FSP Options History — June 2011

In June 2011, FSP traded between $12.10 and $13.01. ATM implied volatility averaged 29.5%, placing in the 34.5% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 2.5% (HV 20d: 32.1%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.36.

Notable Days

2011-06-15: Highest Volume — 36 contracts
2011-06-06: Largest IV spike — 29.4% change
2011-06-06: Highest IV Rank — 44.5%
2011-06-24: Largest Expected Move — 9.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.66	$12.10	$13.01	$12.89	$12.91
Max Pain	$14.77	$12.50	$15.00	$12.50	$15.00
ATM IV	29.5%	25.4%	33.7%	25.4%	29.8%
Expected Move	8.5%	7.3%	9.3%	7.3%	8.6%
HV 20d	32.1%	26.2%	35.4%	31.7%	26.4%
HV 60d	25.1%	23.8%	26.2%	24.6%	26.2%
IV Rank	34.5%	24.5%	44.5%	24.5%	35.2%
IV Percentile	47.4%	23.4%	72.6%	23.4%	50.8%
Term Structure	3.0%	-0.5%	10.0%	-0.5%	4.9%
VWIV	31.7%	26.4%	36.9%	26.4%	36.9%
Skew 25d	2.3%	-8.2%	40.3%	-8.2%	-5.4%
Skew 10d	8.8%	-10.7%	113.0%	8.5%	-8.7%
Call IV 25d	32.6%	27.0%	37.4%	36.2%	37.3%
Put IV 25d	34.9%	28.1%	67.3%	28.1%	31.9%
Bid-Ask Spread %	106.43	103.29	112.01	112.01	108.54
Gamma HHI	0.53	0.43	0.70	0.56	0.52
Net GEX	841	-623	2.8K	1.6K	-556
Net DEX	40.9K	10.2K	67.6K	28.1K	48.8K
Net VEX	-240	-318	-186	-295	-211
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.36	0.00	0.71	0.00	0.71
Total Volume	3.455	0	36	8	0
Total OI	409.409	163	595	554	163

Daily Data (22 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
2011-06-01	$12.89	$12.50	25.4%	7.3%	31.7%	24.5%	0.0%	-8.2%	-0.5%	1.6K	28.1K	-295	0.00	112.01	N/A	N/A	0	8	485	69
2011-06-02	$12.98	$12.50	30.2%	8.6%	31.5%	36.0%	26.4%	9.4%	2.7%	2.5K	28.2K	-318	0.00	107.17	N/A	N/A	20	0	485	76
2011-06-03	$13.01	$15.00	26.0%	8.7%	31.3%	25.9%	0.0%	5.6%	0.8%	1.9K	10.2K	-303	0.00	105.71	N/A	N/A	0	0	505	76
2011-06-06	$12.86	$15.00	33.7%	8.8%	31.4%	44.5%	0.0%	5.7%	1.2%	2.8K	16.9K	-311	0.00	104.53	N/A	N/A	0	0	505	76
2011-06-07	$13.00	$15.00	27.4%	8.4%	31.5%	29.3%	0.0%	40.3%	2.5%	1.5K	11.4K	-297	0.00	106.89	N/A	N/A	0	0	505	76
2011-06-08	$12.91	$15.00	31.3%	8.4%	29.7%	38.7%	0.0%	3.4%	3.0%	1.6K	15.0K	-285	0.00	106.97	N/A	N/A	0	0	505	76
2011-06-09	$12.70	$15.00	30.0%	8.6%	29.5%	35.6%	0.0%	4.8%	2.8%	2.2K	22.9K	-282	0.00	104.83	N/A	N/A	0	0	505	76
2011-06-10	$12.38	$15.00	31.1%	8.9%	29.9%	38.2%	0.0%	2.6%	1.5%	1.4K	38.7K	-240	0.71	103.29	N/A	N/A	7	5	505	76
2011-06-13	$12.36	$15.00	31.7%	9.1%	29.9%	39.6%	0.0%	2.9%	1.0%	1.4K	47.0K	-242	0.00	103.57	N/A	N/A	0	0	502	81
2011-06-14	$12.60	$15.00	29.4%	8.4%	31.0%	34.1%	0.0%	-1.6%	2.4%	1.6K	36.5K	-251	0.00	106.11	N/A	N/A	0	0	502	81
2011-06-15	$12.10	$15.00	31.1%	8.9%	33.7%	38.1%	36.9%	3.5%	1.5%	806	61.1K	-204	0.00	105.00	N/A	N/A	0	36	502	81
2011-06-16	$12.34	$15.00	29.8%	8.5%	34.4%	35.2%	0.0%	-2.7%	1.1%	1.4K	67.6K	-206	0.00	106.65	N/A	N/A	0	0	502	93
2011-06-17	$12.55	$15.00	28.3%	8.1%	35.2%	31.4%	0.0%	-3.3%	3.0%	2.8K	54.6K	-220	0.00	105.81	N/A	N/A	0	0	502	93
2011-06-20	$12.71	$15.00	28.4%	8.1%	35.4%	31.7%	0.0%	2.9%	6.0%	-498	48.9K	-217	0.00	107.01	N/A	N/A	0	0	93	70
2011-06-21	$12.81	$15.00	25.5%	7.3%	34.5%	24.8%	0.0%	-2.2%	10.0%	-513	49.4K	-219	0.00	106.95	N/A	N/A	0	0	93	70
2011-06-22	$12.64	$15.00	28.7%	8.2%	34.8%	32.3%	0.0%	3.0%	4.6%	-524	49.4K	-216	0.00	108.80	N/A	N/A	0	0	93	70
2011-06-23	$12.40	$15.00	30.9%	8.9%	35.3%	37.8%	0.0%	3.9%	2.7%	-549	53.5K	-190	0.00	105.23	N/A	N/A	0	0	93	70
2011-06-24	$12.33	$15.00	32.3%	9.3%	34.4%	41.1%	0.0%	3.8%	0.9%	-581	54.3K	-190	0.00	104.62	N/A	N/A	0	0	93	70
2011-06-27	$12.51	$15.00	31.4%	9.0%	34.8%	39.0%	0.0%	-6.0%	1.6%	-589	53.1K	-186	0.00	105.86	N/A	N/A	0	0	93	70
2011-06-28	$12.65	$15.00	29.9%	8.6%	33.4%	35.3%	0.0%	-6.6%	4.1%	-600	52.8K	-193	0.00	107.75	N/A	N/A	0	0	93	70
2011-06-29	$12.78	$15.00	27.7%	7.9%	26.2%	29.9%	0.0%	-5.4%	8.3%	-623	51.5K	-196	0.00	108.23	N/A	N/A	0	0	93	70
2011-06-30	$12.91	$15.00	29.8%	8.6%	26.4%	35.2%	0.0%	-5.4%	4.9%	-556	48.8K	-211	0.00	108.54	N/A	N/A	0	0	93	70