FSP Options History — January 2013

In January 2013, FSP traded between $12.72 and $13.29. ATM implied volatility averaged 104.9%, placing in the 50.8% IV rank vs the trailing year. The 30-day expected move averaged 29.9%. IV traded above realized volatility by 87.2% (HV 20d: 17.6%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.00.

Notable Days

2013-01-22: Highest Volume — 13 contracts
2013-01-23: Largest IV spike — 699.2% change
2013-01-02: Highest IV Rank — 98.4%
2013-01-02: Largest Expected Move — 56.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.96	$12.72	$13.29	$12.80	$13.00
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	104.9%	14.8%	195.9%	195.9%	76.6%
Expected Move	29.9%	4.2%	56.2%	56.2%	22.0%
HV 20d	17.6%	14.4%	19.3%	17.0%	14.4%
HV 60d	17.7%	16.3%	18.4%	18.4%	16.5%
IV Rank	50.8%	3.6%	98.4%	98.4%	36.0%
IV Percentile	50.4%	1.6%	98.8%	98.8%	34.5%
Term Structure	-45.2%	-138.7%	41.2%	-93.8%	-63.6%
VWIV	28.2%	28.2%	28.2%	28.2%	28.2%
Skew 25d	3.2%	-43.5%	52.5%	19.1%	-15.2%
Skew 10d	15.6%	-7.0%	103.0%	16.8%	0.9%
Call IV 25d	88.6%	22.3%	188.8%	104.8%	43.7%
Put IV 25d	91.8%	21.5%	176.6%	123.9%	28.5%
Bid-Ask Spread %	129.57	20.67	156.34	155.42	52.11
Gamma HHI	0.97	0.86	1.00	1.00	0.93
Net GEX	1.0K	454	2.0K	591	2.0K
Net DEX	-39.5K	-49.7K	-31.8K	-37.2K	-46.5K
Net VEX	-180	-203	-165	-168	-195
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	0.762	0	13	0	0
Total OI	57.048	50	66	50	66

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	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2013-01-02	$12.80	$0.00	195.9%	56.2%	17.0%	98.4%	0.0%	19.1%	-93.8%	591	-37.2K	-168	155.42	N/A	N/A	0	0	50	0
2013-01-03	$12.87	$0.00	120.9%	34.7%	17.0%	59.2%	0.0%	-2.8%	-68.0%	782	-36.4K	-170	156.34	N/A	N/A	0	3	50	0
2013-01-04	$12.85	$0.00	162.3%	39.4%	17.1%	80.8%	0.0%	-43.5%	-34.6%	454	-37.1K	-172	149.89	N/A	N/A	0	0	50	3
2013-01-07	$12.87	$0.00	18.7%	6.0%	17.1%	5.7%	0.0%	52.5%	1.1%	1.4K	-31.8K	-175	28.88	N/A	N/A	0	0	50	3
2013-01-08	$12.72	$0.00	17.8%	9.6%	17.9%	5.2%	0.0%	4.5%	-6.8%	744	-36.3K	-169	89.77	N/A	N/A	0	0	50	3
2013-01-09	$12.79	$0.00	58.0%	15.7%	17.9%	26.2%	0.0%	19.5%	23.0%	562	-35.2K	-171	144.39	N/A	N/A	0	0	50	3
2013-01-10	$12.86	$0.00	94.6%	27.1%	17.8%	45.4%	0.0%	48.2%	-22.4%	506	-36.4K	-170	147.54	N/A	N/A	0	0	50	3
2013-01-11	$12.86	$0.00	14.8%	4.2%	17.4%	3.6%	0.0%	-0.9%	7.2%	1.3K	-32.6K	-173	131.19	N/A	N/A	0	0	50	3
2013-01-14	$12.90	$0.00	23.0%	6.6%	17.4%	7.9%	0.0%	3.3%	-1.5%	1.3K	-33.5K	-172	20.67	N/A	N/A	0	0	50	3
2013-01-15	$12.90	$0.00	68.3%	19.6%	17.5%	31.6%	0.0%	1.6%	-49.0%	720	-35.0K	-170	152.92	N/A	N/A	0	0	50	3
2013-01-16	$12.85	$0.00	168.3%	48.3%	16.9%	84.0%	0.0%	12.8%	-91.4%	827	-34.1K	-169	152.60	N/A	N/A	0	0	50	3
2013-01-17	$12.94	$0.00	172.4%	49.4%	16.8%	86.1%	0.0%	-0.2%	-97.7%	671	-35.8K	-168	152.24	N/A	N/A	0	0	50	3
2013-01-18	$13.00	$0.00	145.8%	41.8%	16.8%	72.2%	0.0%	7.4%	-95.5%	631	-36.5K	-168	152.59	N/A	N/A	0	0	50	3
2013-01-22	$13.28	$0.00	23.6%	6.8%	18.0%	8.2%	28.2%	-6.3%	-4.7%	1.6K	-37.6K	-165	125.25	N/A	N/A	13	0	50	3
2013-01-23	$13.05	$15.00	188.5%	54.0%	18.8%	94.5%	0.0%	11.1%	-60.2%	1.5K	-47.0K	-203	152.97	N/A	N/A	0	0	63	3
2013-01-24	$12.98	$15.00	167.5%	48.0%	19.0%	83.5%	0.0%	1.6%	-57.8%	837	-46.2K	-200	149.61	N/A	N/A	0	0	63	3
2013-01-25	$13.11	$15.00	165.6%	47.5%	19.1%	82.6%	0.0%	-42.4%	-62.3%	1.8K	-48.2K	-202	152.47	N/A	N/A	0	0	63	3
2013-01-28	$13.16	$15.00	120.8%	34.6%	18.8%	59.1%	0.0%	-3.4%	-138.7%	845	-48.3K	-197	151.07	N/A	N/A	0	0	63	3
2013-01-29	$13.29	$15.00	133.2%	38.2%	18.5%	65.6%	0.0%	1.6%	-73.7%	872	-49.7K	-198	151.03	N/A	N/A	0	0	63	3
2013-01-30	$13.12	$15.00	65.4%	18.7%	19.3%	30.1%	0.0%	-0.6%	41.2%	1.2K	-47.3K	-197	151.99	N/A	N/A	0	0	63	3
2013-01-31	$13.00	$15.00	76.6%	22.0%	14.4%	36.0%	0.0%	-15.2%	-63.6%	2.0K	-46.5K	-195	52.11	N/A	N/A	0	0	63	3