FSP Options History — September 2011 In September 2011, FSP traded between $11.27 and $12.58. ATM implied volatility averaged 35.2%, placing in the 47.2% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded below realized volatility by 15.6% (HV 20d: 50.8%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days.
Notable Days 2011-09-14 : Highest Volume — 5 contracts2011-09-09 : Largest IV drop — 27.4% change2011-09-08 : Highest IV Rank — 72.6%2011-09-08 : Largest Expected Move — 11.0%Monthly Statistics Metric Avg Min Max Open Close Price $11.92 $11.27 $12.58 $12.43 $11.31 Max Pain $12.50 $12.50 $12.50 $12.50 $12.50 ATM IV 35.2% 28.6% 45.9% 37.0% 33.7% Expected Move 9.8% 8.2% 11.0% 10.6% 9.7% HV 20d 50.8% 40.2% 79.6% 78.4% 41.2% HV 60d 52.0% 50.6% 53.3% 50.6% 53.3% IV Rank 47.2% 31.5% 72.6% 51.5% 43.7% IV Percentile 75.6% 39.3% 96.8% 92.9% 75.8% Term Structure -0.9% -6.6% 7.9% -2.9% -6.6% Skew 25d 2.1% -4.0% 8.3% 4.7% 1.5% Skew 10d 1.3% -4.2% 7.8% 7.8% -1.0% Call IV 25d 34.8% 28.6% 44.4% 42.1% 35.1% Put IV 25d 36.9% 33.3% 46.8% 46.8% 36.6% Bid-Ask Spread % 106.64 103.08 110.82 105.92 110.49 Gamma HHI 0.76 0.51 0.99 0.51 0.99 Net GEX 1.7K 377 3.5K 2.6K 377 Net DEX 10.9K -8.8K 42.7K 4.1K -1.5K Net VEX -123 -229 -55 -229 -55 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0.238 0 5 0 0 Total OI 180.952 72 280 280 72
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 P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2011-09-01 $12.43 $12.50 37.0% 10.6% 78.4% 51.5% 0.0% 4.7% -2.9% 2.6K 4.1K -229 0.00 105.92 N/A N/A 0 0 216 64 2011-09-02 $11.96 $12.50 34.8% 10.0% 79.6% 46.1% 0.0% 0.3% -5.0% 2.2K 20.5K -203 0.00 106.16 N/A N/A 0 0 216 64 2011-09-06 $11.90 $0.00 36.1% 10.1% 69.7% 49.4% 0.0% -0.8% 0.3% 2.0K 35.2K -162 0.00 105.86 N/A N/A 0 0 216 64 2011-09-07 $12.58 $0.00 43.4% 10.6% 56.7% 66.6% 0.0% 4.9% -1.9% 2.8K 468 -213 0.00 104.32 N/A N/A 0 0 216 64 2011-09-08 $12.39 $0.00 45.9% 11.0% 55.4% 72.6% 0.0% 2.9% -2.5% 2.6K 9.7K -195 0.00 103.14 N/A N/A 0 0 216 64 2011-09-09 $11.99 $0.00 33.4% 10.5% 53.9% 42.8% 0.0% -1.5% -2.1% 2.3K 40.8K -148 0.00 103.33 N/A N/A 0 0 216 64 2011-09-12 $12.04 $0.00 35.7% 10.0% 52.7% 48.3% 0.0% 0.4% -1.4% 2.5K 42.7K -133 0.00 104.43 N/A N/A 0 0 216 64 2011-09-13 $12.15 $0.00 44.5% 10.5% 48.6% 69.2% 0.0% 0.1% -1.5% 2.4K 26.2K -151 0.00 104.75 N/A N/A 0 0 216 64 2011-09-14 $12.26 $0.00 41.8% 10.6% 48.7% 62.9% 0.0% 1.5% -1.1% 3.5K 26.5K -150 0.00 103.08 N/A N/A 0 5 216 64 2011-09-15 $12.20 $0.00 37.3% 10.7% 48.7% 52.2% 0.0% 1.0% -2.7% 3.2K 33.8K -135 0.00 104.16 N/A N/A 0 0 216 64 2011-09-16 $12.26 $0.00 34.3% 9.8% 44.3% 45.1% 0.0% 1.2% -0.7% 3.5K 30.9K -118 0.00 105.24 N/A N/A 0 0 216 64 2011-09-19 $12.07 $0.00 35.3% 10.1% 44.0% 47.4% 0.0% 0.9% 0.7% 787 -8.2K -102 0.00 104.93 N/A N/A 0 0 67 5 2011-09-20 $12.10 $0.00 35.4% 10.2% 43.9% 47.7% 0.0% 0.9% 1.0% 811 -8.8K -101 0.00 103.69 N/A N/A 0 0 67 5 2011-09-21 $11.60 $0.00 34.1% 9.8% 44.0% 44.5% 0.0% -4.0% -3.5% 543 -4.1K -79 0.00 108.37 N/A N/A 0 0 67 5 2011-09-22 $11.27 $0.00 29.7% 8.5% 44.4% 34.0% 0.0% 2.2% 7.9% 454 -2.9K -69 0.00 110.08 N/A N/A 0 0 67 5 2011-09-23 $11.32 $0.00 30.6% 8.8% 43.5% 36.2% 0.0% 3.9% -3.9% 452 -2.8K -64 0.00 110.04 N/A N/A 0 0 67 5 2011-09-26 $11.59 $0.00 28.8% 8.2% 44.1% 31.9% 0.0% 7.2% 6.5% 523 -3.8K -75 0.00 110.14 N/A N/A 0 0 67 5 2011-09-27 $11.83 $0.00 28.6% 8.2% 40.2% 31.5% 0.0% 8.3% 7.9% 600 -4.9K -77 0.00 110.70 N/A N/A 0 0 67 5 2011-09-28 $11.35 $0.00 30.2% 8.7% 42.2% 35.2% 0.0% 1.3% -3.8% 440 -2.4K -63 0.00 109.83 N/A N/A 0 0 67 5 2011-09-29 $11.65 $0.00 28.7% 8.2% 43.2% 31.7% 0.0% 7.9% -2.9% 513 -3.5K -69 0.00 110.82 N/A N/A 0 0 67 5 2011-09-30 $11.31 $0.00 33.7% 9.7% 41.2% 43.7% 0.0% 1.5% -6.6% 377 -1.5K -55 0.00 110.49 N/A N/A 0 0 67 5
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