FSP Options History — August 2011

In August 2011, FSP traded between $10.68 and $13.04. ATM implied volatility averaged 35.3%, placing in the 47.4% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded below realized volatility by 27.1% (HV 20d: 62.4%). Max pain ranged from $2.50 to $15.00. Net GEX was positive for 8 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 0.06.

Notable Days

  • 2011-08-24: Highest Volume — 40 contracts
  • 2011-08-08: Largest IV spike — 30.8% change
  • 2011-08-29: Highest IV Rank — 62.9%
  • 2011-08-29: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.17$10.68$13.04$12.50$13.04
Max Pain$12.28$2.50$15.00$2.50$12.50
ATM IV35.3%27.3%41.9%33.7%35.2%
Expected Move9.8%6.9%12.0%9.7%10.1%
HV 20d62.4%27.3%78.3%27.3%77.6%
HV 60d43.5%28.5%49.8%28.5%49.7%
IV Rank47.4%28.3%62.9%43.5%47.2%
IV Percentile81.5%33.7%96.4%81.3%88.9%
Term Structure-0.6%-6.5%7.4%-2.4%4.2%
VWIV41.3%40.2%41.8%41.8%40.2%
Skew 25d8.3%-4.1%26.8%4.3%14.3%
Skew 10d13.5%-7.5%42.8%8.5%42.8%
Call IV 25d36.5%26.3%42.3%38.2%38.7%
Put IV 25d44.8%29.1%64.9%42.4%53.0%
Bid-Ask Spread %107.45101.87111.91107.97106.53
Gamma HHI0.530.490.680.490.50
Net GEX247-7803.2K1363.2K
Net DEX39.1K-28.1K65.4K35.3K-28.1K
Net VEX-201-272-63-262-272
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.060.000.250.000.25
Total Volume4040013
Total OI240.609231280231280

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-08-01$12.50$2.5033.7%9.7%27.3%43.5%0.0%4.3%-2.4%13635.3K-2620.00107.97N/AN/A0016269
2011-08-02$12.20$2.5029.8%8.5%27.9%34.3%0.0%2.5%-3.3%-31646.7K-2010.00110.16N/AN/A0016269
2011-08-03$12.42$2.5031.2%8.9%28.0%37.7%0.0%4.9%-2.7%-26643.3K-2170.00108.43N/AN/A0016269
2011-08-04$11.95$2.5027.3%7.8%29.0%28.3%0.0%12.9%-5.1%-76956.4K-1560.00110.80N/AN/A0016269
2011-08-05$11.84$15.0031.5%6.9%28.7%38.3%0.0%2.9%5.4%-67157.1K-1520.00111.91N/AN/A0016269
2011-08-08$10.68$15.0041.2%7.9%44.4%61.4%0.0%-0.3%7.2%2365.4K-630.00111.21N/AN/A0016269
2011-08-09$12.12$15.0037.0%10.2%65.9%51.5%0.0%0.1%-1.8%-10544.3K-2210.00105.95N/AN/A5016269
2011-08-10$11.71$15.0040.7%10.5%66.7%60.1%0.0%-1.8%-1.5%-20851.4K-1760.00109.24N/AN/A0016269
2011-08-11$12.30$15.0035.8%10.3%69.3%48.6%0.0%1.6%-0.9%-8642.0K-2240.00106.64N/AN/A0016269
2011-08-12$11.91$15.0034.5%9.9%70.0%45.5%0.0%-0.7%-1.2%-30551.4K-1770.00108.02N/AN/A0016269
2011-08-15$12.60$15.0036.4%10.4%73.0%50.1%0.0%18.2%-0.9%2035.6K-2370.00105.47N/AN/A0016269
2011-08-16$12.49$15.0036.3%10.4%72.4%49.7%0.0%18.6%-1.4%-12439.8K-2200.00104.45N/AN/A0016269
2011-08-17$12.52$15.0036.0%10.3%72.4%48.9%0.0%18.8%-1.4%-16139.9K-2210.00103.74N/AN/A0016269
2011-08-18$11.85$15.0035.0%10.0%74.5%46.6%0.0%-0.3%-1.1%-42652.1K-1640.00108.47N/AN/A0516269
2011-08-19$11.60$15.0039.7%11.4%74.7%57.7%0.0%-4.1%-5.3%-40157.8K-1590.00107.22N/AN/A9016274
2011-08-22$11.70$15.0029.5%8.4%74.7%33.5%0.0%8.0%7.4%-70664.4K-1400.00110.86N/AN/A0016074
2011-08-23$12.19$15.0034.3%9.8%76.5%45.1%0.0%24.1%1.2%-78056.5K-1790.00107.92N/AN/A0016074
2011-08-24$12.37$15.0041.8%12.0%75.2%62.8%41.8%2.8%-6.2%-29947.7K-2150.00101.87N/AN/A40016074
2011-08-25$12.01$12.5034.8%10.0%75.9%46.2%0.0%-1.3%-4.0%1.3K36.0K-2210.00105.66N/AN/A0020074
2011-08-26$12.20$12.5034.5%9.9%76.0%45.6%0.0%26.8%0.5%1.4K24.9K-2220.00107.09N/AN/A0020064
2011-08-29$12.85$12.5041.9%12.0%78.3%62.9%41.8%19.7%-6.5%2.1K-5.0K-2620.25104.14N/AN/A16420064
2011-08-30$12.85$12.5033.8%9.7%77.7%43.8%0.0%19.7%5.3%3.1K-16.3K-2640.00107.59N/AN/A0021664
2011-08-31$13.04$12.5035.2%10.1%77.6%47.2%40.2%14.3%4.2%3.2K-28.1K-2720.00106.53N/AN/A01321664