FSP Options History — March 2012

In March 2012, FSP traded between $10.24 and $10.88. ATM implied volatility averaged 49.1%, placing in the 18.7% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 28.0% (HV 20d: 21.1%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.37.

Notable Days

2012-03-02: Highest Volume — 21 contracts
2012-03-28: Largest IV spike — 214.8% change
2012-03-21: Highest IV Rank — 47.8%
2012-03-21: Largest Expected Move — 28.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.58	$10.24	$10.88	$10.38	$10.60
Max Pain	$10.00	$10.00	$10.00	$10.00	$10.00
ATM IV	49.1%	24.4%	101.0%	46.2%	24.4%
Expected Move	12.2%	7.0%	28.4%	13.2%	7.0%
HV 20d	21.1%	18.0%	23.6%	22.8%	20.9%
HV 60d	23.8%	22.2%	26.6%	26.4%	22.2%
IV Rank	18.7%	2.5%	47.8%	17.7%	2.5%
IV Percentile	63.6%	4.4%	96.0%	89.3%	4.4%
Term Structure	-17.3%	-141.6%	82.2%	-10.5%	82.2%
Skew 25d	-0.6%	-124.5%	55.5%	2.2%	13.8%
Skew 10d	21.5%	-1.4%	103.7%	15.6%	2.7%
Call IV 25d	48.3%	26.2%	181.3%	51.7%	35.5%
Put IV 25d	47.7%	17.2%	138.3%	53.9%	49.3%
Bid-Ask Spread %	156.46	150.59	159.03	150.59	158.23
Gamma HHI	0.87	0.50	0.99	0.66	0.86
Net GEX	-560	-1.3K	57	-487	-368
Net DEX	-7.1K	-17.7K	2.4K	-7.3K	1.2K
Net VEX	-107	-182	-39	-40	-177
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.37	0.00	1.10	1.10	0.00
Total Volume	3.455	0	21	0	0
Total OI	74.409	30	86	65	81

Daily Data (22 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
2012-03-01	$10.38	$10.00	46.2%	13.2%	22.8%	17.7%	0.0%	2.2%	-10.5%	-487	-7.3K	-40	0.00	150.59	N/A	N/A	0	0	39	26
2012-03-02	$10.27	$10.00	45.3%	13.0%	23.1%	17.1%	0.0%	11.4%	-8.9%	-592	-5.7K	-39	1.10	150.75	N/A	N/A	10	11	39	26
2012-03-05	$10.39	$0.00	37.4%	10.2%	22.8%	12.6%	0.0%	11.0%	-2.8%	-828	-10.9K	-92	0.00	158.84	N/A	N/A	0	0	49	37
2012-03-06	$10.29	$0.00	47.3%	10.4%	23.0%	18.3%	0.0%	8.8%	-2.6%	-715	-6.7K	-96	0.00	159.03	N/A	N/A	0	0	49	37
2012-03-07	$10.38	$0.00	48.9%	9.4%	23.2%	19.2%	0.0%	12.9%	3.8%	-674	-9.9K	-91	0.00	158.01	N/A	N/A	0	0	49	37
2012-03-08	$10.24	$0.00	30.6%	11.1%	23.6%	8.7%	0.0%	55.5%	-4.7%	-1.3K	-7.0K	-92	0.00	154.12	N/A	N/A	4	0	49	37
2012-03-09	$10.36	$0.00	35.2%	9.0%	23.0%	11.4%	0.0%	44.5%	-3.4%	-1.1K	-8.6K	-86	0.00	151.46	N/A	N/A	0	0	46	37
2012-03-12	$10.37	$0.00	38.6%	9.7%	22.1%	13.3%	0.0%	11.0%	-2.1%	-1.1K	-9.8K	-81	0.00	159.03	N/A	N/A	0	0	46	37
2012-03-13	$10.70	$0.00	30.7%	8.8%	23.2%	8.8%	0.0%	9.9%	-0.2%	-317	-16.6K	-73	0.00	156.65	N/A	N/A	0	0	46	37
2012-03-14	$10.56	$0.00	40.4%	8.0%	21.7%	14.3%	0.0%	-16.2%	-4.2%	-387	-16.5K	-71	0.00	157.02	N/A	N/A	0	0	46	37
2012-03-15	$10.62	$0.00	33.1%	9.5%	21.7%	10.1%	0.0%	-2.3%	-3.1%	-51	-17.7K	-69	0.00	155.19	N/A	N/A	0	0	46	37
2012-03-16	$10.60	$0.00	32.6%	9.4%	18.2%	9.9%	0.0%	-2.2%	-2.4%	37	-17.7K	-69	0.00	157.92	N/A	N/A	0	0	46	37
2012-03-19	$10.79	$0.00	91.2%	26.1%	19.0%	43.4%	0.0%	-0.6%	-121.7%	57	-10.0K	-67	0.00	157.74	N/A	N/A	0	10	18	12
2012-03-20	$10.81	$0.00	92.4%	26.5%	18.7%	44.1%	0.0%	-0.4%	-113.0%	-189	-5.9K	-88	0.00	157.73	N/A	N/A	0	20	18	22
2012-03-21	$10.78	$0.00	98.9%	28.4%	18.0%	47.8%	0.0%	-4.4%	-141.6%	-605	1.1K	-133	0.00	157.71	N/A	N/A	0	0	18	42
2012-03-22	$10.56	$0.00	28.2%	8.1%	19.3%	7.3%	0.0%	-6.0%	0.1%	-646	2.4K	-133	0.00	154.60	N/A	N/A	10	0	18	42
2012-03-23	$10.68	$0.00	30.0%	8.6%	19.6%	5.8%	0.0%	0.8%	-3.4%	-533	-5.4K	-159	0.00	155.70	N/A	N/A	0	11	28	42
2012-03-26	$10.86	$0.00	26.2%	7.5%	20.2%	3.6%	0.0%	-7.5%	-3.7%	-881	-3.3K	-173	0.00	157.83	N/A	N/A	0	0	28	53
2012-03-27	$10.86	$0.00	32.1%	9.2%	20.0%	7.0%	0.0%	-13.7%	-4.1%	-869	-3.2K	-172	0.00	157.70	N/A	N/A	0	0	28	53
2012-03-28	$10.88	$0.00	101.0%	0.0%	19.9%	47.6%	0.0%	-124.5%	0.0%	-257	-424	-181	0.00	157.95	N/A	N/A	0	0	28	53
2012-03-29	$10.71	$0.00	90.6%	0.0%	20.9%	41.4%	0.0%	-17.9%	0.0%	-536	1.4K	-182	0.00	158.23	N/A	N/A	0	0	28	53
2012-03-30	$10.60	$0.00	24.4%	7.0%	20.9%	2.5%	0.0%	13.8%	82.2%	-368	1.2K	-177	0.00	158.23	N/A	N/A	0	0	28	53