FSP Options History — September 2012 In September 2012, FSP traded between $11.07 and $12.30. ATM implied volatility averaged 146.4%, placing in the 72.5% IV rank vs the trailing year. The 30-day expected move averaged 41.7%. IV traded above realized volatility by 127.2% (HV 20d: 19.2%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 5 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 0.67.
Notable Days 2012-09-14 : Highest Volume — 25 contracts2012-09-18 : Largest IV spike — 63.3% change2012-09-27 : Highest IV Rank — 94.3%2012-09-27 : Largest Expected Move — 53.9%Monthly Statistics Metric Avg Min Max Open Close Price $11.63 $11.07 $12.30 $11.24 $11.07 Max Pain $11.92 $10.00 $12.50 $10.00 $12.50 ATM IV 146.4% 80.1% 188.0% 154.7% 167.7% Expected Move 41.7% 23.0% 53.9% 29.3% 53.9% HV 20d 19.2% 14.0% 25.6% 14.0% 25.6% HV 60d 19.3% 17.9% 20.8% 19.8% 20.8% IV Rank 72.5% 37.8% 94.3% 76.8% 83.6% IV Percentile 81.9% 56.3% 95.6% 85.3% 84.9% Term Structure -98.6% -165.9% -28.6% -77.9% -28.6% VWIV 109.9% 109.9% 109.9% 109.9% 109.9% Skew 25d 2.7% -69.2% 91.4% -17.6% -13.1% Skew 10d 11.0% -17.3% 36.0% 33.9% -10.2% Call IV 25d 146.1% 44.7% 195.7% 182.9% 155.5% Put IV 25d 148.8% 96.4% 186.3% 165.3% 142.4% Bid-Ask Spread % 157.01 149.47 161.20 161.06 155.85 Gamma HHI 0.60 0.47 0.88 0.77 0.49 Net GEX -278 -1.5K 284 -403 227 Net DEX -48.4K -75.4K -17.6K -44.0K -17.6K Net VEX -148 -173 -109 -173 -146 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.67 0.67 0.67 0.67 0.67 Total Volume 1.316 0 25 0 0 Total OI 155.895 83 198 173 83
Daily Data (19 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 2012-09-04 $11.24 $10.00 154.7% 0.0% 14.0% 76.8% 0.0% -17.6% 0.0% -403 -44.0K -173 0.00 161.06 N/A N/A 0 0 78 95 2012-09-05 $11.18 $10.00 118.6% 0.0% 14.3% 57.9% 0.0% 12.1% -77.9% -490 -43.3K -171 0.00 161.20 N/A N/A 0 0 78 95 2012-09-06 $11.36 $10.00 137.6% 0.0% 14.8% 67.9% 0.0% -10.9% 0.0% -306 -47.5K -159 0.00 161.01 N/A N/A 0 0 78 95 2012-09-07 $11.35 $0.00 102.1% 29.3% 14.9% 49.3% 0.0% 11.2% -34.2% -286 -47.8K -157 0.00 154.25 N/A N/A 0 0 78 95 2012-09-10 $11.23 $0.00 129.3% 37.1% 15.4% 63.6% 0.0% -11.8% -42.1% -270 -47.0K -151 0.00 155.97 N/A N/A 0 0 78 95 2012-09-11 $11.51 $0.00 175.6% 43.9% 17.1% 87.8% 0.0% 13.4% -65.7% -30 -56.8K -124 0.00 156.43 N/A N/A 0 0 78 95 2012-09-12 $11.67 $0.00 164.7% 47.2% 17.3% 82.1% 0.0% -8.0% -67.3% -175 -56.7K -130 0.00 156.75 N/A N/A 0 0 78 95 2012-09-13 $11.93 $0.00 165.0% 47.3% 17.8% 82.2% 0.0% 10.5% -162.6% -405 -62.8K -121 0.00 157.66 N/A N/A 0 0 78 95 2012-09-14 $12.17 $0.00 140.8% 40.4% 17.9% 69.5% 109.9% 91.4% -158.4% -1.0K -67.9K -118 0.67 157.61 N/A N/A 15 10 78 95 2012-09-17 $12.11 $12.50 102.3% 29.3% 18.3% 49.4% 0.0% -69.2% -154.2% -859 -75.4K -109 0.00 149.47 N/A N/A 0 0 93 105 2012-09-18 $12.30 $12.50 167.0% 47.9% 18.4% 83.3% 0.0% 13.6% -158.1% -1.5K -73.9K -167 0.00 157.79 N/A N/A 0 0 93 105 2012-09-19 $12.04 $12.50 130.6% 37.4% 20.9% 64.2% 0.0% 42.9% -147.5% -10 -67.1K -165 0.00 157.28 N/A N/A 0 0 93 105 2012-09-20 $11.96 $12.50 176.9% 50.7% 20.9% 88.4% 0.0% 10.2% -165.9% 284 -66.0K -163 0.00 156.86 N/A N/A 0 0 93 105 2012-09-21 $11.67 $12.50 80.1% 23.0% 23.1% 37.8% 0.0% 4.0% -141.8% -57 -57.5K -158 0.00 156.68 N/A N/A 0 0 93 105 2012-09-24 $11.72 $12.50 113.9% 32.7% 23.0% 55.5% 0.0% -6.1% -43.2% -90 -24.1K -155 0.00 157.01 N/A N/A 0 0 53 30 2012-09-25 $11.53 $12.50 182.0% 52.2% 23.9% 91.1% 0.0% -5.9% -30.9% 16 -21.8K -151 0.00 156.46 N/A N/A 0 0 53 30 2012-09-26 $11.50 $12.50 185.3% 53.1% 23.9% 92.8% 0.0% -6.9% -28.6% 41 -21.4K -152 0.00 156.68 N/A N/A 0 0 53 30 2012-09-27 $11.42 $12.50 188.0% 53.9% 23.0% 94.3% 0.0% -9.4% 0.0% 92 -20.5K -150 0.00 157.15 N/A N/A 0 0 53 30 2012-09-28 $11.07 $12.50 167.7% 0.0% 25.6% 83.6% 0.0% -13.1% 0.0% 227 -17.6K -146 0.00 155.85 N/A N/A 0 0 53 30
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