FSP Options History — August 2012 In August 2012, FSP traded between $9.98 and $11.22. ATM implied volatility averaged 105.2%, placing in the 50.9% IV rank vs the trailing year. The 30-day expected move averaged 30.1%. IV traded above realized volatility by 85.5% (HV 20d: 19.7%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 1 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 0.00.
Notable Days 2012-08-08 : Highest Volume — 20 contracts2012-08-03 : Largest IV spike — 382.5% change2012-08-22 : Highest IV Rank — 92.0%2012-08-22 : Largest Expected Move — 52.6%Monthly Statistics Metric Avg Min Max Open Close Price $10.64 $9.98 $11.22 $10.10 $11.12 Max Pain $10.00 $10.00 $10.00 $10.00 $10.00 ATM IV 105.2% 27.0% 183.6% 161.4% 140.3% Expected Move 30.1% 8.4% 52.6% 8.4% 51.0% HV 20d 19.7% 14.2% 21.6% 17.7% 14.2% HV 60d 20.7% 19.7% 21.4% 20.3% 19.8% IV Rank 50.9% 10.0% 92.0% 80.4% 69.3% IV Percentile 67.5% 3.6% 94.0% 88.1% 82.9% Term Structure -40.9% -139.6% 54.9% -40.5% -58.4% VWIV 35.0% 35.0% 35.0% 35.0% 35.0% Skew 25d -31.2% -111.4% 56.4% 16.6% -14.6% Skew 10d -42.9% -139.7% 40.3% 20.9% 20.3% Call IV 25d 127.9% 30.4% 193.4% 136.7% 171.9% Put IV 25d 96.7% 33.4% 157.3% 153.2% 157.3% Bid-Ask Spread % 161.80 157.15 164.18 162.51 161.29 Gamma HHI 0.65 0.46 0.83 0.82 0.70 Net GEX -517 -1.2K 196 -748 -520 Net DEX -24.2K -47.7K -4.3K -14.6K -39.5K Net VEX -244 -280 -165 -280 -187 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 1.913 0 20 0 0 Total OI 178 163 184 182 173
Daily Data (23 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 2012-08-01 $10.10 $10.00 161.4% 0.0% 17.7% 80.4% 0.0% 16.6% 0.0% -748 -14.6K -280 0.00 162.51 N/A N/A 0 0 86 96 2012-08-02 $9.98 $10.00 29.4% 8.4% 17.9% 11.2% 0.0% -2.6% 0.0% -940 -4.3K -279 0.00 162.98 N/A N/A 0 0 86 96 2012-08-03 $10.25 $10.00 141.7% 0.0% 20.8% 70.0% 0.0% -107.8% 0.0% -712 -17.2K -277 0.00 164.18 N/A N/A 0 0 86 96 2012-08-06 $10.38 $10.00 66.4% 22.0% 21.1% 30.6% 0.0% -84.4% -40.5% -869 -17.4K -267 0.00 163.37 N/A N/A 0 0 86 96 2012-08-07 $10.46 $10.00 91.8% 26.3% 21.1% 43.9% 0.0% -45.3% 17.2% -647 -19.6K -267 0.00 162.65 N/A N/A 0 0 86 96 2012-08-08 $10.43 $10.00 80.2% 23.0% 21.1% 37.9% 35.0% -111.4% -44.4% -769 -18.7K -263 0.00 162.53 N/A N/A 0 20 86 96 2012-08-09 $10.45 $10.00 90.8% 11.3% 21.1% 43.4% 0.0% -37.0% 51.6% -1.2K -22.2K -245 0.00 162.84 N/A N/A 0 0 86 96 2012-08-10 $10.39 $10.00 30.0% 29.6% 20.8% 11.6% 0.0% 25.6% -45.0% -750 -19.2K -256 0.00 162.86 N/A N/A 0 0 86 96 2012-08-13 $10.42 $10.00 27.0% 18.8% 20.9% 10.0% 0.0% -3.9% -40.1% -905 -20.3K -243 0.00 162.82 N/A N/A 2 0 86 96 2012-08-14 $10.43 $10.00 50.5% 29.6% 20.6% 22.3% 0.0% -37.0% -79.9% -721 -25.6K -243 0.00 162.52 N/A N/A 0 0 88 96 2012-08-15 $10.61 $10.00 84.5% 24.2% 21.6% 40.1% 0.0% -45.7% -94.3% -525 -28.7K -240 0.00 161.22 N/A N/A 0 0 88 96 2012-08-16 $10.81 $10.00 67.5% 19.4% 21.2% 31.2% 0.0% 56.4% 54.9% -404 -36.3K -231 0.00 158.07 N/A N/A 0 0 88 96 2012-08-17 $10.85 $10.00 43.2% 12.4% 21.1% 18.5% 0.0% -0.7% 45.5% 196 -37.0K -235 0.00 161.72 N/A N/A 0 10 88 96 2012-08-20 $10.82 $10.00 131.9% 37.8% 21.1% 64.9% 0.0% -47.1% -50.7% -52 -20.4K -252 0.00 161.32 N/A N/A 0 10 78 85 2012-08-21 $10.87 $10.00 120.2% 34.5% 21.2% 58.8% 0.0% -95.4% -97.8% -60 -18.6K -267 0.00 161.49 N/A N/A 0 0 78 95 2012-08-22 $10.81 $10.00 183.6% 52.6% 19.9% 92.0% 0.0% -22.7% -50.6% -146 -18.5K -266 0.00 161.73 N/A N/A 0 0 78 95 2012-08-23 $10.74 $10.00 102.3% 29.3% 20.1% 49.4% 0.0% -24.5% -15.7% -282 -14.7K -265 0.00 161.97 N/A N/A 0 0 78 95 2012-08-24 $10.85 $10.00 86.2% 24.7% 18.9% 41.0% 0.0% -101.8% -107.0% -304 -17.5K -258 0.00 162.00 N/A N/A 0 0 78 95 2012-08-27 $10.80 $10.00 147.6% 42.3% 18.9% 73.1% 0.0% 10.7% -42.2% -112 -16.2K -255 0.00 161.72 N/A N/A 0 0 78 95 2012-08-28 $10.90 $10.00 182.4% 52.3% 18.8% 91.3% 0.0% -23.6% -39.2% -589 -36.6K -197 0.00 161.33 N/A N/A 0 0 78 95 2012-08-29 $11.14 $10.00 182.3% 52.3% 16.6% 91.3% 0.0% -8.8% -139.6% -444 -44.8K -177 0.00 157.15 N/A N/A 2 0 78 95 2012-08-30 $11.22 $10.00 177.9% 51.0% 15.4% 89.0% 0.0% -11.7% -58.4% -434 -47.7K -165 0.00 161.04 N/A N/A 0 0 78 95 2012-08-31 $11.12 $10.00 140.3% 0.0% 14.2% 69.3% 0.0% -14.6% 0.0% -520 -39.5K -187 0.00 161.29 N/A N/A 0 0 78 95
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