FSP Options History — October 2011

In October 2011, FSP traded between $10.58 and $13.05. ATM implied volatility averaged 34.2%, placing in the 44.7% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 25.7% (HV 20d: 59.8%). 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 14 of 21 days. Put/call ratio averaged 0.00.

Notable Days

2011-10-04: Highest Volume — 10 contracts
2011-10-31: Largest IV spike — 32.6% change
2011-10-06: Highest IV Rank — 63.1%
2011-10-06: Largest Expected Move — 12.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.93	$10.58	$13.05	$10.58	$12.70
Max Pain	$12.50	$12.50	$12.50	$12.50	$12.50
ATM IV	34.2%	26.7%	41.9%	35.2%	35.4%
Expected Move	9.5%	7.6%	12.0%	10.1%	10.1%
HV 20d	59.8%	45.3%	66.9%	45.3%	61.0%
HV 60d	60.4%	54.7%	63.6%	54.7%	63.3%
IV Rank	44.7%	26.9%	63.1%	47.2%	47.5%
IV Percentile	71.7%	28.2%	95.2%	84.9%	83.7%
Term Structure	3.2%	-8.0%	11.0%	4.4%	0.0%
VWIV	33.0%	32.4%	33.6%	32.4%	33.6%
Skew 25d	2.0%	-8.4%	8.4%	-8.4%	2.4%
Skew 10d	1.2%	-11.6%	12.6%	12.0%	8.4%
Call IV 25d	34.2%	27.3%	43.2%	43.2%	39.8%
Put IV 25d	36.2%	27.6%	42.2%	34.9%	42.2%
Bid-Ask Spread %	108.86	104.21	111.43	111.43	109.17
Gamma HHI	0.77	0.53	1.00	0.82	0.72
Net GEX	710	190	1.6K	190	1.4K
Net DEX	-7.0K	-21.3K	2.4K	1.3K	-16.9K
Net VEX	-77	-120	-37	-37	-105
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	1.857	0	10	0	10
Total OI	77.143	72	82	72	81

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
2011-10-03	$10.58	$0.00	35.2%	10.1%	45.3%	47.2%	0.0%	-8.4%	4.4%	190	1.3K	-37	111.43	N/A	N/A	0	0	67	5
2011-10-04	$11.50	$0.00	33.7%	9.7%	55.4%	43.5%	32.4%	-1.3%	-1.2%	542	-4.4K	-74	109.46	N/A	N/A	0	10	67	5
2011-10-05	$11.43	$12.50	32.4%	9.3%	51.1%	40.6%	33.6%	2.7%	-8.0%	241	2.4K	-67	109.59	N/A	N/A	0	10	67	15
2011-10-06	$11.65	$0.00	41.9%	12.0%	51.6%	63.1%	0.0%	5.0%	4.5%	510	-3.6K	-70	104.21	N/A	N/A	0	0	67	5
2011-10-07	$11.02	$0.00	36.5%	11.6%	53.9%	50.4%	0.0%	8.4%	-1.9%	273	23	-42	107.86	N/A	N/A	0	0	67	5
2011-10-10	$11.69	$0.00	41.4%	9.2%	58.4%	62.0%	0.0%	7.8%	11.0%	454	-2.6K	-57	109.75	N/A	N/A	0	0	67	5
2011-10-11	$11.40	$0.00	39.8%	8.6%	58.8%	58.0%	0.0%	1.4%	5.5%	361	-1.3K	-52	109.71	N/A	N/A	0	0	67	5
2011-10-12	$11.78	$0.00	36.1%	9.4%	60.0%	49.3%	0.0%	6.2%	8.1%	500	-3.1K	-63	109.05	N/A	N/A	7	0	67	5
2011-10-13	$11.74	$0.00	30.2%	8.7%	60.0%	35.3%	0.0%	6.1%	7.4%	542	-5.1K	-76	110.05	N/A	N/A	0	0	74	5
2011-10-14	$11.97	$0.00	30.8%	8.8%	60.5%	36.7%	0.0%	6.6%	9.2%	720	-7.6K	-85	110.52	N/A	N/A	0	0	74	5
2011-10-17	$11.49	$0.00	29.4%	8.4%	61.9%	33.4%	0.0%	-0.4%	5.1%	479	-3.7K	-66	109.29	N/A	N/A	0	0	74	5
2011-10-18	$12.05	$0.00	36.9%	10.6%	64.4%	51.2%	0.0%	0.1%	-1.6%	665	-7.0K	-82	107.87	N/A	N/A	0	0	74	5
2011-10-19	$11.86	$0.00	28.7%	8.2%	62.8%	31.7%	0.0%	5.1%	6.1%	583	-5.5K	-73	110.30	N/A	N/A	0	0	74	5
2011-10-20	$11.87	$0.00	29.2%	8.4%	61.8%	32.9%	0.0%	7.4%	7.8%	633	-6.1K	-76	110.39	N/A	N/A	0	0	74	5
2011-10-21	$12.42	$0.00	35.1%	10.1%	63.6%	46.8%	0.0%	-2.1%	-2.2%	772	-8.9K	-87	108.24	N/A	N/A	0	0	74	5
2011-10-24	$12.81	$0.00	37.8%	10.8%	64.0%	53.3%	0.0%	-0.9%	-2.9%	1.1K	-13.5K	-99	105.34	N/A	N/A	1	0	74	5
2011-10-25	$12.33	$0.00	36.1%	10.4%	65.5%	49.4%	0.0%	2.6%	-1.0%	917	-10.4K	-91	106.63	N/A	N/A	0	0	75	5
2011-10-26	$12.22	$0.00	32.8%	9.4%	63.6%	41.3%	0.0%	-3.3%	2.6%	849	-9.7K	-88	108.99	N/A	N/A	0	0	75	5
2011-10-27	$13.05	$0.00	31.4%	9.0%	66.9%	38.2%	0.0%	1.9%	7.0%	1.6K	-19.7K	-116	106.86	N/A	N/A	1	0	75	5
2011-10-28	$13.03	$0.00	26.7%	7.6%	65.7%	26.9%	0.0%	-5.3%	8.5%	1.6K	-21.3K	-120	111.32	N/A	N/A	0	0	76	5
2011-10-31	$12.70	$0.00	35.4%	10.1%	61.0%	47.5%	0.0%	2.4%	0.0%	1.4K	-16.9K	-105	109.17	N/A	N/A	10	0	76	5