FSP Options History — February 2012

In February 2012, FSP traded between $10.15 and $10.59. ATM implied volatility averaged 94.5%, placing in the 53.3% IV rank vs the trailing year. The 30-day expected move averaged 28.1%. IV traded above realized volatility by 69.7% (HV 20d: 24.8%). 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 8 of 20 days. Put/call ratio averaged 0.04.

Notable Days

2012-02-15: Highest Volume — 10 contracts
2012-02-10: Largest IV spike — 215.0% change
2012-02-10: Highest IV Rank — 100.0%
2012-02-15: Largest Expected Move — 54.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.42	$10.15	$10.59	$10.47	$10.31
Max Pain	$10.00	$10.00	$10.00	$10.00	$10.00
ATM IV	94.5%	24.4%	190.0%	53.9%	46.7%
Expected Move	28.1%	7.7%	54.5%	15.4%	13.4%
HV 20d	24.8%	21.4%	28.5%	24.3%	24.7%
HV 60d	31.4%	26.4%	34.8%	34.8%	26.4%
IV Rank	53.3%	11.6%	100.0%	49.4%	17.9%
IV Percentile	87.1%	10.7%	100.0%	97.6%	90.1%
Term Structure	-25.7%	-170.1%	143.2%	143.2%	-10.5%
VWIV	105.7%	36.2%	160.0%	160.0%	120.9%
Skew 25d	2.6%	-94.5%	75.3%	75.3%	16.9%
Skew 10d	31.3%	-43.0%	103.4%	103.4%	39.0%
Call IV 25d	98.0%	26.5%	197.4%	26.5%	44.0%
Put IV 25d	100.6%	33.2%	182.1%	101.9%	60.9%
Bid-Ask Spread %	148.30	140.45	151.06	142.53	147.99
Gamma HHI	0.64	0.41	0.90	0.70	0.66
Net GEX	1.1K	-479	4.3K	1.2K	-479
Net DEX	-30.2K	-47.7K	-6.2K	-39.6K	-6.2K
Net VEX	-86	-132	-41	-132	-41
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.04	0.00	0.14	0.14	0.00
Total Volume	1	0	10	0	0
Total OI	93.1	65	109	109	65

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
2012-02-01	$10.47	$10.00	53.9%	15.4%	24.3%	49.4%	0.0%	75.3%	143.2%	1.2K	-39.6K	-132	0.00	142.53	N/A	N/A	0	0	78	31
2012-02-02	$10.43	$10.00	32.8%	9.4%	23.3%	22.3%	0.0%	-32.8%	134.8%	1.8K	-40.5K	-122	0.00	142.54	N/A	N/A	0	0	78	31
2012-02-03	$10.59	$10.00	43.6%	31.8%	23.3%	36.2%	160.0%	-94.5%	-134.1%	1.6K	-46.6K	-118	0.14	148.85	N/A	N/A	7	1	78	31
2012-02-06	$10.54	$10.00	24.4%	7.7%	22.7%	11.6%	0.0%	15.7%	2.7%	1.1K	-45.9K	-77	0.00	140.45	N/A	N/A	0	0	78	31
2012-02-07	$10.51	$10.00	26.1%	10.0%	21.4%	13.7%	0.0%	7.3%	-12.4%	1.2K	-44.2K	-77	0.00	144.44	N/A	N/A	0	0	78	31
2012-02-08	$10.54	$10.00	62.5%	16.5%	21.4%	60.5%	0.0%	9.4%	-65.8%	1.2K	-38.3K	-104	0.00	150.00	N/A	N/A	0	0	78	31
2012-02-09	$10.33	$10.00	53.3%	15.3%	22.4%	48.6%	0.0%	9.4%	-21.9%	1.2K	-31.4K	-101	0.00	150.35	N/A	N/A	0	0	78	31
2012-02-10	$10.16	$10.00	167.7%	48.1%	23.4%	100.0%	0.0%	15.7%	-129.8%	899	-32.9K	-112	0.00	150.80	N/A	N/A	0	0	78	31
2012-02-13	$10.41	$10.00	172.9%	49.6%	24.3%	100.0%	0.0%	9.4%	-164.5%	2.2K	-47.7K	-95	0.00	149.95	N/A	N/A	0	0	78	31
2012-02-14	$10.15	$10.00	81.6%	23.4%	26.4%	42.0%	0.0%	5.6%	-58.2%	4.3K	-35.7K	-94	0.00	150.50	N/A	N/A	0	0	78	31
2012-02-15	$10.21	$10.00	190.0%	54.5%	26.3%	100.0%	0.0%	21.2%	-160.2%	3.8K	-42.7K	-92	0.00	151.06	N/A	N/A	10	0	78	31
2012-02-16	$10.56	$10.00	184.4%	52.9%	28.5%	96.8%	0.0%	16.5%	-145.4%	1.5K	-45.0K	-86	0.00	150.19	N/A	N/A	0	0	73	31
2012-02-17	$10.48	$10.00	116.1%	33.3%	26.5%	57.7%	36.2%	1.1%	-170.1%	1.3K	-45.3K	-78	0.00	149.60	N/A	N/A	1	0	73	31
2012-02-21	$10.41	$10.00	104.4%	29.9%	26.5%	51.0%	0.0%	-34.6%	86.1%	63	-9.7K	-70	0.00	148.50	N/A	N/A	0	0	39	26
2012-02-22	$10.58	$10.00	109.7%	31.4%	26.5%	54.0%	120.9%	-50.0%	19.5%	98	-12.8K	-73	0.00	149.83	N/A	N/A	1	0	39	26
2012-02-23	$10.49	$10.00	110.3%	31.6%	26.2%	54.4%	0.0%	25.1%	58.9%	90	-11.4K	-70	0.00	150.21	N/A	N/A	0	0	39	26
2012-02-24	$10.44	$10.00	127.5%	36.6%	26.2%	64.2%	0.0%	-34.2%	53.5%	89	-11.0K	-69	0.00	150.22	N/A	N/A	0	0	39	26
2012-02-27	$10.40	$10.00	133.6%	38.3%	26.3%	67.7%	0.0%	48.4%	72.4%	80	-10.3K	-64	0.00	150.01	N/A	N/A	0	0	39	26
2012-02-28	$10.34	$10.00	48.0%	13.8%	25.0%	18.7%	0.0%	21.3%	-11.9%	-409	-6.7K	-43	0.00	147.99	N/A	N/A	0	0	39	26
2012-02-29	$10.31	$10.00	46.7%	13.4%	24.7%	17.9%	0.0%	16.9%	-10.5%	-479	-6.2K	-41	0.00	147.99	N/A	N/A	0	0	39	26