FSP Options History — December 2011

In December 2011, FSP traded between $9.95 and $10.77. ATM implied volatility averaged 38.6%, placing in the 55.2% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 2.9% (HV 20d: 41.5%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.75.

Notable Days

2011-12-19: Highest Volume — 12 contracts
2011-12-15: Largest IV drop — 36.1% change
2011-12-14: Highest IV Rank — 96.5%
2011-12-30: Largest Expected Move — 11.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.42	$9.95	$10.77	$10.65	$9.95
Max Pain	$10.38	$10.00	$12.50	$12.50	$10.00
ATM IV	38.6%	29.2%	56.0%	32.8%	40.5%
Expected Move	9.5%	7.6%	11.6%	9.4%	11.6%
HV 20d	41.5%	30.8%	45.4%	45.4%	30.8%
HV 60d	50.5%	45.3%	51.9%	50.9%	45.3%
IV Rank	55.2%	32.9%	96.5%	41.5%	59.8%
IV Percentile	79.1%	41.7%	99.2%	67.5%	88.5%
Term Structure	2.9%	-7.1%	11.9%	-0.7%	-2.8%
VWIV	34.5%	30.3%	38.3%	35.0%	38.3%
Skew 25d	3.7%	-14.2%	30.8%	-14.2%	6.0%
Skew 10d	21.1%	-18.3%	97.9%	-18.3%	10.5%
Call IV 25d	36.1%	27.0%	45.5%	45.5%	40.4%
Put IV 25d	39.7%	28.0%	65.9%	31.3%	46.4%
Bid-Ask Spread %	103.82	20.51	112.07	106.08	20.51
Gamma HHI	0.52	0.44	0.74	0.48	0.57
Net GEX	219	-369	603	116	522
Net DEX	-5.2K	-13.7K	1.4K	-1.1K	-9.3K
Net VEX	-37	-58	-22	-34	-47
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.75	0.00	3.00	0.00	0.00
Total Volume	1.905	0	12	0	10
Total OI	109.143	22	164	160	44

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
2011-12-01	$10.65	$12.50	32.8%	9.4%	45.4%	41.5%	0.0%	-14.2%	-0.7%	116	-1.1K	-34	0.00	106.08	N/A	N/A	0	0	147	13
2011-12-02	$10.68	$12.50	36.9%	10.6%	45.4%	51.1%	0.0%	-5.0%	1.2%	239	-1.6K	-36	0.00	104.84	N/A	N/A	0	0	147	13
2011-12-05	$10.73	$0.00	36.6%	8.8%	45.3%	50.5%	0.0%	16.9%	10.9%	135	-1.2K	-29	0.00	108.42	N/A	N/A	0	0	147	13
2011-12-06	$10.76	$0.00	41.8%	8.0%	45.4%	62.8%	0.0%	0.2%	10.2%	241	-1.5K	-32	0.00	110.99	N/A	N/A	0	0	147	13
2011-12-07	$10.77	$0.00	43.6%	7.8%	45.0%	67.1%	0.0%	1.1%	11.7%	247	-1.5K	-31	0.00	110.94	N/A	N/A	0	0	147	13
2011-12-08	$10.28	$0.00	43.2%	9.9%	42.5%	66.1%	0.0%	1.4%	3.7%	6	1.3K	-28	0.00	98.36	N/A	N/A	0	0	147	13
2011-12-09	$10.67	$0.00	43.7%	7.6%	44.9%	67.4%	0.0%	1.0%	11.9%	32	-789	-27	0.00	111.13	N/A	N/A	0	0	147	13
2011-12-12	$10.51	$0.00	50.4%	9.9%	43.3%	83.2%	0.0%	28.6%	3.1%	-154	70	-24	0.00	108.97	N/A	N/A	0	0	147	13
2011-12-13	$10.32	$0.00	50.8%	9.8%	42.2%	84.2%	0.0%	6.1%	4.4%	-317	1.2K	-22	0.00	106.92	N/A	N/A	0	0	147	13
2011-12-14	$10.27	$0.00	56.0%	10.0%	42.0%	96.5%	35.0%	6.0%	3.4%	-369	1.4K	-22	0.00	106.07	N/A	N/A	4	0	147	13
2011-12-15	$10.50	$10.00	35.8%	10.2%	42.5%	48.4%	0.0%	30.8%	1.6%	-39	-3.0K	-26	0.00	106.33	N/A	N/A	0	0	151	13
2011-12-16	$10.53	$10.00	35.4%	10.2%	42.3%	47.6%	0.0%	-0.1%	-6.3%	-15	-3.2K	-25	0.00	108.72	N/A	N/A	0	0	151	13
2011-12-19	$10.14	$10.00	33.9%	9.7%	43.9%	44.0%	0.0%	2.9%	3.9%	346	-8.2K	-22	3.00	107.44	N/A	N/A	3	9	22	0
2011-12-20	$10.39	$10.00	29.2%	8.4%	42.9%	32.9%	30.3%	-1.4%	6.4%	206	-6.7K	-46	0.00	110.51	N/A	N/A	10	0	25	9
2011-12-21	$10.35	$10.00	29.6%	8.5%	42.9%	33.9%	0.0%	-1.2%	3.5%	603	-13.3K	-56	0.00	110.34	N/A	N/A	0	0	35	9
2011-12-22	$10.38	$10.00	34.1%	9.8%	39.0%	44.5%	0.0%	-4.3%	-7.1%	492	-13.7K	-58	0.00	110.23	N/A	N/A	0	0	35	9
2011-12-23	$10.40	$10.00	30.4%	8.7%	39.0%	35.7%	0.0%	-3.3%	0.8%	573	-13.7K	-54	0.00	111.01	N/A	N/A	0	0	35	9
2011-12-27	$10.30	$10.00	31.4%	9.0%	37.5%	38.2%	0.0%	-2.9%	0.2%	597	-12.8K	-53	0.00	112.07	N/A	N/A	0	0	35	9
2011-12-28	$10.09	$10.00	37.6%	10.8%	38.2%	53.0%	38.3%	2.3%	0.7%	561	-11.8K	-52	0.00	106.09	N/A	N/A	4	0	35	9
2011-12-29	$10.07	$10.00	37.0%	10.6%	31.5%	51.4%	0.0%	5.9%	-0.4%	584	-10.1K	-51	0.00	104.32	N/A	N/A	0	0	35	9
2011-12-30	$9.95	$10.00	40.5%	11.6%	30.8%	59.8%	0.0%	6.0%	-2.8%	522	-9.3K	-47	0.00	20.51	N/A	N/A	0	10	35	9