FSP Options History — May 2011

In May 2011, FSP traded between $12.92 and $13.77. ATM implied volatility averaged 26.1%, placing in the 26.0% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 4.0% (HV 20d: 22.1%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.00.

Notable Days

2011-05-12: Highest Volume — 1 contracts
2011-05-23: Largest IV spike — 45.5% change
2011-05-10: Highest IV Rank — 40.3%
2011-05-23: Largest Expected Move — 8.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.38	$12.92	$13.77	$13.77	$13.69
Max Pain	$12.98	$12.50	$15.00	$15.00	$12.50
ATM IV	26.1%	21.1%	32.0%	26.0%	29.9%
Expected Move	7.2%	6.0%	8.9%	7.5%	8.6%
HV 20d	22.1%	20.5%	23.8%	21.0%	23.5%
HV 60d	20.3%	19.1%	21.5%	19.2%	21.5%
IV Rank	26.0%	13.8%	40.3%	25.7%	35.3%
IV Percentile	24.3%	3.2%	56.0%	21.8%	46.8%
Term Structure	3.8%	-8.2%	10.7%	-8.2%	-6.9%
Skew 25d	0.5%	-8.3%	6.0%	1.7%	3.2%
Skew 10d	8.0%	-5.3%	35.9%	2.8%	3.7%
Call IV 25d	25.6%	18.8%	32.4%	27.1%	28.3%
Put IV 25d	26.1%	17.9%	34.3%	28.8%	31.4%
Bid-Ask Spread %	108.64	102.36	111.94	106.61	109.70
Gamma HHI	0.80	0.65	0.88	0.88	0.86
Net GEX	8.6K	2.7K	14.7K	14.7K	11.2K
Net DEX	-20.8K	-132.1K	22.8K	-132.1K	-19.8K
Net VEX	-567	-1.0K	-340	-1.0K	-463
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	0.095	0	1	0	0
Total OI	555.571	553	557	556	554

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2011-05-02	$13.77	$15.00	26.0%	7.5%	21.0%	25.7%	0.0%	1.7%	-8.2%	14.7K	-132.1K	-1.0K	106.61	N/A	N/A	0	0	484	72
2011-05-03	$13.68	$15.00	30.1%	8.6%	20.5%	35.5%	0.0%	0.1%	-6.6%	14.1K	-55.5K	-779	107.50	N/A	N/A	0	0	484	72
2011-05-04	$13.47	$15.00	25.7%	7.4%	21.0%	25.0%	0.0%	-3.9%	4.1%	12.5K	-68.3K	-825	106.47	N/A	N/A	0	0	484	72
2011-05-05	$13.32	$15.00	25.8%	7.4%	21.1%	25.2%	0.0%	-3.4%	3.1%	10.4K	-37.0K	-714	106.52	N/A	N/A	0	0	484	72
2011-05-06	$13.18	$12.50	25.6%	7.1%	20.9%	24.8%	0.0%	3.4%	2.9%	8.9K	-23.4K	-659	103.49	N/A	N/A	0	0	484	72
2011-05-09	$13.27	$12.50	27.3%	6.2%	21.0%	28.9%	0.0%	3.6%	10.6%	6.7K	-1.5K	-519	102.36	N/A	N/A	0	0	484	72
2011-05-10	$13.64	$12.50	32.0%	6.7%	23.5%	40.3%	0.0%	5.9%	10.0%	12.9K	-38.9K	-667	111.23	N/A	N/A	0	0	484	72
2011-05-11	$13.38	$12.50	31.6%	7.4%	23.8%	39.2%	0.0%	-1.3%	0.6%	11.3K	-46.7K	-737	110.55	N/A	N/A	0	0	484	72
2011-05-12	$13.57	$12.50	22.9%	6.6%	23.7%	18.2%	0.0%	3.8%	10.7%	11.5K	-28.2K	-613	110.67	N/A	N/A	1	0	484	72
2011-05-13	$13.44	$12.50	26.7%	7.7%	22.9%	27.5%	0.0%	6.0%	8.1%	10.6K	-36.8K	-672	105.85	N/A	N/A	0	0	485	72
2011-05-16	$13.38	$12.50	24.0%	6.9%	22.8%	20.8%	0.0%	-1.2%	8.1%	8.3K	-10.1K	-523	110.80	N/A	N/A	0	0	485	72
2011-05-17	$13.40	$12.50	23.3%	6.7%	21.7%	19.1%	0.0%	-0.6%	8.6%	7.6K	-4.3K	-491	110.26	N/A	N/A	0	0	485	72
2011-05-18	$13.54	$12.50	22.4%	6.4%	22.0%	16.9%	0.0%	0.6%	9.6%	9.3K	-12.1K	-508	109.98	N/A	N/A	0	0	485	72
2011-05-19	$13.50	$12.50	21.1%	6.0%	21.5%	13.8%	0.0%	-4.3%	7.9%	7.2K	-3.7K	-458	110.55	N/A	N/A	0	0	485	72
2011-05-20	$13.30	$12.50	21.3%	6.1%	21.5%	14.2%	0.0%	-8.3%	5.6%	4.1K	10.2K	-392	110.45	N/A	N/A	0	0	485	72
2011-05-23	$12.97	$12.50	30.9%	8.9%	23.1%	37.6%	0.0%	3.1%	-2.0%	5.5K	6.7K	-427	107.49	N/A	N/A	0	0	485	68
2011-05-24	$12.92	$12.50	28.0%	8.0%	21.9%	30.5%	0.0%	-2.1%	-1.2%	4.5K	14.5K	-381	111.34	N/A	N/A	0	0	485	68
2011-05-25	$12.99	$12.50	24.7%	7.1%	22.1%	22.8%	0.0%	5.0%	8.1%	2.7K	22.8K	-340	106.59	N/A	N/A	0	1	485	68
2011-05-26	$13.23	$12.50	24.6%	7.0%	22.5%	22.4%	0.0%	-0.4%	8.1%	3.5K	16.6K	-340	111.06	N/A	N/A	0	0	485	69
2011-05-27	$13.32	$12.50	24.3%	7.0%	22.8%	21.7%	0.0%	-0.2%	-0.9%	4.2K	11.7K	-358	111.94	N/A	N/A	0	0	485	69
2011-05-31	$13.69	$12.50	29.9%	8.6%	23.5%	35.3%	0.0%	3.2%	-6.9%	11.2K	-19.8K	-463	109.70	N/A	N/A	0	0	485	69