FSP Options History — February 2011

In February 2011, FSP traded between $14.85 and $15.38. ATM implied volatility averaged 27.1%, placing in the 22.2% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 9.1% (HV 20d: 18.0%). Max pain ranged from $10.00 to $15.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.08.

Notable Days

2011-02-02: Highest Volume — 60 contracts
2011-02-10: Largest IV spike — 29.8% change
2011-02-23: Highest IV Rank — 34.8%
2011-02-23: Largest Expected Move — 9.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.16	$14.85	$15.38	$15.10	$15.03
Max Pain	$12.37	$10.00	$15.00	$15.00	$15.00
ATM IV	27.1%	21.4%	31.9%	26.6%	24.6%
Expected Move	8.1%	6.3%	9.1%	7.6%	7.1%
HV 20d	18.0%	13.2%	20.5%	20.5%	13.2%
HV 60d	19.3%	17.9%	20.9%	20.9%	18.4%
IV Rank	22.2%	7.4%	34.8%	21.0%	15.8%
IV Percentile	21.8%	1.6%	54.0%	11.9%	9.5%
Term Structure	-0.3%	-5.4%	5.6%	1.7%	2.1%
VWIV	29.7%	25.0%	33.2%	31.3%	33.2%
Skew 25d	16.7%	2.4%	39.7%	39.0%	36.3%
Skew 10d	28.9%	2.8%	68.8%	64.9%	60.8%
Call IV 25d	28.1%	25.8%	32.3%	32.3%	29.1%
Put IV 25d	44.8%	28.8%	71.2%	71.2%	65.4%
Bid-Ask Spread %	98.62	95.17	105.14	101.37	97.07
Gamma HHI	0.99	0.98	1.00	0.99	0.99
Net GEX	123.1K	72.0K	174.2K	110.5K	101.4K
Net DEX	-1.3M	-1.7M	-839.5K	-1.2M	-944.4K
Net VEX	-3.2K	-3.7K	-2.8K	-3.4K	-2.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.08	0.00	0.40	0.00	0.20
Total Volume	9.737	0	60	10	0
Total OI	1,562	1,280	1,716	1,571	1,306

Daily Data (19 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
2011-02-01	$15.10	$15.00	26.6%	7.6%	20.5%	21.0%	0.0%	39.0%	1.7%	110.5K	-1.2M	-3.4K	0.00	101.37	N/A	N/A	10	0	1,550	21
2011-02-02	$15.08	$15.00	25.9%	7.4%	19.0%	19.2%	0.0%	37.8%	4.3%	102.6K	-1.3M	-3.5K	0.00	97.33	N/A	N/A	60	0	1,560	21
2011-02-03	$15.10	$15.00	22.1%	6.3%	19.0%	9.2%	0.0%	39.7%	5.6%	126.7K	-1.3M	-3.7K	0.00	105.14	N/A	N/A	0	0	1,620	21
2011-02-04	$14.99	$10.00	24.6%	8.4%	19.1%	15.6%	0.0%	2.7%	-1.6%	112.9K	-1.2M	-3.7K	0.00	102.23	N/A	N/A	0	0	1,620	21
2011-02-07	$15.20	$10.00	21.4%	8.7%	19.5%	7.4%	0.0%	26.5%	-2.9%	132.5K	-1.4M	-3.5K	0.00	99.47	N/A	N/A	10	0	1,620	21
2011-02-08	$15.22	$10.00	22.8%	8.5%	19.4%	11.0%	0.0%	4.2%	-1.6%	127.3K	-1.4M	-3.5K	0.00	102.50	N/A	N/A	0	0	1,630	21
2011-02-09	$15.20	$10.00	24.2%	8.0%	19.5%	14.8%	0.0%	23.8%	-0.2%	130.5K	-1.4M	-3.5K	0.00	99.13	N/A	N/A	30	0	1,630	21
2011-02-10	$15.27	$10.00	31.5%	9.0%	19.3%	33.7%	0.0%	24.7%	-4.2%	140.9K	-1.5M	-3.5K	0.00	96.23	N/A	N/A	0	0	1,660	21
2011-02-11	$15.38	$10.00	31.3%	9.0%	19.3%	33.2%	31.3%	5.1%	-5.4%	127.7K	-1.7M	-3.4K	0.00	98.39	N/A	N/A	0	1	1,660	21
2011-02-14	$15.30	$12.50	30.9%	8.8%	19.1%	32.1%	25.0%	4.4%	-3.1%	138.5K	-1.6M	-3.3K	0.40	97.49	N/A	N/A	10	4	1,660	22
2011-02-15	$15.14	$12.50	29.9%	8.6%	19.5%	29.5%	0.0%	2.9%	-1.3%	166.1K	-1.4M	-3.3K	0.00	97.26	N/A	N/A	0	0	1,660	26
2011-02-16	$15.25	$12.50	29.3%	8.4%	18.0%	27.9%	29.2%	3.3%	-1.0%	156.8K	-1.6M	-3.2K	0.00	96.73	N/A	N/A	30	0	1,660	26
2011-02-17	$15.20	$12.50	27.7%	7.9%	18.1%	23.8%	0.0%	2.6%	0.4%	174.2K	-1.6M	-3.2K	0.00	95.17	N/A	N/A	4	0	1,690	26
2011-02-18	$15.29	$12.50	28.0%	8.0%	18.0%	24.5%	0.0%	24.2%	-0.2%	160.6K	-1.6M	-3.1K	0.00	96.78	N/A	N/A	0	0	1,689	26
2011-02-22	$15.24	$12.50	31.6%	9.1%	17.4%	34.0%	0.0%	5.1%	-1.4%	72.0K	-1.1M	-2.9K	0.00	95.67	N/A	N/A	0	0	1,255	25
2011-02-23	$15.22	$12.50	31.9%	9.1%	16.4%	34.8%	0.0%	30.3%	-0.7%	75.2K	-1.1M	-2.9K	0.20	99.64	N/A	N/A	10	2	1,255	25
2011-02-24	$14.95	$12.50	24.9%	7.2%	14.6%	16.6%	33.2%	2.5%	1.9%	91.1K	-917.5K	-2.8K	0.00	97.54	N/A	N/A	0	4	1,265	27
2011-02-25	$14.85	$15.00	25.3%	7.2%	13.2%	17.5%	0.0%	2.4%	1.2%	90.8K	-839.5K	-2.8K	0.00	98.71	N/A	N/A	0	10	1,265	31
2011-02-28	$15.03	$15.00	24.6%	7.1%	13.2%	15.8%	0.0%	36.3%	2.1%	101.4K	-944.4K	-2.8K	0.00	97.07	N/A	N/A	0	0	1,265	41