FSP Options History — March 2011

In March 2011, FSP traded between $13.54 and $14.99. ATM implied volatility averaged 24.0%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 4.7% (HV 20d: 19.3%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 0.63.

Notable Days

  • 2011-03-15: Highest Volume — 100 contracts
  • 2011-03-24: Largest IV spike — 38.1% change
  • 2011-03-16: Highest IV Rank — 27.6%
  • 2011-03-16: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.24$13.54$14.99$14.85$14.07
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV24.0%15.3%29.1%24.2%25.4%
Expected Move7.1%4.4%8.4%6.9%7.3%
HV 20d19.3%13.0%23.1%13.0%20.4%
HV 60d19.5%18.5%20.2%18.6%18.6%
IV Rank16.3%0.0%27.6%14.6%24.3%
IV Percentile10.5%0.0%32.9%6.0%17.9%
Term Structure2.2%-7.4%14.7%3.5%-5.4%
VWIV28.1%20.6%32.5%32.5%31.1%
Skew 25d8.4%-1.7%79.3%3.1%5.7%
Skew 10d11.4%-1.8%123.8%3.9%3.5%
Call IV 25d24.9%15.0%31.5%29.3%25.4%
Put IV 25d33.3%23.4%104.7%32.4%31.1%
Bid-Ask Spread %104.5799.18107.66102.20106.54
Gamma HHI0.930.860.990.990.88
Net GEX54.7K12.2K138.1K102.6K15.5K
Net DEX-404.9K-869.9K-141.8K-858.5K-172.0K
Net VEX-1.8K-2.7K-1.3K-2.7K-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.001.550.000.91
Total Volume9.261010000
Total OI999.8265201,3201,306538

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-03-01$14.85$15.0024.2%6.9%13.0%14.6%0.0%3.1%3.5%102.6K-858.5K-2.7K0.00102.20N/AN/A001,26541
2011-03-02$14.65$15.0024.7%7.1%13.5%15.9%0.0%4.5%3.3%94.9K-680.2K-2.5K0.0099.18N/AN/A001,26541
2011-03-03$14.99$15.0026.2%7.5%16.0%19.9%0.0%44.0%-0.9%108.7K-869.9K-2.6K0.0099.47N/AN/A001,26541
2011-03-04$14.94$15.0023.6%8.0%16.1%13.2%0.0%79.3%-0.8%119.5K-826.9K-2.6K0.00101.50N/AN/A001,26541
2011-03-07$14.80$15.0024.1%8.3%16.2%14.5%0.0%2.4%-0.9%118.3K-757.9K-2.4K0.00101.30N/AN/A001,26541
2011-03-08$14.95$15.0025.0%8.0%15.8%16.7%0.0%2.7%-0.8%126.0K-861.1K-2.4K0.00100.95N/AN/A001,26541
2011-03-09$14.85$15.0022.7%7.6%15.9%10.8%0.0%2.6%1.2%138.1K-808.8K-2.4K0.00101.23N/AN/A001,26541
2011-03-10$14.44$15.0028.6%8.2%18.5%26.3%0.0%-0.2%-1.1%98.9K-632.0K-2.2K0.00102.21N/AN/A501,26541
2011-03-11$14.29$15.0025.5%7.3%18.5%18.1%0.0%0.4%2.0%74.8K-501.0K-2.0K0.00104.65N/AN/A1001,26041
2011-03-14$14.18$15.0026.0%7.5%18.1%19.3%32.5%6.2%8.1%57.4K-301.2K-1.6K1.55107.22N/AN/A20311,25441
2011-03-15$13.97$15.0028.1%8.0%18.6%24.8%0.0%5.9%5.5%42.2K-241.3K-1.5K0.00106.75N/AN/A10001,25862
2011-03-16$13.54$15.0029.1%8.4%20.8%27.6%0.0%-1.7%0.3%17.4K-150.7K-1.3K0.00107.08N/AN/A001,21862
2011-03-17$13.59$15.0024.3%7.0%20.5%14.8%20.6%-1.5%9.1%17.3K-141.8K-1.3K0.00107.34N/AN/A011,21862
2011-03-18$13.72$15.0024.3%7.0%21.2%14.8%31.1%2.7%10.9%12.2K-143.3K-1.3K0.00106.85N/AN/A021,21861
2011-03-21$14.02$15.0021.4%6.1%23.0%7.4%0.0%5.9%6.1%14.0K-175.8K-1.3K0.00107.66N/AN/A0047446
2011-03-22$14.04$15.0020.1%5.8%23.0%3.8%0.0%5.1%7.2%14.2K-191.7K-1.4K0.00107.28N/AN/A0047446
2011-03-23$13.92$15.0015.3%4.4%23.1%0.0%0.0%10.7%14.7%14.2K-172.4K-1.3K1.30101.80N/AN/A101347446
2011-03-24$13.86$15.0021.2%6.1%22.5%14.1%0.0%1.9%4.4%13.7K-169.1K-1.3K0.91106.63N/AN/A111048455
2011-03-25$14.00$15.0021.0%6.0%23.0%13.6%0.0%4.5%3.5%14.6K-171.3K-1.3K0.00106.72N/AN/A0048455
2011-03-28$13.91$15.0022.7%6.5%22.3%17.8%0.0%2.7%-4.7%14.5K-158.5K-1.3K0.00106.86N/AN/A0048455
2011-03-29$13.88$15.0024.2%7.0%22.1%21.5%0.0%2.8%-7.4%14.1K-162.5K-1.3K0.00106.77N/AN/A0048455
2011-03-30$14.03$15.0024.2%6.9%22.3%21.4%0.0%4.0%-6.7%15.0K-165.1K-1.3K0.00106.96N/AN/A0048455
2011-03-31$14.07$15.0025.4%7.3%20.4%24.3%0.0%5.7%-5.4%15.5K-172.0K-1.3K0.00106.54N/AN/A0048454