FSP Options History — December 2012 In December 2012, FSP traded between $11.73 and $12.31. ATM implied volatility averaged 86.0%, placing in the 40.9% IV rank vs the trailing year. The 30-day expected move averaged 27.6%. IV traded above realized volatility by 71.9% (HV 20d: 14.1%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2012-12-17 : Highest Volume — 30 contracts2012-12-12 : Largest IV spike — 143.1% change2012-12-26 : Highest IV Rank — 95.2%2012-12-26 : Largest Expected Move — 54.4%Monthly Statistics Metric Avg Min Max Open Close Price $12.02 $11.73 $12.31 $11.73 $12.31 Max Pain $10.00 $10.00 $10.00 $10.00 $10.00 ATM IV 86.0% 12.8% 189.8% 16.4% 41.9% Expected Move 27.6% 3.7% 54.4% 4.7% 12.0% HV 20d 14.1% 11.0% 18.1% 18.1% 11.9% HV 60d 19.5% 16.8% 21.7% 21.7% 16.8% IV Rank 40.9% 2.6% 95.2% 4.4% 17.8% IV Percentile 42.5% 0.4% 95.6% 0.4% 24.2% Term Structure -12.2% -160.7% 129.7% 24.1% 50.4% VWIV 58.1% 58.1% 58.1% 58.1% 58.1% Skew 25d 7.9% -14.2% 31.9% -0.0% 31.9% Skew 10d 17.3% -8.3% 69.5% 11.5% 19.9% Call IV 25d 81.3% 13.4% 161.7% 56.2% 55.6% Put IV 25d 89.2% 18.8% 160.2% 56.2% 87.5% Bid-Ask Spread % 147.52 98.14 157.64 150.04 153.88 Gamma HHI 0.93 0.55 1.00 0.55 1.00 Net GEX 1.5K 472 4.1K 674 544 Net DEX -49.2K -78.5K -28.7K -39.5K -34.0K Net VEX -89 -175 -8 -68 -164 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 2.75 0 30 0 0 Total OI 82 50 128 78 50
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 2012-12-03 $11.73 $10.00 16.4% 4.7% 18.1% 4.4% 0.0% -0.0% 24.1% 674 -39.5K -68 0.00 150.04 N/A N/A 0 0 58 20 2012-12-04 $11.74 $10.00 16.7% 4.8% 18.1% 4.6% 0.0% 4.1% -4.3% 1.1K -46.3K -20 0.00 136.26 N/A N/A 0 0 58 20 2012-12-05 $11.78 $10.00 22.8% 6.5% 18.0% 7.8% 58.1% -1.4% 129.7% 1.1K -44.7K -14 0.00 146.94 N/A N/A 5 0 58 20 2012-12-06 $11.82 $10.00 12.8% 3.7% 17.1% 2.6% 0.0% 26.5% 0.9% 1.2K -47.9K -23 0.00 109.78 N/A N/A 0 0 58 20 2012-12-07 $11.80 $0.00 13.5% 18.7% 17.0% 2.9% 0.0% -3.4% 34.8% 1.1K -42.7K -17 0.00 153.77 N/A N/A 0 0 58 20 2012-12-10 $11.84 $0.00 14.5% 8.2% 16.7% 3.4% 0.0% -14.2% 76.1% 991 -44.3K -8 0.00 98.14 N/A N/A 0 0 58 20 2012-12-11 $11.95 $0.00 21.3% 23.0% 16.8% 7.0% 0.0% 14.3% 11.7% 1.2K -50.0K -22 0.00 157.46 N/A N/A 10 0 58 20 2012-12-12 $11.86 $0.00 51.7% 38.1% 17.1% 22.9% 0.0% -4.5% -38.7% 1.3K -50.8K -41 0.00 156.91 N/A N/A 0 0 68 20 2012-12-13 $11.90 $0.00 93.4% 26.8% 13.4% 44.7% 0.0% 3.3% 26.4% 1.4K -48.4K -35 0.00 156.16 N/A N/A 0 0 68 20 2012-12-14 $11.96 $0.00 98.9% 28.4% 11.6% 47.6% 0.0% -5.6% -160.1% 1.7K -52.9K -43 0.00 128.49 N/A N/A 0 0 68 20 2012-12-17 $12.17 $0.00 88.0% 25.2% 12.3% 41.9% 0.0% 26.3% 7.1% 2.4K -55.9K -43 0.00 156.41 N/A N/A 30 0 68 20 2012-12-18 $12.27 $0.00 103.1% 29.6% 11.0% 49.8% 0.0% 10.8% -34.8% 4.1K -70.8K -137 0.00 156.24 N/A N/A 0 0 98 20 2012-12-19 $12.27 $0.00 173.7% 49.8% 11.2% 86.8% 0.0% 13.4% -160.7% 4.1K -74.3K -143 0.00 157.64 N/A N/A 10 0 98 20 2012-12-20 $12.26 $0.00 176.7% 50.7% 11.2% 88.3% 0.0% 8.6% -106.2% 4.1K -78.5K -175 0.00 157.55 N/A N/A 0 0 108 20 2012-12-21 $12.13 $0.00 180.6% 51.8% 12.4% 90.4% 0.0% 11.6% -87.9% 1.3K -74.1K -170 0.00 156.85 N/A N/A 0 0 108 20 2012-12-24 $12.10 $0.00 178.1% 51.0% 11.9% 89.1% 0.0% 21.7% -57.5% 1.1K -28.7K -168 0.00 154.25 N/A N/A 0 0 50 0 2012-12-26 $12.10 $0.00 189.8% 54.4% 11.8% 95.2% 0.0% 0.7% -77.4% 472 -33.6K -163 0.00 156.41 N/A N/A 0 0 50 0 2012-12-27 $12.26 $0.00 128.6% 36.9% 12.2% 63.1% 0.0% 11.0% 31.4% 542 -33.7K -165 0.00 151.96 N/A N/A 0 0 50 0 2012-12-28 $12.18 $0.00 96.8% 27.7% 11.6% 46.5% 0.0% 3.2% 91.3% 532 -33.2K -164 0.00 155.18 N/A N/A 0 0 50 0 2012-12-31 $12.31 $0.00 41.9% 12.0% 11.9% 17.8% 0.0% 31.9% 50.4% 544 -34.0K -164 0.00 153.88 N/A N/A 0 0 50 0
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