K-766.2K-1.1K0.00102.84N/AN/A501,718208
2010-12-17$13.50$0.0028.1%8.1%20.9%22.7%34.1%-1.1%11.2%12.7K-851.3K-1.1K0.0094.98N/AN/A041,713208
2010-12-20$13.54$12.5027.7%7.9%20.7%21.6%0.0%-2.8%8.8%12.9K-217.4K-1.1K0.0097.22N/AN/A80048414
2010-12-21$13.84$12.5029.3%8.4%21.6%25.7%0.0%3.2%-1.3%16.8K-278.5K-1.4K0.0099.54N/AN/A8056414
2010-12-22$13.95$12.5026.7%7.7%20.2%18.9%0.0%-7.5%-6.2%18.0K-293.6K-1.5K0.0096.79N/AN/A0057214
2010-12-23$14.02$12.5028.2%8.1%17.7%22.9%0.0%6.8%-8.4%18.7K-310.2K-1.5K0.0097.47N/AN/A0057214
2010-12-27$14.17$12.5022.0%6.3%17.7%6.5%0.0%7.5%1.3%20.0K-316.3K-1.5K0.00101.27N/AN/A1057214
2010-12-28$14.28$12.5024.6%7.1%17.6%13.5%0.0%6.1%-1.4%19.7K-339.4K-1.5K0.0093.52N/AN/A8057214
2010-12-29$14.30$12.5026.6%7.6%17.7%18.7%29.6%-4.8%-4.5%19.7K-371.4K-1.6K0.0091.87N/AN/A11058014
2010-12-30$14.31$12.5025.3%7.3%17.3%15.2%0.0%-5.7%-0.6%20.6K-368.5K-1.6K0.0089.55N/AN/A12059114
2010-12-31$14.25$12.5024.5%7.0%17.5%13.1%0.0%4.0%1.4%21.0K-377.8K-1.6K0.0060.35N/AN/A11060114