FSP Options History — January 2012

In January 2012, FSP traded between $9.58 and $10.36. ATM implied volatility averaged 37.7%, placing in the 48.9% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 12.1% (HV 20d: 25.6%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.38.

Notable Days

2012-01-24: Highest Volume — 223 contracts
2012-01-31: Largest IV spike — 165.2% change
2012-01-31: Highest IV Rank — 100.0%
2012-01-31: Largest Expected Move — 26.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.94	$9.58	$10.36	$10.18	$10.19
Max Pain	$10.00	$10.00	$10.00	$10.00	$10.00
ATM IV	37.7%	28.0%	93.4%	37.5%	93.4%
Expected Move	10.6%	8.1%	26.8%	10.7%	26.8%
HV 20d	25.6%	20.6%	32.6%	32.1%	23.8%
HV 60d	39.2%	34.2%	45.4%	45.4%	34.3%
IV Rank	48.9%	30.0%	100.0%	52.5%	100.0%
IV Percentile	67.5%	29.8%	100.0%	86.1%	100.0%
Term Structure	22.3%	-7.2%	134.5%	-7.2%	134.5%
VWIV	37.5%	31.7%	46.7%	40.4%	46.7%
Skew 25d	6.0%	-65.1%	84.0%	0.5%	12.3%
Skew 10d	13.6%	-7.0%	122.9%	12.7%	14.6%
Call IV 25d	47.1%	29.4%	135.6%	47.3%	135.6%
Put IV 25d	53.1%	24.3%	148.0%	47.8%	148.0%
Bid-Ask Spread %	116.58	99.66	158.16	110.80	158.16
Gamma HHI	0.62	0.44	0.89	0.44	0.69
Net GEX	585	-393	1.7K	304	938
Net DEX	-6.2K	-40.4K	9.8K	-6.3K	-40.4K
Net VEX	-82	-143	-52	-66	-143
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.38	0.00	1.43	0.00	0.20
Total Volume	15.95	0	223	0	12
Total OI	75.5	54	119	54	119

Daily Data (20 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
2012-01-03	$10.18	$10.00	37.5%	10.7%	32.1%	52.5%	0.0%	0.5%	-7.2%	304	-6.3K	-66	0.00	110.80	N/A	N/A	0	0	35	19
2012-01-04	$10.00	$10.00	38.7%	11.1%	32.5%	55.5%	0.0%	6.3%	-0.6%	395	-4.5K	-63	0.00	106.63	N/A	N/A	0	0	35	19
2012-01-05	$9.90	$10.00	40.4%	11.6%	32.5%	59.4%	40.4%	8.0%	-5.1%	363	-2.8K	-61	0.00	101.76	N/A	N/A	2	0	35	19
2012-01-06	$9.77	$10.00	30.3%	9.9%	32.6%	35.5%	0.0%	3.1%	0.7%	620	-2.6K	-59	0.00	107.97	N/A	N/A	0	0	37	19
2012-01-09	$9.60	$10.00	35.8%	8.8%	29.1%	48.5%	0.0%	-0.9%	-1.0%	455	390	-52	1.00	108.79	N/A	N/A	2	2	37	19
2012-01-10	$9.69	$10.00	44.4%	9.0%	25.3%	69.1%	0.0%	10.8%	8.3%	290	2.2K	-53	1.43	110.66	N/A	N/A	7	10	36	21
2012-01-11	$9.58	$10.00	28.0%	8.1%	25.2%	30.0%	0.0%	9.5%	2.6%	248	9.8K	-72	0.00	111.59	N/A	N/A	0	0	43	31
2012-01-12	$9.67	$10.00	33.1%	9.5%	25.1%	42.3%	0.0%	11.2%	9.2%	515	7.0K	-78	0.00	110.73	N/A	N/A	0	0	43	31
2012-01-13	$9.60	$10.00	30.0%	8.6%	25.1%	34.8%	0.0%	11.8%	11.4%	398	8.0K	-77	0.00	110.75	N/A	N/A	0	0	43	31
2012-01-17	$9.58	$10.00	28.5%	8.2%	23.3%	31.2%	0.0%	4.7%	6.6%	320	9.3K	-68	0.00	110.28	N/A	N/A	0	0	43	31
2012-01-18	$9.68	$10.00	32.7%	9.4%	23.7%	41.1%	0.0%	13.3%	11.0%	519	7.0K	-72	0.00	110.04	N/A	N/A	0	0	43	31
2012-01-19	$9.77	$10.00	33.1%	9.5%	20.6%	42.1%	0.0%	12.4%	6.0%	736	6.5K	-69	0.00	109.82	N/A	N/A	0	0	43	31
2012-01-20	$10.10	$10.00	32.1%	9.2%	22.3%	39.7%	32.4%	84.0%	2.1%	1.5K	-3.0K	-71	0.00	105.86	N/A	N/A	10	0	43	31
2012-01-23	$10.20	$10.00	38.3%	11.0%	22.6%	54.6%	0.0%	-0.2%	-0.2%	-356	-2.8K	-74	0.00	101.96	N/A	N/A	0	0	38	30
2012-01-24	$10.36	$10.00	36.3%	10.4%	23.3%	49.7%	36.2%	-4.7%	-3.1%	-393	-5.2K	-74	0.00	99.66	N/A	N/A	223	0	38	30
2012-01-25	$10.22	$10.00	29.2%	8.4%	23.8%	32.9%	31.7%	0.2%	3.7%	183	-12.2K	-90	0.00	107.88	N/A	N/A	35	0	51	30
2012-01-26	$10.29	$10.00	34.0%	9.7%	23.7%	44.2%	0.0%	-65.1%	118.4%	1.7K	-34.6K	-138	0.00	158.12	N/A	N/A	0	0	78	30
2012-01-27	$10.31	$10.00	43.6%	12.5%	22.4%	67.0%	40.0%	-1.9%	113.2%	1.4K	-35.1K	-139	0.00	155.17	N/A	N/A	0	2	78	30
2012-01-30	$10.08	$10.00	35.2%	10.1%	23.9%	47.2%	35.2%	5.6%	35.4%	1.6K	-24.6K	-118	0.40	134.91	N/A	N/A	10	4	78	31
2012-01-31	$10.19	$10.00	93.4%	26.8%	23.8%	100.0%	46.7%	12.3%	134.5%	938	-40.4K	-143	0.20	158.16	N/A	N/A	10	2	88	31