FSP Options History — July 2011 In July 2011, FSP traded between $12.40 and $13.84. ATM implied volatility averaged 36.9%, placing in the 51.7% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 10.3% (HV 20d: 26.6%). Max pain ranged from $2.50 to $15.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2011-07-25 : Highest Volume — 40 contracts2011-07-14 : Largest IV drop — 41.0% change2011-07-13 : Highest IV Rank — 100.0%2011-07-19 : Largest Expected Move — 10.1%Monthly Statistics Metric Avg Min Max Open Close Price $13.12 $12.40 $13.84 $13.23 $12.61 Max Pain $5.63 $2.50 $15.00 $15.00 $2.50 ATM IV 36.9% 26.4% 57.5% 26.4% 34.3% Expected Move 9.4% 6.0% 10.1% 7.6% 9.8% HV 20d 26.6% 23.5% 29.0% 27.8% 28.8% HV 60d 27.5% 26.7% 28.6% 26.7% 28.5% IV Rank 51.7% 26.8% 100.0% 26.8% 45.0% IV Percentile 82.1% 28.6% 100.0% 28.6% 84.5% Term Structure -1.6% -6.3% 8.5% 8.5% -2.6% Skew 25d 5.0% -4.3% 14.7% -4.3% -2.4% Skew 10d 7.6% -7.7% 11.9% -7.7% -3.8% Call IV 25d 30.0% 20.2% 37.1% 33.9% 36.9% Put IV 25d 35.0% 28.8% 40.7% 29.7% 34.5% Bid-Ask Spread % 105.96 103.72 109.01 108.59 107.25 Gamma HHI 0.48 0.40 0.52 0.47 0.49 Net GEX -187 -573 514 -359 129 Net DEX 38.4K 23.3K 49.7K 41.5K 36.6K Net VEX -238 -305 -183 -243 -271 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 3.55 0 40 0 0 Total OI 182.15 163 231 163 231
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 2011-07-01 $13.23 $15.00 26.4% 7.6% 27.8% 26.8% 0.0% -4.3% 8.5% -359 41.5K -243 0.00 108.59 N/A N/A 0 0 93 70 2011-07-05 $13.35 $0.00 32.2% 9.4% 27.5% 41.0% 0.0% 8.8% -3.3% -330 39.2K -226 0.00 105.96 N/A N/A 0 0 93 70 2011-07-06 $13.58 $0.00 34.9% 9.9% 27.9% 47.5% 0.0% 13.4% -2.5% -149 33.2K -253 0.00 105.18 N/A N/A 0 0 93 70 2011-07-07 $13.84 $0.00 37.2% 6.0% 28.3% 53.1% 0.0% 14.7% 6.9% 125 23.3K -285 0.00 106.19 N/A N/A 0 0 93 70 2011-07-08 $13.57 $0.00 41.4% 9.9% 28.6% 63.3% 0.0% 12.7% -2.6% -27 29.4K -261 0.00 104.85 N/A N/A 0 0 93 70 2011-07-11 $13.26 $0.00 47.5% 9.3% 28.3% 78.1% 0.0% 6.5% -2.0% -358 39.8K -221 0.00 105.85 N/A N/A 0 0 93 70 2011-07-12 $13.31 $0.00 54.5% 9.5% 28.2% 95.2% 0.0% 8.4% -1.2% -374 41.0K -213 0.00 106.47 N/A N/A 10 0 93 70 2011-07-13 $13.17 $0.00 57.5% 9.3% 28.1% 100.0% 0.0% 5.4% -0.5% -173 38.0K -247 0.00 106.84 N/A N/A 0 0 103 70 2011-07-14 $12.91 $0.00 33.9% 9.7% 24.6% 44.1% 0.0% 5.4% -3.3% -396 44.8K -212 0.00 104.00 N/A N/A 0 0 103 70 2011-07-15 $13.00 $0.00 32.4% 9.3% 23.9% 40.5% 0.0% 5.4% -1.1% -469 47.0K -203 0.00 105.57 N/A N/A 0 1 103 70 2011-07-18 $12.80 $0.00 34.1% 9.8% 24.1% 44.5% 0.0% 3.8% -0.4% -573 49.7K -183 0.00 104.79 N/A N/A 0 0 103 69 2011-07-19 $13.13 $0.00 35.4% 10.1% 25.3% 47.5% 0.0% 4.6% -2.7% -503 45.5K -199 0.00 103.72 N/A N/A 0 0 103 69 2011-07-20 $13.16 $0.00 35.0% 10.0% 25.2% 46.8% 0.0% 5.5% -2.7% -403 43.2K -205 0.00 106.20 N/A N/A 7 0 103 69 2011-07-21 $13.30 $0.00 34.1% 9.8% 24.8% 44.5% 0.0% 3.0% -1.9% -178 35.1K -245 0.00 107.29 N/A N/A 1 0 110 69 2011-07-22 $13.30 $2.50 30.7% 8.8% 23.5% 36.4% 0.0% -1.5% -6.3% -176 33.1K -235 0.00 109.01 N/A N/A 10 0 111 69 2011-07-25 $13.02 $0.00 32.4% 9.3% 24.9% 40.5% 0.0% 3.9% -3.2% -307 39.8K -216 0.00 106.78 N/A N/A 40 0 120 69 2011-07-26 $12.94 $0.00 35.0% 10.0% 24.7% 46.6% 0.0% 5.1% -3.7% 514 30.5K -305 0.00 104.69 N/A N/A 0 0 160 69 2011-07-27 $12.40 $0.00 35.0% 10.0% 29.0% 46.7% 0.0% 4.0% -2.5% 198 38.2K -271 0.00 103.98 N/A N/A 1 0 160 69 2011-07-28 $12.49 $2.50 34.9% 10.0% 28.8% 46.5% 0.0% -2.2% -4.8% 73 38.7K -263 0.00 106.02 N/A N/A 1 0 161 69 2011-07-29 $12.61 $2.50 34.3% 9.8% 28.8% 45.0% 0.0% -2.4% -2.6% 129 36.6K -271 0.00 107.25 N/A N/A 0 0 162 69
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