FSP Options History — May 2012

In May 2012, FSP traded between $9.74 and $10.19. ATM implied volatility averaged 96.6%, placing in the 46.4% IV rank vs the trailing year. The 30-day expected move averaged 26.2%. IV traded above realized volatility by 78.2% (HV 20d: 18.4%). 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 16 of 22 days. Put/call ratio averaged 0.25.

Notable Days

  • 2012-05-30: Highest Volume — 22 contracts
  • 2012-05-02: Largest IV spike — 1367.1% change
  • 2012-05-31: Highest IV Rank — 76.4%
  • 2012-05-17: Largest Expected Move — 38.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.02$9.74$10.19$10.12$9.76
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV96.6%7.9%153.9%7.9%153.9%
Expected Move26.2%2.3%38.0%2.3%27.6%
HV 20d18.4%12.1%25.2%25.2%17.5%
HV 60d21.3%20.0%23.0%23.0%21.4%
IV Rank46.4%0.0%76.4%0.0%76.4%
IV Percentile83.7%0.0%94.8%0.0%94.8%
Term Structure41.3%-31.2%98.6%98.6%57.5%
Skew 25d-1.0%-55.4%17.5%17.5%-44.0%
Skew 10d23.6%-3.7%42.3%23.8%18.4%
Call IV 25d138.8%87.2%196.0%131.1%193.2%
Put IV 25d137.8%89.7%174.9%148.6%149.1%
Bid-Ask Spread %153.20150.92158.77155.84152.56
Gamma HHI0.920.521.000.850.94
Net GEX-835-2.6K21-826-84
Net DEX-2.1K-11.6K10.6K10.6K2.1K
Net VEX-312-338-260-260-312
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.250.001.000.001.00
Total Volume2.864022160
Total OI161.636143180143180

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$10.12$10.007.9%2.3%25.2%0.0%0.0%17.5%98.6%-82610.6K-2600.00155.84N/AN/A1604895
2012-05-02$10.09$10.00115.9%0.0%25.1%56.5%0.0%15.0%0.0%-869-2.8K-3210.00158.59N/AN/A006495
2012-05-03$10.07$10.00117.3%0.0%23.5%57.3%0.0%15.0%0.0%-902-2.5K-3190.00158.77N/AN/A006495
2012-05-04$10.03$10.00118.9%34.1%23.3%58.1%0.0%14.9%48.3%-923-1.3K-3170.00155.16N/AN/A006495
2012-05-07$10.11$10.00122.8%35.2%22.6%60.1%0.0%5.0%47.8%-1.1K-219-3170.00155.20N/AN/A006495
2012-05-08$10.13$10.00124.3%35.6%21.8%60.9%0.0%15.5%47.6%-1.0K-3.6K-3100.00155.36N/AN/A006495
2012-05-09$10.17$10.00109.7%31.4%21.5%53.3%0.0%15.6%40.1%-995-3.7K-3100.00151.31N/AN/A006495
2012-05-10$10.19$10.00113.3%32.5%20.5%55.2%0.0%3.7%44.8%-1.1K-1.0K-3130.00150.92N/AN/A1006495
2012-05-11$10.18$10.00112.6%32.3%19.3%54.8%0.0%15.7%39.4%-998-10.2K-3360.00152.19N/AN/A007495
2012-05-14$10.14$10.0059.4%17.0%18.6%26.9%0.0%4.8%-29.7%-1.7K-3.0K-3380.00151.70N/AN/A007495
2012-05-15$10.18$10.0047.2%13.5%18.1%20.6%0.0%3.9%42.5%-1.4K-8.3K-3280.00151.84N/AN/A007495
2012-05-16$10.12$10.00126.7%36.3%15.4%62.2%0.0%-6.5%-23.1%-1.9K-3.6K-3310.00152.20N/AN/A007495
2012-05-17$9.90$10.00132.5%38.0%17.1%65.2%0.0%8.5%-31.2%-2.6K4.6K-3230.00151.51N/AN/A007495
2012-05-18$9.81$10.00107.5%30.8%16.7%52.1%0.0%2.5%7.7%-8877.2K-3160.00152.89N/AN/A007495
2012-05-21$9.95$10.0072.2%20.7%16.3%33.6%0.0%8.5%29.8%-222-5.4K-3130.00151.81N/AN/A007484
2012-05-22$9.87$10.0075.8%21.7%14.6%35.5%0.0%-45.0%67.7%-77-3.3K-3050.00152.89N/AN/A007484
2012-05-23$9.87$10.0077.3%22.2%12.1%36.4%0.0%-49.8%82.5%-5954.6K-3060.00151.97N/AN/A1507484
2012-05-24$9.98$10.0075.9%21.8%12.7%35.6%0.0%7.6%63.5%-229-3.8K-3070.00152.46N/AN/A007484
2012-05-25$10.05$10.0075.5%21.6%12.7%35.4%0.0%-55.4%82.0%21-11.6K-3000.00151.51N/AN/A007484
2012-05-29$10.08$10.0082.4%23.6%12.7%39.0%0.0%11.3%68.3%-17-11.5K-2940.00151.32N/AN/A007484
2012-05-30$9.74$10.0096.3%27.6%17.5%46.3%0.0%12.8%57.5%1-187-2811.00152.45N/AN/A11117484
2012-05-31$9.76$10.00153.9%0.0%17.5%76.4%0.0%-44.0%0.0%-842.1K-3120.00152.56N/AN/A008595