FSP Options History — April 2011 In April 2011, FSP traded between $13.34 and $14.17. ATM implied volatility averaged 32.0%, placing in the 40.1% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 13.1% (HV 20d: 18.9%). 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 7 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2011-04-27 : Highest Volume — 25 contracts2011-04-14 : Largest IV drop — 38.6% change2011-04-12 : Highest IV Rank — 99.3%2011-04-19 : Largest Expected Move — 10.4%Monthly Statistics Metric Avg Min Max Open Close Price $13.80 $13.34 $14.17 $13.89 $14.14 Max Pain $13.75 $12.50 $15.00 $15.00 $15.00 ATM IV 32.0% 20.2% 56.5% 26.7% 20.2% Expected Move 7.5% 5.3% 10.4% 7.7% 5.8% HV 20d 18.9% 16.5% 21.4% 20.7% 19.2% HV 60d 18.9% 18.3% 19.7% 18.7% 18.5% IV Rank 40.1% 11.7% 99.3% 27.4% 11.7% IV Percentile 42.5% 1.6% 99.6% 23.0% 1.6% Term Structure 0.2% -8.5% 8.9% -8.5% 5.4% VWIV 25.8% 22.9% 31.6% 31.6% 23.0% Skew 25d 4.6% -4.9% 11.7% 1.7% 6.8% Skew 10d 10.4% -4.3% 95.8% 3.0% 4.5% Call IV 25d 23.2% 17.3% 28.5% 28.5% 21.5% Put IV 25d 27.8% 21.1% 36.9% 30.2% 28.3% Bid-Ask Spread % 104.50 99.48 107.50 106.32 106.22 Gamma HHI 0.88 0.85 0.90 0.88 0.90 Net GEX 14.5K 10.9K 19.7K 14.9K 19.7K Net DEX -123.4K -180.3K -53.6K -158.5K -153.2K Net VEX -1.1K -1.3K -805 -1.2K -1.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 2.3 0 25 0 0 Total OI 547.35 538 556 538 556
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 2011-04-01 $13.89 $15.00 26.7% 7.7% 20.7% 27.4% 0.0% 1.7% -8.5% 14.9K -158.5K -1.2K 0.00 106.32 N/A N/A 0 0 484 54 2011-04-04 $14.07 $0.00 27.9% 6.4% 21.4% 30.2% 0.0% 5.2% 8.9% 15.7K -172.8K -1.3K 0.00 106.16 N/A N/A 0 0 484 54 2011-04-05 $14.06 $0.00 29.0% 8.0% 20.9% 32.9% 0.0% 5.9% -0.4% 15.7K -175.1K -1.3K 0.00 101.40 N/A N/A 0 0 484 54 2011-04-06 $14.13 $0.00 28.2% 5.3% 21.0% 31.0% 0.0% 2.2% 6.9% 16.3K -180.3K -1.3K 0.00 106.62 N/A N/A 0 0 484 54 2011-04-07 $13.94 $0.00 27.2% 5.7% 19.2% 28.7% 0.0% 1.3% 4.4% 15.0K -154.0K -1.2K 0.00 106.84 N/A N/A 0 0 484 54 2011-04-08 $13.80 $0.00 34.7% 6.1% 19.2% 46.7% 0.0% 11.7% 5.9% 15.0K -141.4K -1.1K 0.00 103.82 N/A N/A 0 0 484 54 2011-04-11 $13.76 $0.00 47.9% 5.8% 19.1% 78.6% 0.0% -0.5% -3.5% 15.1K -134.9K -1.1K 0.00 106.00 N/A N/A 0 0 484 54 2011-04-12 $13.54 $0.00 56.5% 9.2% 19.2% 99.3% 0.0% 8.9% -0.7% 13.2K -113.7K -1.0K 0.00 104.00 N/A N/A 0 0 484 54 2011-04-13 $13.34 $0.00 55.6% 9.1% 16.5% 97.3% 31.6% 6.7% -0.6% 11.5K -85.2K -947 0.00 103.34 N/A N/A 0 19 484 54 2011-04-14 $13.60 $12.50 34.2% 9.8% 17.9% 45.4% 0.0% 9.7% -1.0% 11.5K -82.2K -1.0K 0.00 99.48 N/A N/A 0 0 484 71 2011-04-15 $13.69 $12.50 28.8% 8.3% 17.8% 32.4% 0.0% -2.3% -5.3% 12.8K -96.6K -1.1K 0.00 106.98 N/A N/A 0 0 484 71 2011-04-18 $13.42 $12.50 33.1% 9.5% 17.1% 42.9% 0.0% 6.8% -1.6% 11.2K -71.3K -941 0.00 101.95 N/A N/A 0 0 484 70 2011-04-19 $13.45 $12.50 36.3% 10.4% 17.2% 50.6% 0.0% 9.8% -2.7% 10.9K -76.0K -960 0.00 100.36 N/A N/A 0 0 484 70 2011-04-20 $13.63 $12.50 27.7% 8.0% 17.8% 29.9% 0.0% 5.6% -2.8% 12.5K -84.0K -987 0.00 101.17 N/A N/A 0 0 484 70 2011-04-21 $13.79 $12.50 22.9% 6.6% 18.3% 18.3% 22.9% -1.8% -3.2% 13.6K -96.4K -1.0K 0.00 107.50 N/A N/A 0 1 484 70 2011-04-25 $13.74 $15.00 25.2% 7.2% 17.9% 23.9% 23.0% -4.9% -7.6% 13.1K -53.6K -805 0.00 107.37 N/A N/A 0 1 484 71 2011-04-26 $13.97 $15.00 31.1% 8.9% 18.8% 38.0% 0.0% 8.0% -3.9% 15.1K -162.2K -1.2K 0.00 106.28 N/A N/A 0 0 484 72 2011-04-27 $13.96 $15.00 20.8% 6.0% 18.8% 13.1% 0.0% 3.6% 6.9% 17.3K -127.3K -1.1K 0.00 106.26 N/A N/A 25 0 484 72 2011-04-28 $14.17 $15.00 24.9% 7.2% 19.2% 23.2% 0.0% 7.3% 6.3% 19.7K -150.0K -1.1K 0.00 102.00 N/A N/A 0 0 484 72 2011-04-29 $14.14 $15.00 20.2% 5.8% 19.2% 11.7% 0.0% 6.8% 5.4% 19.7K -153.2K -1.1K 0.00 106.22 N/A N/A 0 0 484 72
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