FSP Options History — April 2012 In April 2012, FSP traded between $9.96 and $10.78. ATM implied volatility averaged 139.3%, placing in the 68.2% IV rank vs the trailing year. The 30-day expected move averaged 52.8%. IV traded above realized volatility by 115.3% (HV 20d: 24.0%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.50.
Notable Days 2012-04-09 : Highest Volume — 30 contracts2012-04-18 : Largest IV spike — 214.4% change2012-04-10 : Highest IV Rank — 100.0%2012-04-13 : Largest Expected Move — 57.0%Monthly Statistics Metric Avg Min Max Open Close Price $10.25 $9.96 $10.78 $10.78 $10.07 Max Pain $10.00 $10.00 $10.00 $10.00 $10.00 ATM IV 139.3% 63.2% 199.0% 172.2% 113.5% Expected Move 52.8% 39.3% 57.0% 49.4% 57.0% HV 20d 24.0% 21.3% 26.3% 21.3% 26.1% HV 60d 23.2% 22.2% 23.9% 22.3% 23.2% IV Rank 68.2% 24.1% 100.0% 89.5% 52.2% IV Percentile 95.3% 87.7% 100.0% 98.8% 93.3% Term Structure -123.7% -163.0% 20.8% -39.6% -139.2% Skew 25d 2.7% -77.7% 39.6% 10.3% 0.8% Skew 10d 15.3% -28.2% 34.5% 10.8% 30.0% Call IV 25d 122.1% 27.3% 173.6% 142.0% 114.3% Put IV 25d 124.8% 64.6% 182.6% 152.3% 115.1% Bid-Ask Spread % 158.19 155.37 159.78 158.40 158.65 Gamma HHI 0.90 0.75 0.98 0.82 0.95 Net GEX -818 -1.5K -173 -238 -1.3K Net DEX 10.2K 31 21.6K 31 13.8K Net VEX -261 -309 -173 -176 -284 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.50 0.50 0.50 0.50 0.50 Total Volume 3.4 0 30 0 0 Total OI 125.2 81 143 81 143
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 2012-04-02 $10.78 $0.00 172.2% 49.4% 21.3% 89.5% 0.0% 10.3% -39.6% -238 31 -176 0.00 158.40 N/A N/A 0 0 28 53 2012-04-03 $10.68 $0.00 137.2% 39.3% 21.3% 68.9% 0.0% 12.4% 20.8% -247 636 -175 0.00 158.34 N/A N/A 0 0 28 53 2012-04-04 $10.40 $0.00 175.1% 0.0% 23.3% 91.2% 0.0% -24.8% 0.0% -221 2.7K -173 0.00 157.79 N/A N/A 0 10 28 53 2012-04-05 $10.47 $0.00 176.4% 0.0% 22.9% 91.9% 0.0% -23.5% 0.0% -413 8.9K -203 0.00 159.03 N/A N/A 0 0 28 63 2012-04-09 $10.26 $10.00 187.4% 53.7% 23.7% 98.5% 0.0% -28.1% -149.3% -288 6.7K -192 0.50 157.80 N/A N/A 20 10 28 63 2012-04-10 $10.09 $10.00 191.7% 55.0% 24.4% 100.0% 0.0% 10.5% -147.2% -179 4.0K -251 0.00 158.04 N/A N/A 0 0 48 73 2012-04-11 $10.19 $10.00 193.2% 55.4% 21.6% 100.0% 0.0% 24.9% -151.9% -173 538 -251 0.00 158.28 N/A N/A 0 0 48 73 2012-04-12 $10.37 $10.00 193.8% 55.6% 22.3% 100.0% 0.0% 39.6% -163.0% -416 2.3K -252 0.00 158.55 N/A N/A 0 28 48 73 2012-04-13 $10.17 $10.00 199.0% 57.0% 23.1% 100.0% 0.0% -57.3% -155.6% -324 9.0K -303 0.00 158.15 N/A N/A 0 0 48 95 2012-04-16 $10.32 $10.00 96.8% 0.0% 23.9% 42.8% 0.0% 30.7% -141.6% -1.5K 15.4K -309 0.00 158.60 N/A N/A 0 0 48 95 2012-04-17 $10.44 $10.00 63.2% 0.0% 23.3% 24.1% 0.0% 37.3% -147.8% -1.3K 12.0K -308 0.00 158.67 N/A N/A 0 0 48 95 2012-04-18 $10.16 $10.00 198.7% 57.0% 24.9% 99.9% 0.0% 16.3% 0.0% -1.3K 19.0K -303 0.00 158.63 N/A N/A 0 0 48 95 2012-04-19 $10.09 $10.00 102.7% 0.0% 25.0% 46.1% 0.0% 15.1% -145.6% -1.3K 19.5K -299 0.00 158.06 N/A N/A 0 0 48 95 2012-04-20 $10.20 $10.00 95.6% 0.0% 24.6% 42.2% 0.0% 19.6% -139.2% -1.3K 17.1K -301 0.00 155.37 N/A N/A 0 0 48 95 2012-04-23 $10.00 $10.00 93.3% 0.0% 24.9% 40.9% 0.0% 3.8% 0.0% -1.3K 21.6K -290 0.00 157.95 N/A N/A 0 0 48 95 2012-04-24 $10.20 $10.00 68.3% 0.0% 25.2% 26.9% 0.0% -77.7% 0.0% -1.4K 18.2K -294 0.00 158.19 N/A N/A 0 0 48 95 2012-04-25 $9.96 $10.00 108.4% 0.0% 26.2% 49.4% 0.0% 26.6% 0.0% -899 9.7K -283 0.00 159.78 N/A N/A 0 0 48 95 2012-04-26 $10.00 $10.00 109.3% 0.0% 26.3% 49.9% 0.0% 27.0% 0.0% -902 8.8K -282 0.00 156.53 N/A N/A 0 0 48 95 2012-04-27 $10.07 $10.00 110.1% 0.0% 26.2% 50.3% 0.0% -8.5% 0.0% -1.2K 14.1K -289 0.00 159.05 N/A N/A 0 0 48 95 2012-04-30 $10.07 $10.00 113.5% 0.0% 26.1% 52.2% 0.0% 0.8% 0.0% -1.3K 13.8K -284 0.00 158.65 N/A N/A 0 0 48 95
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