FSP Options History — November 2011

In November 2011, FSP traded between $9.94 and $12.16. ATM implied volatility averaged 35.0%, placing in the 46.8% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded below realized volatility by 13.7% (HV 20d: 48.8%). 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 15 of 21 days. Put/call ratio averaged 0.00.

Notable Days

2011-11-01: Highest Volume — 57 contracts
2011-11-10: Largest IV drop — 35.6% change
2011-11-09: Highest IV Rank — 73.5%
2011-11-28: Largest Expected Move — 13.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.10	$9.94	$12.16	$12.16	$10.91
Max Pain	$12.50	$12.50	$12.50	$12.50	$12.50
ATM IV	35.0%	26.2%	46.3%	30.3%	29.5%
Expected Move	9.8%	8.0%	13.2%	8.7%	8.5%
HV 20d	48.8%	37.0%	57.0%	57.0%	44.9%
HV 60d	52.5%	50.7%	60.2%	60.2%	52.1%
IV Rank	46.8%	25.8%	73.5%	35.4%	33.6%
IV Percentile	70.2%	26.2%	97.2%	52.0%	46.8%
Term Structure	3.1%	-6.8%	11.2%	6.5%	-3.2%
VWIV	42.7%	42.7%	42.7%	42.7%	42.7%
Skew 25d	5.5%	-7.8%	92.7%	6.6%	-7.8%
Skew 10d	10.3%	-11.9%	129.4%	5.8%	-11.9%
Call IV 25d	36.1%	26.8%	50.2%	37.0%	39.7%
Put IV 25d	41.5%	29.4%	123.1%	43.7%	32.0%
Bid-Ask Spread %	104.04	98.41	112.28	112.28	104.07
Gamma HHI	0.73	0.49	0.97	0.52	0.59
Net GEX	1.5K	187	3.4K	1.4K	385
Net DEX	-12.8K	-39.6K	2.4K	-17.8K	-2.7K
Net VEX	-89	-180	-29	-110	-36
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	4.333	0	57	57	0
Total OI	158.714	91	173	91	160

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
2011-11-01	$12.16	$0.00	30.3%	8.7%	57.0%	35.4%	0.0%	6.6%	6.5%	1.4K	-17.8K	-110	112.28	N/A	N/A	57	0	86	5
2011-11-02	$12.09	$0.00	38.0%	10.9%	57.0%	53.9%	0.0%	13.4%	5.7%	3.2K	-38.6K	-179	109.50	N/A	N/A	0	0	143	5
2011-11-03	$12.10	$0.00	30.5%	8.7%	56.7%	36.0%	0.0%	11.5%	2.7%	3.4K	-39.6K	-180	110.84	N/A	N/A	0	0	143	5
2011-11-04	$11.88	$12.50	26.2%	9.3%	53.1%	25.8%	0.0%	2.0%	3.7%	3.0K	-30.8K	-158	101.11	N/A	N/A	0	22	143	5
2011-11-07	$11.79	$12.50	34.7%	8.5%	49.0%	46.1%	0.0%	-0.6%	2.7%	2.9K	-29.0K	-149	98.96	N/A	N/A	0	0	143	27
2011-11-08	$11.95	$12.50	34.7%	8.0%	48.3%	46.0%	0.0%	92.7%	3.6%	3.2K	-30.4K	-149	100.72	N/A	N/A	0	0	143	27
2011-11-09	$11.22	$12.50	46.3%	8.8%	52.1%	73.5%	0.0%	-0.4%	8.2%	1.6K	-9.7K	-97	104.45	N/A	N/A	0	0	143	27
2011-11-10	$11.14	$12.50	29.8%	8.5%	52.1%	34.3%	0.0%	-1.4%	10.5%	1.4K	-8.0K	-88	104.16	N/A	N/A	0	0	143	27
2011-11-11	$11.50	$12.50	29.6%	8.5%	53.0%	33.8%	0.0%	6.7%	9.0%	2.3K	-18.8K	-118	104.24	N/A	N/A	0	0	143	27
2011-11-14	$11.11	$12.50	29.5%	8.5%	52.4%	33.7%	0.0%	0.3%	11.2%	1.3K	-6.2K	-76	104.14	N/A	N/A	0	0	143	27
2011-11-15	$11.18	$12.50	31.6%	9.1%	49.2%	38.5%	0.0%	4.4%	8.1%	1.5K	-7.2K	-77	104.35	N/A	N/A	0	0	143	27
2011-11-16	$10.95	$12.50	31.1%	8.9%	49.4%	37.5%	0.0%	-2.0%	7.0%	911	-3.6K	-63	104.51	N/A	N/A	3	0	143	27
2011-11-17	$10.79	$12.50	37.3%	10.7%	49.5%	52.1%	0.0%	-5.5%	-4.5%	957	-11.0K	-86	104.24	N/A	N/A	0	0	146	27
2011-11-18	$10.92	$12.50	31.3%	9.0%	46.4%	37.8%	0.0%	0.5%	10.5%	1.3K	-7.0K	-60	104.68	N/A	N/A	0	0	146	27
2011-11-21	$10.51	$12.50	36.4%	10.4%	45.5%	50.1%	0.0%	-4.0%	-3.8%	1.0K	-6.4K	-54	105.49	N/A	N/A	0	0	146	5
2011-11-22	$10.44	$12.50	34.6%	9.9%	44.2%	45.7%	0.0%	-1.9%	0.2%	798	-4.0K	-45	105.95	N/A	N/A	0	0	146	5
2011-11-23	$9.95	$12.50	42.7%	12.2%	46.4%	65.0%	42.7%	-2.5%	-3.6%	447	-1.3K	-29	102.68	N/A	N/A	0	8	146	5
2011-11-25	$9.94	$12.50	44.7%	12.8%	37.0%	69.7%	0.0%	4.6%	-5.0%	187	2.4K	-38	101.18	N/A	N/A	1	0	146	13
2011-11-28	$10.27	$12.50	45.9%	13.2%	40.3%	72.6%	0.0%	-4.0%	-6.8%	224	488	-39	98.94	N/A	N/A	0	0	147	13
2011-11-29	$10.31	$12.50	41.0%	11.8%	40.4%	61.0%	0.0%	2.3%	2.6%	251	64	-42	98.41	N/A	N/A	0	0	147	13
2011-11-30	$10.91	$12.50	29.5%	8.5%	44.9%	33.6%	0.0%	-7.8%	-3.2%	385	-2.7K	-36	104.07	N/A	N/A	0	0	147	13