FSP Options History — January 2011

In January 2011, FSP traded between $14.39 and $15.09. ATM implied volatility averaged 25.1%, placing in the 16.2% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 4.9% (HV 20d: 20.2%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.01.

Notable Days

2011-01-10: Highest Volume — 410 contracts
2011-01-10: Largest IV spike — 38.7% change
2011-01-14: Highest IV Rank — 28.3%
2011-01-14: Largest Expected Move — 8.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.72	$14.39	$15.09	$14.76	$14.99
Max Pain	$14.88	$12.50	$15.00	$12.50	$15.00
ATM IV	25.1%	18.6%	29.4%	27.1%	29.2%
Expected Move	7.4%	6.1%	8.4%	7.8%	8.4%
HV 20d	20.2%	17.2%	23.8%	20.7%	23.8%
HV 60d	22.0%	20.5%	23.8%	23.5%	21.2%
IV Rank	16.2%	0.0%	28.3%	20.1%	27.7%
IV Percentile	9.2%	0.0%	24.6%	10.3%	24.6%
Term Structure	1.0%	-1.6%	5.0%	-0.4%	-0.9%
VWIV	28.0%	24.9%	32.6%	27.2%	29.2%
Skew 25d	21.2%	-5.3%	58.0%	48.4%	40.2%
Skew 10d	29.0%	-6.7%	74.8%	64.0%	63.9%
Call IV 25d	28.4%	24.9%	32.9%	31.2%	32.9%
Put IV 25d	49.5%	23.6%	84.7%	79.6%	73.2%
Bid-Ask Spread %	96.94	88.78	104.70	90.63	96.55
Gamma HHI	0.93	0.83	1.00	0.83	1.00
Net GEX	63.6K	23.5K	102.5K	23.5K	97.8K
Net DEX	-810.3K	-1.1M	-415.4K	-444.4K	-1.1M
Net VEX	-2.8K	-3.6K	-1.6K	-1.6K	-3.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.01	0.00	0.10	0.01	0.10
Total Volume	53.25	0	410	75	11
Total OI	1,234.65	626	1,632	626	1,560

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2011-01-03	$14.76	$12.50	27.1%	7.8%	20.7%	20.1%	27.2%	48.4%	-0.4%	23.5K	-444.4K	-1.6K	0.01	90.63	N/A	N/A	74	1	612	14
2011-01-04	$14.47	$15.00	21.4%	6.1%	22.6%	5.0%	32.6%	58.0%	1.2%	24.5K	-445.1K	-1.9K	0.00	91.11	N/A	N/A	1	0	682	15
2011-01-05	$14.51	$15.00	23.2%	6.7%	22.1%	9.8%	0.0%	57.6%	-0.1%	25.0K	-448.7K	-1.9K	0.00	93.80	N/A	N/A	0	0	683	15
2011-01-06	$14.44	$15.00	23.9%	6.8%	20.7%	7.9%	0.0%	6.4%	0.1%	26.0K	-435.9K	-1.8K	0.00	93.75	N/A	N/A	0	0	683	15
2011-01-07	$14.39	$15.00	19.4%	8.0%	19.5%	0.0%	0.0%	-3.0%	-0.1%	25.2K	-415.4K	-1.8K	0.00	97.70	N/A	N/A	20	0	683	15
2011-01-10	$14.50	$15.00	26.9%	7.0%	19.5%	19.7%	24.9%	-0.4%	5.0%	26.3K	-447.3K	-1.8K	0.03	100.00	N/A	N/A	400	10	703	15
2011-01-11	$14.54	$15.00	18.6%	7.1%	19.2%	0.0%	0.0%	-1.5%	2.6%	48.9K	-630.0K	-2.6K	0.00	98.06	N/A	N/A	0	0	1,088	25
2011-01-12	$14.68	$15.00	22.7%	7.6%	19.2%	10.6%	26.8%	-0.7%	1.8%	49.8K	-690.8K	-2.7K	0.00	93.71	N/A	N/A	100	0	1,088	25
2011-01-13	$14.77	$15.00	24.6%	7.0%	18.5%	15.6%	25.0%	32.9%	4.6%	58.1K	-766.8K	-2.8K	0.00	96.39	N/A	N/A	210	0	1,188	25
2011-01-14	$14.95	$15.00	29.4%	8.4%	18.5%	28.3%	29.4%	0.3%	-1.6%	70.5K	-992.1K	-3.3K	0.00	94.03	N/A	N/A	102	0	1,398	25
2011-01-18	$15.00	$15.00	27.6%	7.9%	17.2%	23.6%	0.0%	32.8%	1.0%	82.2K	-1.1M	-3.4K	0.00	99.52	N/A	N/A	10	0	1,500	25
2011-01-19	$14.70	$15.00	28.5%	8.2%	19.5%	25.8%	28.7%	-0.1%	0.4%	78.3K	-983.1K	-3.4K	0.00	98.07	N/A	N/A	4	0	1,510	25
2011-01-20	$14.67	$15.00	23.1%	6.6%	18.4%	11.7%	0.0%	-1.8%	2.3%	81.2K	-977.7K	-3.3K	0.00	100.96	N/A	N/A	100	0	1,511	25
2011-01-21	$14.61	$15.00	23.7%	6.8%	18.4%	13.3%	0.0%	-5.3%	0.9%	83.4K	-970.9K	-3.6K	0.00	88.78	N/A	N/A	0	0	1,607	25
2011-01-24	$14.84	$15.00	25.6%	7.3%	19.0%	18.4%	0.0%	40.3%	1.5%	91.7K	-1.0M	-3.5K	0.00	99.73	N/A	N/A	0	0	1,595	20
2011-01-25	$15.09	$15.00	25.0%	7.2%	19.5%	16.8%	0.0%	39.5%	2.4%	102.5K	-1.1M	-3.5K	0.00	104.70	N/A	N/A	20	0	1,595	20
2011-01-26	$14.69	$15.00	29.0%	8.3%	22.1%	27.3%	0.0%	0.3%	-1.5%	87.8K	-971.9K	-3.5K	0.00	102.84	N/A	N/A	2	0	1,538	20
2011-01-27	$14.97	$15.00	27.3%	7.8%	22.9%	22.8%	0.0%	37.1%	0.1%	95.2K	-1.1M	-3.6K	0.00	102.37	N/A	N/A	0	0	1,540	20
2011-01-28	$14.79	$15.00	26.4%	7.6%	23.5%	20.4%	0.0%	42.4%	1.2%	94.3K	-1.1M	-3.5K	0.00	96.20	N/A	N/A	0	0	1,540	20
2011-01-31	$14.99	$15.00	29.2%	8.4%	23.8%	27.7%	29.2%	40.2%	-0.9%	97.8K	-1.1M	-3.5K	0.10	96.55	N/A	N/A	10	1	1,540	20