FSP Options History — November 2012 In November 2012, FSP traded between $10.64 and $11.55. ATM implied volatility averaged 81.9%, placing in the 38.7% IV rank vs the trailing year. The 30-day expected move averaged 22.8%. IV traded above realized volatility by 61.4% (HV 20d: 20.4%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days.
Notable Days 2012-11-19 : Largest IV spike — 395.1% change2012-11-09 : Highest IV Rank — 78.5%2012-11-14 : Largest Expected Move — 38.7%Monthly Statistics Metric Avg Min Max Open Close Price $11.15 $10.64 $11.55 $11.23 $11.55 Max Pain $10.00 $10.00 $10.00 $10.00 $10.00 ATM IV 81.9% 22.5% 157.9% 51.0% 101.2% Expected Move 22.8% 6.1% 38.7% 14.6% 29.0% HV 20d 20.4% 17.4% 23.0% 20.1% 17.4% HV 60d 21.3% 20.6% 21.9% 20.9% 21.6% IV Rank 38.7% 7.6% 78.5% 22.6% 48.8% IV Percentile 46.5% 1.2% 80.2% 42.5% 55.6% Term Structure -26.6% -130.5% 59.8% -12.3% 9.3% Skew 25d 7.2% -5.8% 100.5% 0.4% 6.4% Skew 10d 4.2% -27.2% 26.6% 1.1% -27.2% Call IV 25d 45.9% 20.7% 123.8% 31.5% 62.1% Put IV 25d 53.1% 21.1% 160.0% 31.9% 68.4% Bid-Ask Spread % 121.68 25.17 156.38 104.34 153.67 Gamma HHI 0.53 0.50 0.71 0.53 0.54 Net GEX 620 394 931 886 622 Net DEX -32.7K -38.6K -25.5K -34.5K -36.7K Net VEX -84 -115 -34 -96 -75 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 78 78 78 78 78
Daily Data (21 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 2012-11-01 $11.23 $0.00 51.0% 14.6% 20.1% 22.6% 0.0% 0.4% -12.3% 886 -34.5K -96 0.00 104.34 N/A N/A 0 0 58 20 2012-11-02 $11.25 $0.00 23.2% 6.6% 19.7% 8.0% 0.0% 2.5% 9.5% 838 -38.6K -46 0.00 98.68 N/A N/A 0 0 58 20 2012-11-05 $11.29 $10.00 54.3% 22.1% 19.2% 24.3% 0.0% 100.5% 59.8% 441 -32.9K -115 0.00 150.34 N/A N/A 0 0 58 20 2012-11-06 $11.36 $10.00 111.7% 14.3% 18.8% 54.3% 0.0% 37.2% 33.9% 666 -34.3K -106 0.00 114.41 N/A N/A 0 0 58 20 2012-11-07 $11.21 $10.00 70.9% 23.3% 19.2% 33.0% 0.0% 0.5% -44.6% 596 -32.0K -107 0.00 155.00 N/A N/A 0 0 58 20 2012-11-08 $11.16 $10.00 35.4% 24.1% 19.1% 14.4% 0.0% -2.3% -59.7% 629 -31.3K -106 0.00 107.69 N/A N/A 0 0 58 20 2012-11-09 $11.10 $10.00 157.9% 28.4% 19.2% 78.5% 0.0% 4.0% -49.0% 516 -30.6K -108 0.00 151.39 N/A N/A 0 0 58 20 2012-11-12 $11.09 $10.00 69.6% 6.1% 19.2% 32.3% 0.0% 0.4% 6.5% 685 -36.7K -36 0.00 25.17 N/A N/A 0 0 58 20 2012-11-13 $11.05 $10.00 49.9% 25.6% 19.1% 22.0% 0.0% -1.4% -130.5% 569 -29.8K -102 0.00 107.29 N/A N/A 0 0 58 20 2012-11-14 $10.78 $10.00 134.8% 38.7% 20.7% 66.4% 0.0% 4.0% -75.5% 394 -28.0K -103 0.00 154.35 N/A N/A 0 0 58 20 2012-11-15 $10.64 $10.00 106.4% 30.5% 20.9% 51.6% 0.0% 13.7% -71.1% 462 -25.5K -100 0.00 153.20 N/A N/A 0 0 58 20 2012-11-16 $10.68 $10.00 22.5% 6.4% 20.7% 7.6% 0.0% 3.4% -0.7% 732 -28.3K -54 0.00 88.92 N/A N/A 0 0 58 20 2012-11-19 $10.91 $10.00 111.3% 31.9% 22.0% 54.1% 0.0% -2.1% -60.0% 492 -28.4K -95 0.00 154.97 N/A N/A 0 0 58 20 2012-11-20 $11.00 $10.00 23.6% 6.8% 22.2% 8.2% 0.0% -0.8% -9.8% 647 -35.2K -34 0.00 33.25 N/A N/A 0 0 58 20 2012-11-21 $11.11 $10.00 107.2% 30.7% 22.3% 52.0% 0.0% -3.1% -56.4% 548 -30.6K -91 0.00 153.57 N/A N/A 0 0 58 20 2012-11-23 $11.22 $10.00 59.9% 17.2% 22.6% 27.2% 0.0% -3.2% -81.4% 931 -35.3K -63 0.00 37.27 N/A N/A 0 0 58 20 2012-11-26 $11.38 $10.00 96.4% 27.6% 23.0% 46.3% 0.0% -5.8% -6.4% 690 -34.9K -80 0.00 144.16 N/A N/A 0 0 58 20 2012-11-27 $11.35 $10.00 112.3% 32.2% 22.9% 54.7% 0.0% 1.1% -20.1% 544 -33.7K -81 0.00 155.56 N/A N/A 0 0 58 20 2012-11-28 $11.34 $10.00 114.6% 32.9% 22.5% 55.9% 0.0% -2.6% -11.9% 531 -33.5K -80 0.00 156.38 N/A N/A 0 0 58 20 2012-11-29 $11.54 $10.00 105.4% 30.2% 18.5% 51.0% 0.0% -1.6% 11.6% 591 -36.3K -77 0.00 155.75 N/A N/A 0 0 58 20 2012-11-30 $11.55 $10.00 101.2% 29.0% 17.4% 48.8% 0.0% 6.4% 9.3% 622 -36.7K -75 0.00 153.67 N/A N/A 0 0 58 20
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